Friday, August 13, 2010

VistaPrint (VPRT) - Vol Sale in Sep After Earnings Collapse

VPRT is trading $29.43. The LIVEVOL™ Pro Summary is below.

The company has traded over 7,500 options in the first three hours on total daily average option volume of just 1,515. ~5,000 of those contracts went up in a Sep 27.5/35 strangle sale @ ~$0.75. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).

The Options Tab (click to enlarge) illustrates that the options are mostly opening (compare OI to trade size). Note that the Sep vol is actually up small while Aug is down 3 points.

Trade Stats
Sell 2,5000 Sep 35 calls @ $0.10
Sell 2,5000 Sep 27.5 puts @ $0.65
So at Sep expo this trade makes money is the stock is in ($35.75, $26.75).

The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.

I like that the calls that were sold have a big kink upwards; but $0.10 is not real exciting. As of this writing the strangle can be sold @ ~$0.90 mid market and even bid-to-bid it's $0.80, which is better than the $0.75 sale earlier.

Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

Note the massive stock drop from earnings and how HV20™ exploded past the IV30™. Before the stock collapse the HV180™ and HV120™ were about 35. This Sep strangle is a 41 vol sale which is a pretty good scalp if "normalcy" returns. I like this trade small @ $0.90 or better.

The PnL chart for this trade with $0.15 in the calls and $0.75 in the puts is included (click to enlarge).

This is trade analysis, not a recommendation.

Legal Stuff:


  1. Ophir

    what about including the Jan 22 11 call bot at 37.5 ?

    So we could read it as the bullish bet with this added instead of a flatish (sorry for my limited mastery of english


    ps your spy analysis was a very good one

  2. yup; these were purchases (the Jan '11 options).