Saturday, September 25, 2010

Blackstone (BX) - Call Buyers Come in Huge for Third Time

On Friday, BX closed at $11.50 up 6.8%. The LIVEVOL™ Pro Summary is below.

On 9-3-2010, I noticed some very large call purchases in the Jan'12 15 calls in BX. You can read that original blog here:
Blackstone (BX) - Call Buyers Doubling Down

On 9-3-2010, I noted that: "The company has traded over 30,000 options on total daily average option volume of just 6,099. The largest trade was a 16,200 lot for $0.86 in the Jan'12 15 calls (purchases)."

On Friday I saw more of the exact same trade, but even bigger. The company traded over 46,000 options on total daily average option volume of just 6,766 with calls trading on a 53:1 ratio to puts. The actions was in the Jan'12 15 calls were over 36,000 traded (mostly purchases). One print alone was over 30,000, paying $1.05. 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 calls have a substantive OI from the 9-3-2010 trading and before that, from the 7-22-2010 trading. Both of those prior days were purchases, and I believe Friday was more of the same.

We can see that the Jan'12 vol is nearly 48, well above all the other months, specifically above: Oct (39), Nov (42) and even Mar'11 (43).

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

We can see two things:
1) The skew in Jan'12 has not changed shapes to a dramatic upward bend.
2) The Jan'12 vol is well above the other months (as noted).

On 9-3-2010, the skew did show a slight kink to the upside in those calls, but I believe it was short lived. For completeness, I've included that chart as well.

Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV360™ - yellow vs HV360™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

Just like on 9-3-2010, we can still see that the historical (54) is actually above the implied (47) going out to 360 days. On 9-3-2010 the values were 57 and 49 for HV360™ and IV™ respectively. Since the first post, BX is up from $10.35 to $11.50 or ~10%.

This is trade analysis, not a recommendation.

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