Friday, September 3, 2010

Blackstone (BX) - Call Buyers Doubling Down

BX closed at $10.35 with IV30&. The LIVEVOL™ Pro Summary is below.

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). 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. On 7-22-2010, 11,275 of those calls traded; 10,000 went up for $0.96 on a $0.76 x $0.99 market - purchases. The trades today are opening and doubling down on that long OI. You can also see that Apr vol is about the same as the other months even though earnings are in that cycle (a vol event).

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

Even though the monthly vols were down across the board, the Jan'12 15 calls did kink upwards from the buying interest. I've highlighted the strike in the skew chart.

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.

We can see that the historical (57) is actually above the implied (49) going out to 360 days. A vol purchase isn't the craziest trade I've ever seen. Having said that, I feel like this is more of an upside bet the a vol bet given the strike is 50% OTM.

This is trade analysis, not a recommendation.

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