Tuesday, September 14, 2010

Lazard (LAZ) - Call Buying on Realized Vol Scalp

LAZ closed $34.22 yesterday, up 4.7%. The LIVEVOL™ Pro Summary is below.

The company traded over 9,000 options on total daily average option volume of just 858. All but 577 contracts were calls yielding a 16:1 call:put ratio. The action was in the Oct 35, 38 and Dec 40 calls. 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 are all mostly opening (compare OI to trade size). The large volume (Oct 38 and Dec 40) were purchases and in one order. I can't quite tell about the Oct 35 calls.

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

We can see a rather rickety skew, my guess is it evens out slowly, but the vol differences don't seem large enough to present a real trading opportunity based solely on skew unless the kinks get larger. Definitely worth watching though.

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 vs HV180™ - pink).

We can see the short term implied and the long term historical are actually right on top of each other, it's the short term historical that is elevated. Owning the short term options would have been a winner. The stock has been on a steady rise since mid June and the order flow seems to bet on more of the same; that is, more vol in stock than the options imply and generally and upward move.

This is trade analysis, not a recommendation.

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