Friday, September 17, 2010

Louisiana-Pacific (LPX) - Call Buyers and Skew Bends

LPX is trading $7.50. The LIVEVOL™ Pro Summary is below.

The company traded over 16,000 options on total daily average option volume of just 2,772. All but 113 contracts have been calls. The action has been in the Nov 20 calls where over 15,000 have traded. 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 opening (compare OI to trade size). You can also see that Oct vol is below Nov, Jan'11, Feb'11 and even Jan'12.

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

As expected, the order flow has pushed the vol in Nov up on the call side. A reverse skew has formed in Nov, making those calls less attractive as a purchase.

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). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

Two things I note. First, the IV30™ lies in between the HV20™ and HV180™ making it sort of a coin flip as to a purchase or a sale. Second, note that LPX was as high as $13.44 in April, making the 9 level call feel very "in the money-able" for lack of a better term.

This is trade analysis, not a recommendation.

Legal Stuff:

1 comment:

  1. the trade was tied to stock, check out the 1 min chart on LPX at the time the trade went across