Wednesday, September 8, 2010

Netezza (NZ) - Stock Rips, Vol Explodes on Takeover Chatter

NZ is trading $23.79, up 11.5% with IV30™ exploding, up 28.4%. The LIVEVOL™ Pro Summary is below.

Here is the news from Barron's Eric Savitz:
(Click Here to Read)

Netezza (NZ) shares are trading sharply higher amid renewed takeover speculation. notes that the data warehousing company’s stock has been goosed by news that it canceled a planned dinner with investors. (But the subscription-based news site says that a previous rumor that the company had canceled a conference appearance was incorrect.)

As I noted in a post yesterday, Oppenheimer analyst Ittai Kidron thinks NZ could be a potential acquisition target for a number of companies, including Dell, IBM and Hewlett-Packard.

The company has traded over 9,500 options on total daily average option volume of just 261. The action is in Sep, buying interest in the Sep 25 calls and the 22.5 puts. 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 and puts are mostly opening (compare OI to trade size).

The OI in the calls is 8.. eight...?... The puts have 11 OI. The Sep vol is up 34 points today (~50%) while Oct vol is up 16 points.

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.

Note how the stock has ripped since earnings a few days ago. The IV has jumped of late as well. This is similar (though more pronounced) than the BRCD action I posted yesterday. Click to read: Brocade (BRCD) - Stock Up, Vol Pops & Skew Goes Backwards on Takeover Rumors.

Interestingly, the vol is so high in the options that the skew isn't actually bent upwards, it's just high everywhere. The ATM straddle in Sep is trading 103 vol while the long term historical vol is just 61. Whoa...

This is trade analysis, not a recommendation.

Legal Stuff:


  1. So what's your strategy to benefit from this increased Vol?

  2. I can't give advice, but analyzing:

    Since Sep vol has exploded an Oct / Sep 25 call spread (buy Oct) could be ok if paying <= $0.90. That is long vega though. Maybe Sel Sep straddle and buy Oct, or sell Sep straddle and Buy the Oct strangle. Maybe even 1.1 x 1 on the long side?... That could cover up for a win if the stock moves a lot pre-expo.