Wednesday, September 1, 2010

* UPDATE: Hertz (HTZ) - Jan Call Interest, Spiking Vol, Stock Near Annual Low


HTZ is trading $9.01, up 5.9% with IV30™ down 5.8%. The LIVEVOL™ Pro Summary is below.

This is an update to the blog I posted yesterday (8-31-2010): Hertz (HTZ) - Risk Reversal Trades in Jan on Stock Yearly Low

Yesterday I noted that:
"The company has traded over 12,600 options on total daily average option volume of just 1,652. The largest trade was a Jan'11 7.5/10 risk reversal (sell puts/buy calls)."

Today Darren Story from Student Options told me:
"HTZ jan 10 c 5000 traded 1 custy bot and crossed out right."

The company has traded over 8,000 options in the first three hours on total daily average option volume of just 1,865. The largest trade is the Jan'11 10 call purchase. 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 OI in the Jan'11 calls is already 5,000+; we know from yesterday this is long interest from the risk reversal. This is another bullish bet on the same line.

The Jan'11 10 calls are trading at about 59 vol which is less than the IV30™ which itself is down 5.4% today.

Let's look to the Charts Tab (click to enlarge) before the Skew Tab. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

We can still see an impressive divergence of the implied to the historical with IV30™ at ~63 and HV20™ at ~36. The stock has pooped a bit today with the general market, but is still hovering near it's 52 wk low of $8.36.

Also notice the green coloring of the volume bars at the very bottom for the last two days. This is opening order customer call purchasing on ISE.

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

It's interesting that the Jan'10 call skew is still "unaffected" by the buying interest. Hmm...

This is trade analysis, not a recommendation.

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