Thursday, September 23, 2010

* UPDATE: SunPower (SPWRA) - Cheap Vol Was a Purchase


SPWRA is trading $14.01, up 11% with IV30™ up 6.8%. The LIVEVOL™ Pro Summary is below.

On 9-20-2010 I posted an article on SPWRA, noting the low vol relative to short term and long term historical. I made use of a custom scan in Livevol Pro and illustrated how to re-create it.  You can read that blog here:
SunPower (SPWRA) - Low Vol and Uneven Skew May be Purchase

The stock was trading $12.39 at the time. I noted:
"We can see the IV30™ is 51 while HV20™ and HV180™ are 62. In other words, the short term and long term realized volatility in the stock has been more than 10 points higher than the current implied. This stock was recently upgraded by two sell side firms giving it a nice little pop at the end of August and shooting the HV20™ up."

As of today the stock has moved and vol has risen, making the straddle a winner to both phenomenon. The Options Tab is included (click to enlarge).

If you made this trade, nice... The 13 straddle is worth ~$1.63 today and was worth $1.37 three days ago, or a 19% win since Monday.

Selling the upside might be a good idea covered to the long straddle, or closing the position entirely to take the win also makes sense.

This is trade analysis, not a recommendation.

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