Monday, October 11, 2010

Immunogen (IMGN) - Calls Bought Ahead of Conference Call

IMGN closed $7.10 on Friday, with IV30™ up 25% coming into this morning's conference call. The LIVEVOL™ Pro Summary is below.


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The company traded over 16,000 options on total daily average option volume of just 912. All but 1,594 contracts were calls, yielding a 9:1 call:put ratio. The action was in the Oct 7.5 calls for ~$0.275 were cust bought outright. Color from Mike Bristow, Vtrader Group. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls were substantially opening (compare volume to OI).

Finally, the Charts Tab (6 months) is below. 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.

We can see in late August the stock gapped down hard but since then has done a steady climb up. Today the stock is trading $7.75 pre-market on the conference call. The calls bought for $0.275 at this moment, pre-open are worth at least that in parity, so those look like a winner as of right now.

The Nov 7 calls also traded substantially opening purchases for ~ $0.75. Those could be a winner, but we'll have to see where vol goes.

This is trade analysis, not a recommendation.

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