Thursday, November 11, 2010

Clearwire (CLWR) - Elevated Vol, Stock Plunge and More Vol Bets

CLWR closed yesterday at $6.02, down 4.4% with IV30™ up 16%. The LIVEVOL™ Pro Summary is below.


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The company traded over 7,200 options on total daily average option volume of just 1,184. The action was getting long a Dec 5/6 strangle paying ~$0.80. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls and puts are mostly opening (compare OI to trade size). We can also see that Nov vol jumped 11 points while Dec rose 9.4. Both monthly vols are now above 70.

The Skew Tab snap (below) illustrates the vols by strike by month.

I've highlighted the 5 and 6 strikes in Dec. I didn't include Nov in this chart b/c there aren't enough OTM options that are bid, so no real chart to display. It is interesting that both Dec and Jan have the same shape, though we can see how much higher the Dec vol is than Jan (~4 vol point difference ATM). The 7 strike shows a greater difference.

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 stock has been headed straight down of late. Just a couple of months ago this was an $8.50 stock, as of today it will open below $6. Also quite noteworthy, the IV30™ has consistently been above the historical vols, and yesterday it popped even more. Putting it to numbers:

IV30™ (short-term implied vol): 70.46
HV20™ (short-term realized vol): 38.57
HV180™ (long-term realized vol): 43.14

That's some high vol right there. Just to be clear, I don't see that as an obvious sale; especially given that the flow yesterday bought that vol.

In terms of trades, I dunno... I'd like to see some sort of vol difference open up between Nov and Dec; until then, maybe I just watch this one.

This is trade analysis, not a recommendation.

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