Friday, January 14, 2011

Aetna (AET) - Call Accumulator Doubles Down

AET is trading $33.55, up 2.3% with IV30™ up 0.7%. The LIVEVOL® Pro Summary is below.


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The company has traded nearly 20,000 contracts in the first three hours on total daily average option volume of just 6,012. Over 18,000 Apr 33 calls have traded. They look like purchases. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls in Apr have an OI of 15,820. I've also included the Level II of those calls below the Options Tab.

We can see on 1-7-2011 the OI jumped. I've included the trades on 1-6-11 in those calls.

The largest trade was a 14,500 lot for $1.37 against an NBBO of 1.34 x 1.37. So these look like purchases, meaning the purchases today are a double down to this existing OI.

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

What's odd is that the skew doesn't really show a change in shape. A bit strange.

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).

We can see the stock has been climbing over the last few weeks. On the vol side (bottom), we can see the IV30™ has popped to the long-term trend and is already well past the HV20™. Note that earnings are in the Feb cycle.

Possible Trades to Analyze
Not a whole lot going on here vol wise. I don't like selling that upside naked, just in case something is coming. A delta bet on earnings is possible.

This is trade analysis, not a recommendation.

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