Friday, January 7, 2011

Frontline (FRO) - Call Buyer On Stock and Vol Pop

FRO is trading $27.20, up 0.5% with IV30™ up 2.7%. The LIVEVOL® Pro Summary is below.


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This is just a quick note on a stock I noticed yesterday.

Yesterday it closed up 3.5% with IV30™ popping 10.9%. Yesterday's summary is included below.

FRO is a shipping company. The Company is engaged primarily in the ownership and operation of oil tankers and oil/bulk/ore (OBO) carriers, which are configured to carry dry cargo.

Yesterday the company traded 10,687 contracts on total daily average option volume of just 2,585. Calls traded on an 8:1 ratio to puts. The action was in the Feb 29 calls, where over 5,700 contracts traded. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Feb 29 calls were mostly opening (compare OI to trade size). As of today the OI went from 287 to 4,863. I don't see any OI larger than that in the entire option chain. We are projecting FRO earnings are actually in the March cycle, not Feb.

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

Pretty normal looking.  The Feb 29 strike is still in line with the rest of the strikes.
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 started a rally of late and the implied vol has actually gone up during that time.

Finally, let's look to the Options Tab as of this morning.

This is trade analysis, not a recommendation.

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