Tuesday, January 4, 2011

NVIDIA (NVDA) - Calls Trade, Vol Pops, Skew Opens up Trades

NVDA closed yesterday at $15.82, up 2.7% with IV30™ up 10.2%. The LIVEVOL™ Pro Summary is below.


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The company has traded 100,284 contracts on total daily average option volume of just 33,705. Calls traded nearly 90,000x yielding a 7.9:1 call:put ratio. The action was in the Jan and Feb 15 and 16 lines. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls in Feb are mostly opening (compare OI to trade size). Jan is tougher to see. As of this morning:
Jan 15 call OI: 47,821 ---> 60,119
Jan 16 call OI: 29,427 ---> 31,348

I believe the OI is long, but I'm not sure. I am more confident in the Jan 15 line being long than the Jan 16 line.

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

I've highlighted the four strikes that were active. We can see a noticeable upside skew in Jan, with Feb and Mar sort of flattish.

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 steadily climbed over the last few months. On the vol side (bottom) we can see the IV30™ (short-term implied vol) is headed for the HV180™ (long-term realized vol) and is now well passed the HV20™ (short-term realized vol). As of this writing, the IV30™ is up another 0.5% today.

Possible Trades to Analyze
1. Jan Skew Hunting:
Buy the Jan 16/17.5 call spread for $0.34.
This purchases ~42 vol versus a ~49 vol sale in a call spread. Note that this is a $1.5 call spread, so some nice upside.

2. Small Skew Hunting:
For a small bet with low odds of success but a nice payout on a takeover, try paying $0.02 in the Jan 19/20 call spread. That's about a 6 point vol scalp, but again, likely a loser with a 50:1 MaxGain:MaxLoss ratio.

3. A sneaky Calendar with Delta and Skew:
Sell 1 Jan 17.5 call @ $.18 (~49 vol).
Buy 1 Feb 17 call for $0.56 (~44 vol).
Pay $0.38 to own upside and possibly earnings vol. This is my favorite trade. Note that earnings are very likely to be in Mar NOT Feb... NOT Feb... NOT Feb...

If NVDA doesn't bust through 17.5 by Jan expo, selling the Feb 18 calls against that long 17 call might leg into a call spread for free... Ooo, tricky....

This is trade analysis, not a recommendation.

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  1. I only see about 35k cts of calls trading when I total up the individual cts. Though bloomberg's "total" calls traded is in the 90k ct range. this is odd.

  2. 90k did trade. Where do you see only 35k?

  3. When I add up all the following I get 35,856. It's every call within five strikes of last trade running from Jan, 2011 to Jan, 2013. I don't really care, I was just looking for the MASSIVE trades that would have got us to 88k cts and couldn't find it.

    NVDA US 01/22/11 C11 Equity 4
    NVDA US 01/22/11 C12.5 Equity 109
    NVDA US 01/22/11 C14 Equity 2670
    NVDA US 01/22/11 C15 Equity 6616
    NVDA US 01/22/11 C16 Equity 3845
    NVDA US 01/22/11 C17.5 Equity 3350
    NVDA US 01/22/11 C19 Equity 597
    NVDA US 01/22/11 C20 Equity 59
    NVDA US 01/22/11 C22.5 Equity 1
    NVDA US 01/22/11 C25 Equity 240
    NVDA US 02/19/11 C11 Equity 1
    NVDA US 02/19/11 C12 Equity #N/A N/A
    NVDA US 02/19/11 C13 Equity 55
    NVDA US 02/19/11 C14 Equity 38
    NVDA US 02/19/11 C15 Equity 771
    NVDA US 02/19/11 C16 Equity 1447
    NVDA US 02/19/11 C17 Equity 1255
    NVDA US 02/19/11 C18 Equity 155
    NVDA US 02/19/11 C19 Equity 153
    NVDA US 02/19/11 C20 Equity 80
    NVDA US 03/19/11 C12 Equity 20
    NVDA US 03/19/11 C13 Equity 72
    NVDA US 03/19/11 C14 Equity 49
    NVDA US 03/19/11 C15 Equity 1140
    NVDA US 03/19/11 C16 Equity 1232
    NVDA US 03/19/11 C17 Equity 2081
    NVDA US 03/19/11 C18 Equity 20
    NVDA US 03/19/11 C19 Equity 9
    NVDA US 03/19/11 C20 Equity 196
    NVDA US 03/19/11 C22.5 Equity 50
    NVDA US 06/18/11 C12 Equity 2
    NVDA US 06/18/11 C13 Equity 18
    NVDA US 06/18/11 C14 Equity 3
    NVDA US 06/18/11 C15 Equity 143
    NVDA US 06/18/11 C16 Equity 151
    NVDA US 06/18/11 C17 Equity 8
    NVDA US 06/18/11 C18 Equity 287
    NVDA US 06/18/11 C19 Equity 1305
    NVDA US 06/18/11 C20 Equity 296
    NVDA US 06/18/11 C22.5 Equity 8
    NVDA US 01/21/12 C2.5 Equity 4
    NVDA US 01/21/12 C5 Equity 21
    NVDA US 01/21/12 C7.5 Equity 2
    NVDA US 01/21/12 C10 Equity 6
    NVDA US 01/21/12 C12.5 Equity 34
    NVDA US 01/21/12 C15 Equity 56
    NVDA US 01/21/12 C17.5 Equity 31
    NVDA US 01/21/12 C20 Equity 20
    NVDA US 01/21/12 C22.5 Equity 20
    NVDA US 01/21/12 C25 Equity 10
    NVDA US 01/22/11 P11 Equity 3
    NVDA US 01/22/11 P12.5 Equity 29
    NVDA US 01/22/11 P14 Equity 103
    NVDA US 01/22/11 P15 Equity 887
    NVDA US 01/22/11 P16 Equity 660
    NVDA US 01/22/11 P17.5 Equity 388
    NVDA US 01/22/11 P19 Equity 72
    NVDA US 01/22/11 P20 Equity 330
    NVDA US 01/22/11 P22.5 Equity 57
    NVDA US 01/22/11 P25 Equity 141
    NVDA US 02/19/11 P11 Equity 2
    NVDA US 02/19/11 P12 Equity 10
    NVDA US 02/19/11 P13 Equity 5
    NVDA US 02/19/11 P14 Equity 172
    NVDA US 02/19/11 P15 Equity 175
    NVDA US 02/19/11 P16 Equity 146
    NVDA US 02/19/11 P17 Equity 23
    NVDA US 02/19/11 P18 Equity 2
    NVDA US 02/19/11 P19 Equity #N/A N/A
    NVDA US 02/19/11 P20 Equity #N/A N/A
    NVDA US 03/19/11 P12 Equity 12
    NVDA US 03/19/11 P13 Equity 1334
    NVDA US 03/19/11 P14 Equity 85
    NVDA US 03/19/11 P15 Equity 136
    NVDA US 03/19/11 P16 Equity 70
    NVDA US 03/19/11 P17 Equity 95
    NVDA US 03/19/11 P18 Equity 57
    NVDA US 03/19/11 P19 Equity #N/A N/A
    NVDA US 03/19/11 P20 Equity #N/A N/A
    NVDA US 03/19/11 P22.5 Equity #N/A N/A
    NVDA US 06/18/11 P12 Equity 134
    NVDA US 06/18/11 P13 Equity 1352
    NVDA US 06/18/11 P14 Equity 63
    NVDA US 06/18/11 P15 Equity 12
    NVDA US 06/18/11 P16 Equity 50
    NVDA US 06/18/11 P17 Equity 6
    NVDA US 06/18/11 P18 Equity 13
    NVDA US 06/18/11 P19 Equity 45
    NVDA US 06/18/11 P20 Equity 51
    NVDA US 06/18/11 P22.5 Equity #N/A N/A
    NVDA US 01/21/12 P2.5 Equity 9
    NVDA US 01/21/12 P5 Equity 1
    NVDA US 01/21/12 P7.5 Equity 60
    NVDA US 01/21/12 P10 Equity 79
    NVDA US 01/21/12 P12.5 Equity 11
    NVDA US 01/21/12 P15 Equity 5
    NVDA US 01/21/12 P17.5 Equity 150
    NVDA US 01/21/12 P20 Equity 1
    NVDA US 01/21/12 P22.5 Equity 50
    NVDA US 01/21/12 P25 Equity 30

  4. Your data provider looks wrong. The Jan 12.5 calls traded 28,302x and it looks like that is implying 109. Are you sure those aren't OI changes?

  5. lol, I love when bloomberg is wrong. But, I actually have another system that also says 109cts for the jan 2011s. VERY interesting. It's all good, just odd to see that someone's system is way off, and it could well be mine. Seems strange that 28,302 would trade when they're 3.00 in the money and OI is 28,534, but again who knows. Appreciate your work man, thanks.

  6. Oh, no, I was wrong. It looks like the 12.5 call traded 9,487x, not 28k. That was my fault, sorry.