Tuesday, February 22, 2011

Clean Energy Fuels (CLNE) - Vol and Stock Pop on UPS Deal

CLNE is trading $13.13, up 9.8% with IV30™ up 13.2%. The LIVEVOL® Pro Summary is below.


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Clean Energy Fuels Corp. is a provider of natural gas as an alternative fuel for vehicle fleets in the United States and Canada.

Thew news today:
UPS, the world’s largest package delivery company, has contracted with Clean Energy Fuels Corp. to fuel its new fleet of 48 liquefied natural gas (LNG) package transportation trucks at a new truck fueling station near UPS facilities in Las Vegas, Nevada. The agreement has a seven-year initial term with three one-year renewal options. Clean Energy will design, build, own and operate the station, which is set for opening in the first half of 2011.
Source: Clean Energy Fuels Corp.

There's also an excellent article posted by OptionMonster (written by David Russell). You can read that here:
Clean Energy surges as the bears give in

Finally, note that the company is due to report earnings on 3-10-2011.

The company has traded nearly 8,000 contracts in the first four hours on total daily average option volume of just 1,612. Calls have traded on a 7.7:1 ratio with puts. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates the action. The Mar 12, 13, and 14 calls are active. The order flow looks to be purchases and the vol spike is more confirming evidence, but I'm not sure as at least some of the trades look like they were offered down.

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

An interesting phenomenon has developed -- the upside skew in Mar (red) has bent up, while the upside skew in Apr (yellow) has bent down. This makes an interesting trade to analyze.

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 pop today and how the IV30™, which was already trading above the historical vols, is popping with the underlying.

Possible Trades to Analyze
1. Calendar spread the upside skew:
a. Buy the Mar/Apr 14 call spread for $0.30.
b. Buy the Mar/Apr 15 call spread for $0.25.
NB: This sells vol in an earnings month, so it's got some added risk.

2. Call spread in Mar:
a. An interesting spread could be the Mar 12/13 call spread for $0.60. This trade carries a healthy delta as it's already $1.13 ITM. This is more a bet that CLNE stays above $13 than a bet that it will rise higher.
b., c., d. The 13/14, 14/15, and 15/16 call spreads are also worth analyzing -- each has a different expectation tied to it. In general, when doing a call spread, the short strike is the price you want to bet the stock will go to.

3. As always:
This might just be one to skip.  The Mar vol should go up as we approach earnings -- perhaps another trade to analyze will appear if the skew diverges to the upside (or downside) between the front two months.

This is trade analysis, not a recommendation.

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