Monday, February 7, 2011

Gannett (GCI) - Vol and Stock Explode; Skew Opens Up

GCI is trading $18.76, up 12.6% with IV30™ up 17.8%. The LIVEVOL® Pro Summary is below.


For a limited time we are offering a FREE real-time trial to Livevol® Pro for non-professional traders. You can get your trial by following the directions here: Click for Free Trial Offer

Gannett Co., Inc. (Gannett) is an international media and marketing solutions company. The Company publishes 83 daily United States newspapers, including USA TODAY, the daily print newspaper, and more than 650 magazines and other non-dailies, including USA WEEKEND.

Vol has been jumping in this name as the stock has been rising. On 1-31-2011, this was a $14.74 stock. Today, Feb vol is up 28 points or 74% while Mar is up 3.8 points or 9%.

The company has traded over 17,500 contracts in the first three hours on total daily average option volume of just 2,321. Calls have traded over 16,000 contracts yielding a 15:1 call:put ratio. Feb 16, 18 and 19 calls have been the most active. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). The Feb 16 calls look like purchases, but the 18 and 19 calls feel like sales, though I'm not sure because the skew makes it look like there is buying interest in the upside (rather than selling).

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

We can see a large vol difference opening up between the front and second months. Feb also has a pronounced upside skew with an interesting dip in the middle. The Feb skew and the Feb/Mar difference both represent interesting vol phenomena that are worth analyzing.

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).

It's interesting to see that GCI was an $11 stock just a few months ago. On the vol side we can see the IV30™ popping right off of the vol drop from earnings.

Possible Trades to Analyze
1. Trade Feb Skew:
Buy the Feb 19/20 call spread for $0.35 and scalp about 6 vol points. Those prices are hard to get, but there is liquidity in the calls so this one may be worth setting an aggressive price goal and not budging if you don't get it.

2. Trade the calendar spread to one side:
a. Buy the Feb/Mar 19 call spread for $0.30 and scalp about 18 vol points. Other strikes are worth analyzing as well.
b. Buy the Feb/Mar 17 put spread for $0.30 and scalp about 15 vol points.
Other strikes are worth analyzing as well.

3. Trade the calendar delta neutral:
Sell the Feb 18 straddle @ $1.75 (~64 vol).
Buy the Mar 18 straddle for $2.30 (~46 vol).

4. Just purchase the Mar vol:
If you think the vol is low in Mar given the recent stock moves, it's reasonable to analyze purchasing some Mar vol.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment