Friday, February 25, 2011

Range Resources (RRC) - Calls Trade in Rising Stock

RRC is trading $53.05, up 1.8% with IV30™ unched. The LIVEVOL® Pro Summary is below.


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Another energy company...Range Resources Corporation is an independent natural gas company, engaged in the exploration, development and acquisition of primarily natural gas properties, mostly in the Southwestern and Appalachian regions of the United States.

The company has earnings due out 2-28-2011.

I wrote about this company on 7-28-2010. I noted some call order flow. At the time the stock price was ~$38, and we can see where it is today. You can read the older post here:
Range Resources (RRC) - Aug Options Trade; Skew Bends

Today, the company has traded over 13,000 contracts on total daily average option volume of just 3,868. Calls have traded on a 17:1 call:put ratio. Just over 10,000 Jun 70 calls have traded -- I believe them to be mostly purchases. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Jun calls are opening (compare OI to trade size). The largest OI I see is 6,471 (Mar 52.5 calls) so the 10,000 or so Jun calls is substantial.

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

The skew doesn't really show a change in shape which I find a bit odd.

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 popped intra-day on 2-23-11, though finished the day up just ~$0.50. IV30™ is steadily rising into earnings, though the systematic risk is also playing a role.

This is trade analysis, not a recommendation.

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