Monday, February 28, 2011

Staples (SPLS) - Earnings Bet to Upside

SPLS is trading $21.20, up 1.2% with IV30™ up 2.4%. The LIVEVOL® Pro Summary is below.


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Staples has earnings due out 3-2-2011.  Last cycle (11-18-2011) the stock popped 5%.

The company has traded nearly 16,000 contracts in the first two hours on total daily average option volume of just 1,776. The largest print was 9,000 Mar 22 calls bought for 0.30 tied to $21.11 stock. Color from Mike Bristow of the V-trader Group. In total, over 11,000 Mar 22 calls have traded. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Mar 22 calls are mostly opening (compare OI to trade size). Note also that over 2,000 Apr 22 calls traded as well -- they look like purchases on nearly no OI.

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

The skew is pretty flat, but note the Apr 22 strike is bid up from that order flow.

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 fallen of late. As the stock has dipped, the IV30™ has shot straight up from ~20 to over 30 (or a 50% increase) in the last two months.

This is trade analysis, not a recommendation.

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