Thursday, March 17, 2011

UltraShort Yen Shares (YCS) - Vol Exploding, Spec Bet on One-day Move

YCS is trading $14.78, down 1.8% with IV30™ jumping up 22.3%. The LIVEVOL™ Pro Summary is below.


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The investment seeks to provide daily investment results (before fees and expenses) that correspond to twice (200%) the inverse of the daily performance of the U.S. Dollar price of the Japanese Yen.
Source: Yahoo! Finance

The ETF has traded over 14,000 contracts on total daily average option volume of just 713 with calls trading on a 13:1 ratio to puts. The action has been in the Mar 15 calls and the Apr 15 calls. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Mar and Apr 15 calls are mostly opening (compare OI to trade size). It's interesting that the action is in the Mar 15 calls which expire tomorrow. It's a spec bet with the potential for a large payoff or an immediate 100% loss.

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

We can see the skew is parabolic in Apr -- upside and downside OTM options are more expensive than ATM options. There is an interesting spike in the May and Aug ATM options.

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 IV30™ was 20.82 exactly 7 calendar days ago, so it has more than doubled in that time. In that same span, the ETF has gone from $16.26 down to the $14.70 range.

This is trade analysis, not a recommendation.

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