Wednesday, March 23, 2011

Wyndham Worldwide (WYN) - Vol Seller in May On Convergence

WYN is trading $30.28, down 0.6% with IV30™ down 4.1%. 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. Click for Free Trial Offer

Wyndham Worldwide Corporation is a hospitality company. The Company offers individual consumers and business customers a range of hospitality services and products across various accommodation alternatives and price ranges through its brand portfolio.

There is some interesting vol order flow in May that I felt was worth a note.

The company has traded over 9,500 contracts on total daily average option volume of just 1,915. The action is in the May 30/31 strangle, which has been sold ~ 4,000x (for 8,000 contracts). The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls and puts are mostly opening (compare OI to trade size). The resulting OI should be larger than on any other lines in the front two months.

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

The line-by-line skew has maintained it's shape and more holistically, May vol has not dipped below Apr (May is actually 2 points higher than Apr).

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV60 - yellow vs HV60 - blue vs HV180™ - pink).

IV60: 33.20
HV60: 30
HV180: 31.23

So the intermediate-term implied vol (IV60) is still above the intermediate-term historical trend (HV60) and the long-term trend (HV180). We can see though that the IV60 was actually as high as 39.45 on 3-16-2011, and has begun to converge with the historical vols since then. In English, the vol trade looks to sell the high yellow line which seems to be dipping down to the other two colors.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment