Friday, March 11, 2011

XL Capital (XL) - Vol Pops in Insurer

XL is trading $22.11, down 0.5% with IV30™ up 15.1%. The LIVEVOL® Pro Summary is below.


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XL Group plc (XL), through its subsidiaries, is a global insurance and reinsurance company providing property, casualty and specialty products to industrial, commercial and professional firms, insurance companies and other enterprises on a worldwide basis.

Brendan Conway wrote a nice article in WSJ (online) today. You can read that article here:Quake, Tsunami Spur Japan Bears to Action

The company has traded over 11,000 contracts on total daily average option volume of just 2,264. Puts have traded on a 3.7:1 ratio to calls -- this is another insurance scare on the earthquake in Japan. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates the action in the April 20 puts -- the OI is very small relative to volume. These look like opening long positions in the puts.

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

The skew is actually quite nice -- the downside has a normal shape (increasing to OTM) and the upside is bid as well reflecting wing risk to both directions.

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).

Very much like AFL earlier today, the stock is down pretty significantly and the IV30™ is exploding. It's interesting to note that the short-term realized vol (HV20) is just about equal to the short-term IV (IV30™). Or, in English, the vol looks sort of fairish right now if the stock keeps moving this much.

This is trade analysis, not a recommendation.

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