Wednesday, April 6, 2011

Comerica (CMA) - Call Buyer Ahead of Earnings Cycle

CMA is trading $37.23, up 0.6% with IV30™ up 2.6%. The LIVEVOL™ Pro Summary is below.


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Comerica Incorporated (Comerica) is a financial services company. The Company operates in four segments: the Business Bank, the Retail Bank, Wealth & Institutional Management and the Finance Division

The company has traded just under 15,000 contracts on total daily average option volume of just 3,435. Calls have traded on a 9:1 ratio to puts with the action in Apr 38 kind, where more than 12,000 contracts have changed hands. What's odd is that earnings are due out after Apr expires. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). When looking down the entire option chain for CMA, I don't see any OI larger than 4,000, so this size is large for this stock. The trades look like substantially purchases to me based on prices and the vol increase is confirming circumstantial evidence.

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

What's odd is that the skew doesn't really show a change in shape. In fact, while the downside vol in Apr is above May, the upside in Apr is lower than May even though the order flow is in the Apr upside. I do note that earnings are due out in the May cycle (after Apr expo).

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).

Just as the skew shows very little obvious opportunity to spread, the IV30™ is essentially dead middle in between the HV20 and HV180. In English, other than the one-sided order flow, I don't see any clear vol discrepancies to trade.

This is trade analysis, not a recommendation.

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