Tuesday, April 12, 2011

Fairchild Semi (FCS) - Calls Trade Size Two Days Pre-Earnings

FCS is trading $19.00, with IV30™ up 8.3%. The LIVEVOL® Pro Summary is below.


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Fairchild Semiconductor International, Inc. is focused on developing, manufacturing and selling power analog, power discrete and certain non-power semiconductor solutions to a range of end market customers.

There's some interesting one-sided front month earnings order flow here. The company has traded over 7,604 contracts on total daily average option volume of just 822. All but 200 contracts have been calls, yielding a 37:1 call:put ratio. The action has been in the Apr 19 calls, where 7,211 contracts have changed hands -- substantially buyer initiated in my opinion. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Apr 19 calls are mostly opening (compare OI to trade size). When looking down the entire option chain for FCS, I don't see any OI larger than 1,907, so assuming the order flow in the calls is substantially one-sided, the resulting open interest will be very large for this company..

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

The front month is hyper elevated to the back because of earnings and expo -- essentially Apr options come down to the single day of earnings. It is interesting that the upside skew isn't bending upwards toward order flow. It will be interesting to see the OI tomorrow, maybe it isn't one-sided, though that would surprise me.

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 climbed over the last 6 months. On the vol side (bottom), we can see the IV30™ peaked in early/mid March, has come down and now is rising again into the earnings announcement.

This is trade analysis, not a recommendation.

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