Tuesday, April 26, 2011

Valassis Communications (VCI) - Pre-earnings Order Flow and High Vol

VCI is trading $26.68, up 0.8% with IV30™ up 0.3%. The LIVEVOL® Pro Summary is below.


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Valassis Communications, Inc. (Valassis) is a media and marketing services company. The Company’s RedPlum portfolio of products and services delivers value on a weekly basis to more than 100 million shoppers across a multi-media platform, in the mailbox, in the newspaper, on the doorstep, in store and online.

This is another pre-earnings order flow note. The company has traded over 7,400 contracts on total daily average option volume of just 1,475. Calls have traded on a 16:1 ratio to puts with the action in the May 27.5 calls -- 7,000 traded in one print on ISE, looks like purchases. The Stats Tab and Day's biggest trades snapshots are included (below).

The ISE trade went up at 11:22am EST. I've included the Tick Chart from LVP -- check out the stock jump after the trade.

The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). I actually think that the existing OI is short. The large OI in the May 30 calls also looks short.

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

The skew is essentially as "normal" as can be. The upside isn't bid, the downside is. No real adjustment to that large order on any strike in either of the front two months.

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 come down quite significantly from 6 mos. ago. On the vol side, we can see that IV30™ tends to trade above the realized vol of the stock (both long and short-term). Hmm... There was a large stock order about a minute after the option trade -- 287,000 shares. Let's see what happens in a couple of days, but the large trade today did purchase some expensive vol.

This is trade analysis, not a recommendation.

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