Tuesday, May 17, 2011

Avis Budget (CAR) - Order Flow Doubles Down on a Double Down

CAR is trading $17.32, down 2.6% with IV30™ down small. The LIVEVOL® Pro Summary is below.


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Avis Budget Group, Inc. (Avis Budget) provides car and truck rentals and ancillary services to businesses and consumers in the United States and internationally.

The company has traded over 10,300 contracts on total daily average option volume of just 2,872. The action has been in Aug -- someone bought 5,000 Aug 21/22.5 call stupids for $0.55 (bought both calls 5,000x) against a 30 delta tied to $17.50 stock. In English, there was a size call buyer on two consecutive OTM lines in Aug. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls on both lines are opening (compare OI to trade size). There's also some large OI in the Aug 15 and 16 calls. I believe both lines are long as well.

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. There's a tiny bump up in the 20 strike, but that's likely just the natural ebb and flow of prices.

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 been down of late after a climb from ~ $14 to $19. On the vol side we can see that the IV30™ is now elevated to both the short-term and long-term historical vols. It's an interesting phenomenon that IV30™ and Aug vol are almost identical.

Possible Trades to Analyze
Without a skew trade or even a calendar, I don't see any obvious vol trades to examine on this one. But, I would keep an eye out on the Aug OI, another huge order flow day on the same side in the same direction can certainly change that skew and throw it into a window of price discovery (and trade discovery).

This is trade analysis, not a recommendation.

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