Wednesday, May 11, 2011

US Airways (LCC) - June OTM Call OI Gets Massive

LCC closed yesterday at $9.50, up 1.9% with IV30™ at 56.99%. The LIVEVOL® Pro Summary is below.


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US Airways Group, Inc., through its subsidiaries, provides air transportation for passengers and cargo.

I noticed the company yesterday because of some call side order flow which has now grown to a massive size. The company traded over 36,500 contracts yesterday on total daily average option volume of just 10,191. Calls traded on a 17.1:1 ratio to puts, with over 28,000 Jun 10 calls trading. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Jun 10 calls showed an OI of 22,946 as of yesterday. Today that OI has jumped to 49,069. So yesterday's action was opening and doubling down. I believe the action yesterday was long. Also, take a look at the sizes of some of these trades: 8,000, 5,433, 4,826 -- these are not retail order flow, IMO.  The stock volume was ~ 8.5 million yesterday on average of ~ 7.5 million.  So it doesn't feel like these calls are getting turned into puts or straddles (i.e. the stock volume would need to be even higher than just 1 million more than average, IMO).

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

The upside isn't really bid in any month. I do note that vol is higher in Jun than in May or Sep and I believe earnings are due out at the end of July (so the Sep cycle).

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).

As the stock has risen the vol has followed. IV30™ is now ~15 vol points (~37%) higher than HV20 and ~10 vol points (~20%) higher than HV180. Interesting...

This is trade analysis, not a recommendation.

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