Wednesday, June 29, 2011

eBay (EBAY) - Elevated Vol; Near-term Risk Above Earnings Risk

EBAY is trading $29.28, up 1.1% with IV30™ down 6.6%. The LIVEVOL® Pro Summary is below.


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eBay Inc. (eBay) bring together buyers and sellers every day on a local, national and international basis through a range of Websites. I noticed EBAY yesterday -- vol is elevated and was popping again. Today it's cooled off a bit, but the vol still has created an interesting phenomenon -- the front month is above the back, even though the back has earnings. Hmmm...

Options in general have been very active in EBAY, so something is afoot. But let's look to the vol charts rather than the order flow, for now.

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

So we can see that the Jul options are priced at higher vol than Aug. Again, I see a projection for the next earnings cycle as 7-20-11, with the Jul cycle expiring the Friday/Saturday before (7-16-2011).

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).

The key here is the vol portion. We can see:

IV30™: 45.13
HV20: 31.30
HV180: 29.25

More specifically:
Jul vol: 48.01
Aug vol: 43.67

So, again, we have the option markets reflecting risk in Jul greater than the known vol event in Aug (earnings). Let's turn to the Options Tab (below).

Notice how large the OI in the front month is. The average OI over the last 60 trading days in EBAY has been 470,332 (overall). Right now, the OI is 733,429 (overall). Positions building, vol elevated, and the only news I see is this:

"eBay to eliminate a supermajority voting requirement in its bylaws"
Provided by (

Something tells me, there's more to this vol than that...

This is trade analysis, not a recommendation.

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1 comment:

  1. i have noticed some large blocks of PUT selling, looks like some of the larger players are looking to take advantage of this elevated Vol