Tuesday, June 21, 2011

OCZ Technology (OCZ) - Elevated Vol to Upside Order Flow

OCZ is trading $8.30, up 5.2% with IV30™ down 4.3% as of ~11:15am EST. The LIVEVOL® Pro Summary is below.


Click for Free Trial


OCZ Technology Group, Inc. (OCZ) is a provider of high performance solid state drives (SSDs) and memory modules for computing devices and systems.

The company caught my eye yesterday with some overwhelming order flow on the call side with the action focused on the Jul 7.5 calls. More than 6,400 of the Jul 7.5 calls traded – the largest trade was a purchase for $0.90 on AMEX. Overall option volume was 7,718 compared to a total daily average volume of 4,332. Calls trade on a 37:1 ratio to puts.

Let’s look to the Skew Tab to examine the line-by-line vols.

I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis. I have highlighted the vol difference between the Jul and Aug 10 strikes. The divergence exists because the upside in Jul is bid while the upside in Aug slopes down (like a “normal” skew shape). So, while the ATM vols are nearly identical, the upsides are priced to a 7 point vol difference.

Let’s turn to the Charts Tab. The top portion is the stock price, the bottom is the vol (IV30™- red vs HV20 - blue vs HV180 - pink).

We can see that the stock can be quite volatile. In fact, the 52 wk low is $1.79. On the vol side we can see that IV30™ is elevated to the historical measures. Specifically:

IV30™: 81.01
HV20: 67.26
HV180: 73.22

OCZ does have earnings due out at the end of this expiration cycle (that’s a projection) so the vol could very well rise from here. Ultimately, selling earnings vol to buy the back month may not be a great move -- at least not yet.

The Options Tab is included below for completeness.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment