Friday, June 17, 2011

PharmAthene (PIP) - Small Pharma, Big Order Flow

PIP is trading $2.69, down 2.5% with IV30™ up 4.6%. The LIVEVOL® Pro Summary is below.


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PharmAthene, Inc. is a biodefense company engaged in the development and commercialization of medical countermeasures against biological and chemical weapons.

This is a note on what seems to be a sneaky call accumulator in a tiny pharma company. The company has traded 4,455 contracts on total daily average option volume of just 658. Calls have traded on a 57.6:1 ratio to puts. The big trade was a Sep 5/7.5 c/s bot for $0.30 -- color from Mike Bristow of Vtrader Group. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the Sep 5 calls have an existing OI of 6,696. I believe that existing interest is long, making the call spread a further accumulation of deltas in Sep.

I've included the OI chart below. The start date is 4-26-2011. The point here is simply that that interest has been accumulated of late, sort of "quietly."

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

We can see the OTM calls are bid in all three months. If you look at it for a sec. you'll realize that the 7.5 calls are bid even in July. This is a $2.69 stock.

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 steadily dropped of late. The implied has traded above the historical vols for all six months in this chart. Though not shown in this chart, in a five day period (ish) in mid October of last year, this stock went from ~$1.50 to over $4.

Possible Trades to Analyze
The stock itself is basically an option. I guess the question is, do you want to bet that these options are accumulated by someone that's "in the know" or is this just noise?...

This is trade analysis, not a recommendation.

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