Thursday, June 9, 2011

Rubicon Technology (RBCN) - Calendar Spread and a Cool Name

RBCN is trading $21.98, up 1.4% with IV30™ unched. The LIVEVOL® Pro Summary is below.


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Rubicon Technology, Inc. (Rubicon) is an electronic materials provider, which develops, manufactures and sells monocrystalline sapphire and other crystalline products for light-emitting diodes (LEDs), radio frequency integrated circuits (RFICs), blue laser diodes, optoelectronics and other optical applications.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.

The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Looking to the Skew Tab (below), we can see the month-to-month and line-by-line vols.

We can see how the front month is elevated to the back. More specifically, it looks like the vol diff between the OTM options is greatest (see the 21/24 strikes).

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

The vol is fair value (ish) as IV30™ is in between HV20 and HV180. Specifically:

IV30™: 52.16
HV20: 41.95
HV180: 53.05

Finally, let's look to the Options Tab (below).

Potential Trades to Analyze
1. ATM calendar:
The Jun/Jul 22.5 straddle calendar sells ~7 vol pointed higher than it purchases.

2. OTM Calendar:
The Jun/Jul 21/24 strangle calendar sells ~ 57 vol and purchases ~48 vol. Interestingly the Jun strangle vol is price over HV180 (long-term historical trend) and the Jul strangle vol is priced under the HV180.

On a side note, I love this company's name... The movie I just wrote/directed/produced is called Rubicon's Broken ( We're still in post-production so the website is in pre-aplha, but if you TURN UP THE VOLUME, you'll get the idea (you can roll over the names on the images as well).

This is trade analysis, not a recommendation.

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