Wednesday, June 22, 2011

Tibco Software (TIBX) - Earnings Bet in the Calls

TIBX is trading $25.73, up small on the day with IV30™ unched. The LIVEVOL® Pro Summary is below.


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TIBCO Software Inc. (TIBCO) is an independent provider of middleware and infrastructure software. The company has earnings due out tomorrow AMC, and this is an order flow note that examines some bullish action ahead of the earnings release.

The company has traded over 24,000 contracts on total daily average option volume of just 2,942. Calls have traded on a 9.8:1 ratio to puts with the largest trade being 10,000 Jul 26/ Aug 28 call spread for $0.25. Mike Bristow of Vtrader Group gave me the color. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls on both sides are mostly opening (compare OI to trade size). When looking down the option chain for TIBX in the front two months, I don't see an OI larger than 4,900, so both sides of this trade are large and seem to be timed to earnings.

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

The skew has a normal shape -- with the front elevated to the back due to earnings. There don't seem to be any obvious kinks in the skew.

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 peaked over $30 and headed down until the last few trading days where it has recovered to ~$26. On the vol side, we can see the implied is trading above the historical measures as we head into earnings. It is interesting to note that in general the IV30™ trades above the realized vols.

This is trade analysis, not a recommendation.

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