Friday, July 8, 2011

Archer-Daniels-Midland (ADM) - Call Accumulator into Earnings, Vol Pops

ADM is trading $30.81, up 1.2% with IV30™ up 16.2%. The LIVEVOL® Pro Summary is below.


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Archer Daniels Midland Company is principally engaged in procuring, transporting, storing, processing, and merchandising agricultural commodities and products. The company has traded over 49,000 contracts on total daily average option volume of just 9,987. Calls have traded on a 4.4:1 ratio to puts. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates the action. The Aug 32 calls are the most active with over 5,700 trading. Those look like purchases (substantially) and are mostly opening (compare OI to trade size). The Aug 31 calls have an OI of 6,742 -- that action took place recently (in late Jun) and I believe that interest is long as well.

ADM has earnings due out on 8-2-2011 (projected), meaning there are some call accumulators in the earnings month in the OTM and ATM calls... Tricky... The order flow has popped IV30™ nicely today.

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

The skew is actually disappointingly normal, though pretty. Aug is elevated to Jul b/c of earnings. That bid skew to the downside in Jul is just a cab bid in the 28 puts, so nothing to get excited about.

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 vol explosion today on the bottom. The historical realized vol has been relatively muted and the vol diff between implied and the HV has opened to 6.63 vol points or 22%. The 52 wk. range in the stock price is [$25.71, $37.83] and the 52 wk range in IV30™ is [21.83, 34.36].

This is trade analysis, not a recommendation.

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