Thursday, July 28, 2011

NXP Semi (NXPI) - Earnings Approach, Skew Flattens, Order Flow to Calls

NXPI is trading $20.80, up 1.4% with IV30™ down 1.5%. The LIVEVOL® Pro Summary is below.


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NXP Semiconductors N.V. (NXP) is a global semiconductor company and a supplier. The Company provides High-Performance Mixed-Signal and Standard Products solutions.

The company has earnings due out today, AMC. This is a quick order flow note. The company has traded over 8,700 contracts on total daily average option volume of just 2,501. Calls have traded on a 7.6:1 ratio to puts with the action in the Sep 20 and Aug 22.5 calls. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that both the Sep 20 and Aug 22.5 calls have existing OI greater than trade volume. I believe the Aug calls are short interest against purchases today and the Sep calls have long interest on purchases today. In English, I think the interest in Aug will go down (closing) and Sep should increase (opening).

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

There's a great term structure diff from month-to-month which is apparent in this chart. That crazy vol in the OTM calls in Aug is just reflecting a nickel bid in the Aug 30 calls. Other than that, the skew shows an interestingly flat curve.

Out of curiosity, I checked the skew a month ago (ish) to see if it showed the same shape, and... it did. I've included the Skew Tab from 6-24-2011, below.

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).

The vol pop into earnings is notable, though at this level (68.42) the options are still not at an annual high. The 52 wk range in IV30™ is [30.43, 75.07].

Possible Trades to Analyze
The flat skew is tantalizing as selling calls and buying puts when skew is flat feels like a reasonable trade to analyze. But, given that this shape is "normal" for this stock, tantalizing might go to "not that interesting" pretty fast. Following order flow is another possibility, but then again...

This is trade analysis, not a recommendation.

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