Wednesday, July 27, 2011

TriQuint Semi (TQNT) - Earnings Pattern and Vol

TQNT is trading $10.39 down 2.3% with IV30™ popping up 11.4% as of ~ 11:15am EST. The LIVEVOL® Pro Summary is below.


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TriQuint Semiconductor, Inc. (TriQuint) is a supplier of modules, components and foundry services for communications applications. The company has earnings today AMC.

Let’s take a look at the stock price moves over the last eight earnings releases, below.

Over the last six reporting cycles, the stock hasn’t gapped one way or the other. The stock move off of the 10-21-2009 cycle is notable in how large it was.

Today the stock has traded over 8,000 contracts in the first two hours on total daily average volume of just 1,416. Calls have traded on 4.1:1 ratio to puts. I’ve included the Stats Tab and Day’s Biggest Trades below.

Let’s turn to the Skew Tab and examine the month-to-month and line-by-line vols.

As expected, the front month vol is elevated to the back due to earnings. I find the vol diff to be pretty interesting, not that the front is elevated, but by how much.

The Aug ATM vol is priced at ~74 while Sep ATM vol is priced at ~63. Keep in mind that Aug expires on Aug 20th, so it’s a long expo and that dilutes the one day earnings vol. In English, that 74 vol over the entire month implies a very high vol for that single earnings day (today).

Let’s turn to 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).

Most notably, that vol has popped of late. A bet that there's another muted move off of earnings could sell that vol and cover with some other options. Let’s turn to the Options Tab for completeness.

I wrote about this one for (OptionsProfits) so no specific trade analysis here. I do note that the HV10, HV20 and HV30 are all over 50 vol – so it might be reasonable to assume that Sep vol goes from 64 (ish) to 50 after earnings (or on Aug expo) while the Aug options obviously would expire worthless if they're OTM on expo.

This is trade analysis, not a recommendation.

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