Friday, August 5, 2011

Interactive Brokers Group (IBKR) - Vol Explosion, Downside Skew Opens Up

IBKR is trading $14.00, down 4.9% with IV30™ exploding up 57.4%. The LIVEVOL® Pro Summary is below.


Click for Free Trial


Interactive Brokers Group, Inc. (IBG, Inc.) is a holding company. IBG, Inc.'s primary assets include its ownership of approximately 10.8% of the membership interests of IBG LLC, the holding company for the Company’s businesses.

Other than a shelf offering and the general market down trend, I really don't know what's driving the vol explosion in IBKR. Today the company has traded 20,683 contracts on total daily average option volume of just 1,391. Puts have traded on a 9:1 ratio to calls. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates the action. The Sep 15 and 16 puts are most active with a combined volume of over 8,000 contracts. Both lines show larger OI than trade volume. The Sep 16 puts are purchases today against an OI I really can't figure out (i.e. dunno if it's long or short). The Sep 15 puts are also long today.

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

The front month ATM is priced right around (or even a bit below) the second month. What caught my attention on this one is that as the vol has exploded, the Aug 13 puts have also exploded. The vol diff between the front two months in those puts is now 15. Or, said differently, the Aug 13 puts are priced about 40% higher than the Sep 13 puts wrt vol. Hmmm...

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 drop and more notably the vol rise today. The 52 wk range in IV30™ is [38.02, 96.22], so the options have seen this level before. That high was reached on 1-3-2011. Oddly enough, that was a stock spike, not a stock drop.

Possible Trades to Analyze
Obviously there has to be some research into what is pushing vol so high. Until then, any kind of naked trade is literally shooting with your eyes closed. One trade that certainly has peaked my interest though, even without knowing the full story, is the Aug/Sep 13 put spread. That 15 vol point difference is certainly worth some analysis, especially if the fill can be had mid-market (ish).

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment