Thursday, August 25, 2011

Liz Claiborne (LIZ) - Call Buyers... Again...

LIZ is trading $4.46, up 3.6% with IV30™ down 3.4%. The LIVEVOL® Pro Summary is below.


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Liz Claiborne, Inc. (Liz Claiborne) designs and markets a portfolio of retail-based brands, including JUICY COUTURE, KATE SPADE, LUCKY BRAND and MEXX.

This is an order flow note that has lead me to a trade. Let’s start with some option volume details. The company has traded 4,255 contracts on total daily average option volume of just 1,344. Every option has been calls; i.e. no puts have traded. The largest trade was a purchase of Sep 5 calls ~4000x for $0.20 (the trade broke into a 2,300 lot print and then several hundred+ prints). The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). But check out the OI in the Oct 6 calls; it’s over 16,000. I see some very active days where that OI popped several thousand on 7-15-2011 and 7-27-2011. Both of those OI rise days look like opening purchases. My best guess is the Oct 6 call OI is long and accumulated over the last month (ish).

Let’s turn to the Skew Tab snap (below) to examine the vols by strike by month.

We can see the skew between the four and five strikes for both months is essentially flat. Sep is elevated to Oct by about six vol points. Oddly, the vol dips to the Oct six calls, which is “normal” skew shape, but abnormal given the order flow in my opinion.

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).

Check out the massively volatile stock price, coming from as high as $6.74 on 8-1-2011 to now below $4.50 in less than four weeks. We can also see the stock hit a bottom on 8-19-2011 of $4.02, and has since recovered (a bit). That price action includes a gap up on earnings. Hmmm…

I wrote about this one for (Options Profits), so no specific trade analysis here, but, the order flow in this one is compelling, and the stock drop but recent recovery makes the ~$4 level feel safe(ish); like it would take a catastrophe to push the stock to say $3. This is when the stock dips to $1 and I feel stupid...

This is trade analysis, not a recommendation.

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