Friday, October 21, 2011

Chico's FAS (CHS) - Call Buying, Vol Rising

CHS is trading $12.32, up 2.0% with IV30™ up 10.7%. The LIVEVOL® Pro Summary is below.


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Chico’s FAS, Inc. is a specialty retailer of private branded, casual-to-dressy clothing, intimates, complementary accessories, and other non-clothing gift items under the Chico’s, White House / Black Market (WH/BM) and Soma Intimates (Soma) brand names.

This is an order flow note, based on what seems to be a rumor of a breakup. Let's start with the news snippet:

Chico's FAS (NYSE:CHS): Option volume 693 percent above average. Investors bought the November 14 calls for $0.20 to $0.25 amid rumors that Pershing Square wants to break up the company. CHS rose 1.82 percent to $12.30.

Source: Top 10 list of unusual option activity, Option Monster, written by David Russell.

For the record, these are Livevol® scans that Option/Trade Monster re-distribute.

CHS has traded 8,125 contracts on total daily average option volume of just 1,170 with calls trading on a 6:1 ratio to puts. It's the Nov 14 calls showing the most action, trading nearly 5,000 contracts -- substantially purchases. 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 volume). When looking down the entire option chain for CHS, the largest OI I see is 3,343, so these 5k (ish) are substantial.

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

The skew looks generally unaffected. CHS earnings the last two years have been on 11-18-2009 and 11-17-2010 and expo this year is 11-19-2011. But, as far as I have found, there are some places projecting CHS earnings after Nov expo.

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).

With the vol popping today, the implied is now trading above the two historical measures. Specifically:

IV30™: 52.57
HV20: 47.19
HV180: 42.27

Interesting that the vol is rising that substantially as the stock sits still (ish).

This is trade analysis, not a recommendation.

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