Friday, October 14, 2011

Tyco Electronics (TEL) - Order Flow in Calls and Earnings Vol Comp

TEL is trading $33.87, up small with IV30™ up 2.8%. The LIVEVOL® Pro Summary is below.


Click for Free Trial


TE Connectivity Ltd., formerly Tyco Electronics Ltd., designs and manufactures over 500,000 products that connect and protect the flow of power and data inside various products.

This is another order flow note, heavy to the call side but this time not baed on a takeover rumor, but rather inclusion into the S&P 500. The company has traded over 13,000 contracts on total daily average option volume of just 350. All but 71 contracts have been calls yielding a 188.6:1 call:put ratio. The largest print was this:
"TEL cust bot 9500 oct 35 calls for .3750 vs 33.80 on a 27 delta"
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). Considering that the entire OI on all options for TEL is 12,588, the action today in the Oct calls is quite substantial.

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

Interestingly, the skew hasn't really moved much with the Oct 35 strike still quoting at lower vol than the Oct 30 strike. In general, the Oct vol is above Nov. The last earnings cycle on around this time of year last year was 10-28-2010, and before that was 11-4-2009. It's a reasonable assumption that the next earnings cycle for TEL will be after Oct expo (and in Nov). 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 plummeted in late Jul / early Aug but of late has rallied hard. This was a ~$26.50 stock at the low on 10-4-2011 and is now close to $34.

On the vol side, everything looks fairish with IV30™ dipping below the short-term realized historical vol but still above the long-term trend.

Possible Trades to Analyze
Other than working on that Oct 35 call -- either buying the flow or selling at bid prices, the Oct 30/ Nov 30 put spread may be interesting. Selling ~ 15 vol points higher than it purchases, that calendar owns earnings vol for less than non-earnings. Perhaps a ratio is also an interesting position to examine, though the recent realized vol is worth noting (i.e. risky).

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment