Thursday, December 8, 2011

Morgan Stanley (MS) - Rising Vol, OTM Calls Elevated

MS is trading $16.44, down 5.2% with IV30™ up 6.6% as of ~10:20am EST. The Livevol® Pro Summary is included below.


Click for Free Trial


Morgan Stanley is a global financial services firm that, through its subsidiaries and affiliates, provides its products and services to a group of clients and customers, including corporations, governments, financial institutions and individuals.

This is a vol note surrounding the upside in MS. Let’s start with the Skew Tab, below.

We can see the front month is elevated to the back. Additionally, we can see that the front month skew is actually semi-parabolic, creating a vol gap between the Dec and Jan upsides.

Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).

In the stock portion, we can see how MS underlying seems to have hit (perhaps temporarily) an upper bound and may have turned toward the downside. That recent stock chart is nearly identical to most of the market – the indices rallied hard on the added steps taken by Europe, ECB, IMF, etc, and have taken a bit of breather in the last few sessions.

In the vol portion we can see the implied is rising, but is still in between the short-term historical realized vol and the long-term.

Let’s turn to the Options Tab for completeness.

I wrote about this one for (OptionProfits), so no specific trade analysis here. I will say that the OTM calls in Dec are priced above the HV20, HV180 and IV30™ which is interesting. The market reflects substantial upside risk (or potential) in the near-term.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment