Friday, July 6, 2012

GOL Linhas Aeras (GOL) - Huge Spec OTM Calls Purchased 21,000% of Daily Avg Volume... Twice...

GOL is trading $4.06, down 3.6% with IV30™ up 15.6%. The LIVEVOL® Pro Summary is below.


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Gol Linhas Aereas Inteligentes SA (Gol) is a Brazil-based holding company primarily engaged in the passenger air transportation sector. The Company is involved in the provision of scheduled and non-scheduled passenger air transportation services, as well as cargo and mail bags freight air transportation.

For the final blog of the week I decided go a little spec -- very unusual order flow in some upside calls in a Brazilian ADR. Let's have some fun looking at this order flow and imagining... what if?... And I promise you, it's not trivial... How not trivial?... How about 10,000 puts sold to purchase 12,000 OTM calls in a name that averages 29 total contracts a day without those large prints.

GOL has traded 4,005 contracts on total daily average option volume of just 329. The entire volume has occurred in the Aug 5 calls. From what I can tell, these look like purchases in entirety (but we'll know when we see Monday's OI). Check out the the Stats Tab and Day's biggest trades snapshots below and then I'll show you something that takes this from odd to... well, to blog worthy...

The Options Tab (below) illustrates a few things:

1. The calls are likely at least in part opening (compare OI to volume).

2. The existing OI in the Aug 5 calls is 2000. All of that opened on 6-22-2012, meaning that the trades occurred on 6-21-2012. As far as I can tell, those are all purchases. I've included the OI chart from LVP below for those calls.

3. The Jul 5 calls have an existing OI of 6,139. 6,062 of that OI opened on 6-21-2012, meaning that the trades occurred on 6-20-2012. Those also look like purchases. I've included the OI chart from LVP below for those calls as well.

So, what I'm sayin' is that in a company that averages ~300 contracts traded a day, more than 8,000 OTM calls were purchased in the front two months in a two day period. Then, two weeks later (i.e. today), another 4,000 have been purchased. Unlike the prior two call purchase days, the stock volume today is actually below average (~50% of the three month average as of ~3pm EST).

But wait, it gets better... Look at that OI in the Oct 5 puts. I see those trading in a single day on one print on 5-17-2012 @ $0.75 against an NBBO of $0.70 x $1.00. I've included the Day's biggest trades snap from 5-17-2012, below.

So what we see is 10,000 ITM puts sold to fund 12,000 OTM calls purchased in a name that other than those trades averages 29 total contracts a day.  Stated otherwise, the OTM call purchases (6,000 on each line) each represent ~21,000% of total daily average volume with those three days taken out of the average.  The puts sold represent ~34,000% of the total daily average volume.

Just to throw a little more fire in the already raging flame, check out the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

All I really care about is that horizontal yellow line I drew in. That line represents the 52 wk high in this stock which is $12.79. So, yeah, the stock's seen a higher price than $4... A lot higher...

Of course, this could be a short stock holder covering with calls (and short puts), so then this would be kind of trivial...

Happy Friday.

DISCLOSURE:  It's been a slow trading week so I decided to buy some of these calls -- pretty much the worst reason to trade ever.  In any case, I bought some of the Aug calls for small after I posted this.

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This is trade analysis, not a recommendation.

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