Thursday, October 25, 2012

ValueClick (VCLK) - Put Buyer in Jan Doubles Entire Exisiting OI on Huge Bet; Earnings Out in Less than a Week

VCLK is trading $16.51, down small with IV30™ up 7.8%. The LIVEVOL® Pro Summary is below.


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ValueClick, Inc. (ValueClick) is a digital marketing services company. ValueClick offers a range of products and services that enable marketers to engage with the customers online and through mobile devices.

This is an order flow note in a sock that has earnings due out in less than a week. The company has traded just over 8,000 contracts on total daily average option volume of only 343. Puts have traded on a nearly 22:1 ratio to calls, with the action in the Jan'13 15 puts. The Stats Tab and Day's biggest trades snapshots are included (below).

The Options Tab (below) illustrates that the puts are mostly opening (compare OI to trade size). When looking down the entire option chain for VCLK, I don't see any OI in four digits. In fact, the total OI as of right ow (from the Stats Tab, above) is just 6,264. The volume in the Jan'13 15 puts is almost that size in and of itself already. Add those Jan'13 16 puts traded today, and we're nearly at 6,000 potentially opening positions. From what I can tell, the Jan'13 15 and 16 puts look like purchases today. In fact, I couldn't really be more sure about the Jan'13 16 puts being purchases unless I was speaking to the accommodating broker (or trader).

Stock volume on the day is roughly 50% of the average, so it feels like a slow day in the equity market for VCLK -- certainly not an over hedge or synthetic call (from puts) day. In English, I think someone(s) is buying puts naked -- whether they have existing stock positions, I dunno. The rising vol in Jan'13 (which is not necessarily due to earnings) is the circumstantial evidence that the flow today is long in Jan.

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

We can see a normal shape across the front three expiries -- rather pretty actually. I do note a slight kink in the Jan'13 expiry ATM -- possibly (if not likely) due to the flow in those puts.

Finally, the Charts Tab (six months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

On the stock side it's hard to miss the earnings cataclysm in May -- the stock dropped from $21.60 to $16.80 in a day (5-3-2012). Since then, the stock has found a sort of equilibrium -- it was $16.80 on close of that earnings day, and is trading $16.51 as of this writing. The 52 wk range in stock price is [$13.80, $21.86].

On the vol side we can see how the implied is rising into earnings (which is normal), and the IV30™ has just now breached the HV20™ and HV180™. In English, the short-term implied vol has just now risen above both the short- and long-term historical realized vols. The 52 wk range in IV30™ is [25.54%, 64.73%], putting the current level in the 56th percentile. That feels a bit low... we're heading into earnings in six days (or whatever) while two earnings reports ago the stock collapsed, and now there's a vega buyer for size (equal to the total current existing OI) in Jan'13 -- on the put side. Hmmm...

An interesting position to examine in Jan'13 would be to own vega delta neutral, where the vol crush should be (will be?) less than in Nov after the earnings announcement -- so it sides with the flow, but protects (somewhat) against a massive vol crush.  I do note that the vol in Jan'13 as of this writing is just 41.51% which is very "middle of  the road" relative to the IV30™ history (annual).  Ya know... or no...

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1 comment:

  1. what does the "price variation" mean on your above screen? that is a lot of put buyers. but most of the buyers are from one order.