NII Holdings (NIHD) - Puts Trade, Vol Pops for One Day Winner

NIHD closed yesterday at $42.77, up 0.7% with IV30™ up 3.6%. The LIVEVOL™ Pro Summary is below.



I found NIHD on the High Optin Volume scan (compared to average). It traded 1,314% of its daily average yesterday.

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The company traded nearly 17,000 options yesterday on total daily average option volume of just 1,552. All but 839 contracts were puts yielding a 19:1 put:call ratio. The largest trades were in the Oct 40 puts, where over 10,500 traded. 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). As of this morning the OI jumped to 13,338. I believe the interest to be long. The OI in the Oct 41 puts also went up, so those trades were substantially opening as well.



The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.



I've highlighted the Oct 40 and 41 lines. We can see a nice skew, rather steep to the downside.

Finally, the Charts Tab (6 months) is included (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 has jumped as of late from as low as $36 to now well over $40. We can also see that IV30™ has jumped past the short-term realized (HV20™) and the longer-term realized (HV180™).

With the market open I can see NIHD is now down $1.03, or 2.4% with IV30™ up 5.4% more. Interesting. The Options Tab from right now (~9:35 EST) is included (below).



The puts that traded ~$0.40 yesterday are now $0.85 x $0.90. Nice trade - one day 100%+ return.

Possible Trades to Analyze
Before doing any of these, check the news. I don't know what's going on, but it feels like someone thinks news is about to come out.

1. Buy the same puts, copy order flow.

2. Buy a put spread, maybe Oct 40/38 and pay ~$0.60.

3. More risky, do a 1 x 2. Something like buy the Oct 40 puts and selling Oct 38 twice for net even. Of course, this is pretty risky and is naked downside and loses dollar for dollar below $36.

This is trade analysis, not a recommendation.

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Pride International (PDE) - Calendar Spreads Sits Up with Earnings Vol

PDE is trading $30.88, up 3.8% with IV30™ down 3.3%, down 3.1% with IV30™ up 2.1%. The LIVEVOL™ Pro Summary is below.



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The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

The PDE Charts Tab is included (below), just the stock portion (we'll look at vols in a sec.)



We can see the stock has been in a strong upward trend of late going from ~$22 all the way over $30 in the last month (ish). Now, we can look to the Skew Tab (below).



We can see the elevated vol in the front month (red line) relative to the second month (yellow line).

Finally, let's look to the Options Tab (click to enlarge).



We can see that not only is the back month cheaper than the front, but also earnings should be in the Nov cycle (this is a projection, last earnings were 7-29-2010). Earnings are a volatility event so buying cheaper vol and getting earnings is a nice trick.

Potential Trades to Analyze
1. Buy the Nov 30 straddle for $4.20 (47 vol), sell the Oct 30 straddle @ $2.20 (~53 vol) for a net debit of $2.00. This trade needs PDE to stay in a tight range before Oct expo and loses to a takeover, big stock moves and a vol crush in Nov.

2. Sell the Oct 29/32.5 strangle @ $0.85 (53.5 vol) and buy the Nov 29/32.5 strangle for $2.65 for a total debit of $1.80. This gives a bit more room for movement in Oct.

3. For a directional play with vol, possible trades include just one side (just calls or just puts).

This is trade analysis, not a recommendation.

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Marriott (MAR) - One-Sided Trades into Earnings Push Vol

MAR is trading $37.40, up 1.9% today with IV30™ down 3.8% after the stock was up more than a percent yesterday and IV30™ jumped 6.5%. Earnings are tomorrow AMC. The LIVEVOL™ Pro Summary is below.



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Yesterday the Oct 38 calls traded more than 8,000x on total daily average call volume of just 1,481. The trades were substantially buying interest, pushing the IV30™ up over 6%. The Options Tab and Summary from yesterday are included (below). For Livevol Pro™ users, I got these snaps from the Charts Tab, feel free to email with any questions on that - this data is available with the click of a button for 2 years of history in LVP.





MAR earnings vol has been relatively fair valued in that there hasn't been a strong pattern one way or the another in terms of buying or selling the ATM straddle one day before earnings and then closing the next day. I 've included the results of selling the straddle then buying it back after earnings for a one trade trade for the last quarters (below).



It's the far right column that shows the results. Last cycle the straddle literally didn't change in value, the cycle before the sale was a nice winner. However, the two cycles prior to that the straddle was a purchase (moved more than implied vol), then it was a sale twice and then a purchase again.

The call buying yesterday may be a delta bet or it could be straight vol, as the buyer may have sold stock against the calls to turn them into puts or straddles. Let's look 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).



We can see MAR is near an annual high as it climbs into earnings tomorrow. The 52 wk. range is [$24.47, $38.15]. Finally, let's now look to the Options Tab today (below).



Possible Trades to Analyze
I don't so any screaming good trades right now, but here are few ways to play earnings:

1. Buy the Oct 38 calls like the order flow.

2. Buy the Oct 37/38 strangle for $1.55.

3. Do #2 above, but also sell the Oct 35/40 strangle @ $0.45 netting a net debit of $1.15. Of all the trades, I like this type the best, naked purchases are a bit too risky for earnings vol for me.

4. Alternatively, go opposite the order flow, sell some vol in straddles or strangles. Risky of course, especially in the face of vol buying.

This is trade analysis, not a recommendation.

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* UPDATE Gymboree (GYMB) - Update and Vol Trades

GYMB is trading $48.33, down 3.1% with IV30™ up 2.1%. The LIVEVOL™ Pro Summary is below.



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I wrote about this company last week (10-1-2010). You can read that article here: Gymboree (GYMB) - Stock and Vol Explode on Potential Sale

The stock also just came up on a real-time custom scan. This one hunts for calendar spreads.

Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

The GYMB Charts Tab is included (click to enlarge), just the stock portion (we'll look at vols in a sec.)



We can see the stock ripped a few days ago when I wrote the post. Up because of the news that they were putting themselves up for sale. Now, we can look to the Skew Tab (below).



We can see the elevated vol in the front month (red line) relative to all the other months.

Finally, let's look to the Options Tab (click to enlarge).



Potential Trades to Analyze
Doing a calendar in a stock with this news out there is actually quite risky. Getting long vega (buying the back/selling the front) can turn into a trade where all of the premium gets lost (i.e. max loss is actually realized) if there is a takeover. Having said that, here are a few trades, some very risky, others a touch less.

1) The most risky: Sell something in Oct naked. Maybe a 47/50 strangle @ $2.35. This requires GYMB to be in ($44.65, $52.35). This feels like a great wide range, until we realize the stock moved more than $8 in a day last week. A 47/55 strangle @ $1.50 yields less of a credit but is also safe all the way to $56.50 on the upside while giving back some downside protection.

2) A spread inside the same month (i.e Oct) could work as well. Selling something closer to the money and buying a strangle outside that creates a credit with a known max. loss. For example, selling the Oct 47/50 strangle @ $2.35 and buying the Oct 45/55 strangle for $1.00 yields a $1.35 credit. Max loss is over $3.50 though, so beware of the MaxGain/MaxLoss ratio < 1.

3) Finally, a time spread. Risky, but with defined max loss. Swapping straddles or strangles essentially bets the stock stays put AND the news doesn't come out until after Oct. expo. All told, this is a risky play however you go about it - it's a spec play, not an investment imho.

This is trade analysis, not a recommendation.

Legal Stuff: http://www.livevolpro.com/help/
disclaimer_legal.html

Electronic Arts (ERTS) - Call Buying and Vol Jump Yields Trade Opps

ERTS is trading $16.75, up 1.9% with IV30™ up 16.9%. The LIVEVOL™ Pro Summary is below.



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The company has traded over 23,000 options in the first three hours on total daily average option volume of just 5,500. All but 2,558 contracts have been calls yielding an 8:1 call:put ratio. The action has been in the Oct 16, 17, 18 and Nov 16, 19, 20 calls. Best I can tell, Nov 16 and 19 are long, 20 are short. The Oct trades feel long and with some help from Mike Bristow of Vtrader Group, the color I'm getting confirms that. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).





The Options Tab (click to enlarge) illustrates that the calls are mostly opening in Nov and Oct 17 (compare OI to trade size), while Oct 16 and 18 are ambiguous. You can also see that vol is up by month, particularly in Oct where it's up 9.2 points or 28%.



The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.




A very nice skew chart here. Note that the upside in all months up to and including Jan'11 are bent up to the upside reflecting the call long interest.

Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.



We can see the bottom portion shows that IV30™ has spiked well past the short term and long term historical vols as the stock has stayed relatively quiet.

Possible Trades to Analyze
With earnings in the Nov cycle (projected), a sale of the elevated Oct vol and a purchase of Nov feels reasonable. Maybe doing it with OTM calls like Nov 18/ Oct 18, or going to the ATM straddles.

Also, doing an OTM calendar and selling the Oct 16 puts yields a much cheaper trade but does leave naked downside risk for the next two weeks in a stock with vol jumping. Generally I see a bunch of spreads that could be good trades, and for each one, a put sale gives it an extra kick for some extra risk.

This is trade analysis, not a recommendation.

Legal Stuff:
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InterDigital (IDCC) - Takeover Spec Shoots Stock and Vols

IDCC closed Friday at $30.19, up 2.0% with IV30™ up ~16%. The LIVEVOL™ Pro Summary is below.



On 9-23-2010 Barron's listed IDCC as one of many potential takeover targets.

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The company traded over 17,000 options on total daily average option volume of just 1,349. All but 1,420 contracts were been calls yielding an 11:1 call:put ratio. The action was in the front month 30, 31, and 32 calls with substantially buying interest. The Stats Tab and Day's biggest trades snapshots are included (click either image to enlarge).





The Options Tab (click to enlarge) illustrates that the calls were mostly opening (compare OI to trade size). The Oct 32 calls (the furthest OTM of the bunch) traded the heaviest. Also note that the vols for each month went up substantially (top of image) from the buying interest, with Oct rising the most.



The Skew Tab snap (click to enlarge) illustrates the vols by strike by month.



This is a great skew chart for Oct (red line). The Oct options are totally backwards in terms of skew. It's a straight upward sloping line, the total opposite of "normal." To read why skew exists, what it is and what "normal" looks like, you can click Here.

Finally, the Charts Tab (6 months) is below (click to enlarge). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.



We can IV30™ has ripped past the short term and long term historicals as of Friday. We can also see the remarkable upward swing in stock price of late from the low/mid 20's to now over $30.

The takeover frenzied market of late points to the the potential of a substantial and lasting bull market. M&A activity is often used by traders as a sign of what's to come. We'll see...

This is trade analysis, not a recommendation.

Legal Stuff:
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Gymboree (GYMB) - Stock and Vol Explode on Potential Sale

GYMB is trading $48.20, up 16.0% with IV30™ up 13.2%. The LIVEVOL™ Pro Summary is below.



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The News from AP:
Shares of children's clothing seller Gymboree Corp. rose 22 percent in pre-market trading on Friday after a published report said it was considering selling itself to a private equity firm.

Citing unnamed sources familiar with the matter, The Wall Street Journal said the company, based in San Francisco, is considering selling itself. The report said there is no auction process, however, and Gymboree might decide not to sell itself.

A call seeking comment was made to Gymboree but it was not immediately returned.
------------------------------------

The company has traded over 14,000 options today on total daily average option volume of just 629. The action has been in the front month, Oct 50 and 55 calls. 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). I believe these are sales. I think there was a hidden $1.10 offer in the Oct 50 calls for a while, it may still be there.



Note that Oct vol has exploded, Nov vol is up about 5%, but the two back month vols are down. Hmm... That points to the potential that this may actually happen, at least in my opinion.

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



It's a bit jagged but generally a touch higher vol in the upside than "normal" skew.

Finally, the Charts Tab (6 months) is below (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.



We can see the IV30™ ripping with the stock gap up. Also, at the very bottom of the chart, the green volume bar indicates that customer opening order purchases on the ISE for calls are outpacing puts. Selling the Oct 50 calls @ 1.10 feels like a crazy good vol sale, but then again, if the stock is taken over for $60, you pretty much got your face ripped off. A buy write (covered call) may work here as well, but if the company comes out with "different" news tomorrow, the $7 ride up in stock price could go right back down. Generally, this is a risky one, buy writes feel "ok" ish, though risky.

I bet there are some cool spreads in there, haven't looked very carefully yet.

This is trade analysis, not a recommendation.

Legal Stuff:
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Finisar (FNSR) - Vol Purchase and Strategic Sales

FNSR is trading $19.06, up 1.4% with IV30™ up 2.5%. The LIVEVOL™ Pro Summary is below.



I found this stock using a real-time custom scan. This one hunts for low vols outside of the front month.

Custom Scan Details
Stock Price >= $7 <= $70
IV60™ >= 1
IV60™ - HV60™ <= -8 >=- 40
HV180™ - IV60™ >= 8
Average Option Volume >= 1,200
Industry != Bio-tech

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.



The goal with this scan is to identify mid-term implied vol (IV60™) that is depressed both to the mid-term stock movement (HV60™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and want to avoid bio-techs (and their crazy vol).

The FNSR Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV60™ - yellow vs HV60™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.



We can see:
IV60™:  ~47
HV60™:  60
HV180™:  57

So, IV60™ is depressed relative to the midterm and long term realized movement of the stock. We can also see a steady stock price increase of late which could point to lower vol - just make note. Finally, let's look to the Options Tab (click to enlarge).



We can see that the Nov 19 straddle is priced at about 45.5 vol or a $2.60 purchase. The Oct 20 straddle is priced at ~47.5 vol. Earnings shouldn't play a role in this trade as they are projected out in December.

Possible Trades to Analyze
1. Buy the Nov 19 straddle for $2.60.  At Nov expo. this trade requires FNSR to be outside of ($16.40, $21.60).  FNSR 52 wk. stock price range is [$7.05, $19.51].  If vol increases substantially this trade will win as well even if the stock doesn't move.  This trade loses to time decay.

2) A touch less risky is to do #1 above and sell something around it.  A Nov 16/22 strangle @ $0.60 brings the net debit to $2.00.  Note however this does substantially limit the upside.  Max gain would become just $1 in either direction.

3) Trade #1 with a sale of the Oct 19 straddle @ $1.40 nets a total debit of $1.20.  This turns the tables a bit, as it wins to time decay and hopes for little stock movement during the Oct options cycle.  Hypothetically it leaves a nice cheap long straddle in Nov if the stock sticks where it is now.  If that Oct sale works out, the next move could be to sell the strangle in trade #2 AFTER Oct expo. Something like this would be my most likely approach, but then again, I'm allergic to buying options.

4) A slightly more advanced and risky trade is to do #2, but sell 2 calls and 2 puts.  That creates a net debit $1.40 (selling $0.60 twice).  The strategy is naked short options to the upside (beware of a takeover) and the downside (beware of stock collapse).

This is trade analysis, not a recommendation.
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CommVault (CVLT) - Vol and Earnings Trade Analysis

CVLT is trading $25.90, down 0.5% with IV30™ down 0.3%. The LIVEVOL™ Pro Summary is below.

I found this stock using a real-time custom scan. This one hunts for high vols.

Custom Scan Details
Stock Price >=$7 and <= $70
IV30™ - HV20™ >= 13
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 and <==60

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro™.

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The CVLT Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

We can see:
IV30™: ~64.5
HV20™: 41.5
HV180™: 49

So, IV30™ is elevated relative to the short term and long term realized movement of the stock. Also, please do note the massive gap down in stock on 7-13-2010 when CVLT went from $23.47 down to $18.35 (close to close).

Finally, let's look to the Options Tab (below).

We can see that the Oct 26 straddle is priced at about 66 vol or a $2.65 sale. The Nov 26 straddle is priced at 63.5 vol or can be purchased for ~$4.90. Like a few of my recent posts, this is interesting as earnings are a volatility event in the Nov cycle and present a nice little cover to a possible sale.

Possible Trades to Analyze
1. Sell the Oct 26 straddle @ $2.65; very risky but a pure vol play.

2. Sell the Oct 26 straddle @ $2.65 then buy the upside to protect for a takeover. If we look to the Skew Tab, we can actually see that the upside in Oct is bid (bent upward) creating a parabola which is not "normal." The Skew Tab is included (below).

Covering up the naked short upside with Oct calls is going to be expensive given that vol, so one approach is to look OTM and buy 2 assuming a takeover would come at a substantial premium to the current price. Buy 2 of the Oct 30 calls for $0.35 (each) with the straddle sale yields a total $1.95 credit and wins if the stock is taken over above ~32. The PnL chart for this trade is included (below).

In terms of the straddle sale, this trade wins if the stock is in ($24.05, $27.95). Note this trade is still naked short the downside and this stock has gapped down before (as noted above). Buy an OTM put to cover up to the downside is an alternative also, though it eats into the credit from the straddle sale.

3) Another alternative is to sell the Oct 26 straddle @ $2.65 and purchase the Nov 26 straddle for $4.90 (64 vol) yielding a net debit of $2.25. The added benefit is that earnings should be in the Nov cycle, a vol event in a long vega position.

This is trade analysis, not a recommendation.

Legal Stuff:
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