AOL - Calls Trade on Valuation, Skew Bends, Vol Diff Opens

AOL is trading $14.96, up 3.2% with IV30™ up 5.0%. The LIVEVOL® Pro Summary is below.



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AOL Inc. (AOL) is a global Web services company with a range of brands and offerings and a global audience. This is a great order flow story based some interesting news -- which may or may not prove to be true.

First, the news:
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Needham lowers its AOL tgt to $20 from $35 and reiterates its BUY rating on AOL because it believes that AOL should be taken private for its asset value. Firm calculates that AOL is worth $26/share in a liquidation scenario, excluding its upside optionality.
Source: Briefing.com (www.briefing.com)
---

AOL has traded just under 29,000 contracts on total daily average option volume of just 1,794. Calls have traded on a 7.2:1 ratio to puts. The action has been buyers in the Oct 15 and Jan'12 19 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Oct 19 calls are mostly opening (compare OI to trade size). When looking down the entire option chain for AOL, I don't see any OI larger than 3,500, so this size is very large. The Jan'12 19 calls have traded over 6,500x on existing OI of just 421.



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



We can see the front is substantially elevated to back. There's a great vol diff that has opened up on the 16 strike -- it's spiked in Sep (not Oct) -- creating a 17 point vol diff.

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 collapsed off of earnings from $15.07 to $11.19 (or 26%). The implied is rising, but that earnings drop has pushed the short-term HV numbers up.

Possible Trades to Analyze
The Sep/Oct 16 calls spread is reasonable to analyze given the order flow in the Oct calls. That would be owning the order flow while scalping 17 vol points.

All sorts of calendars are on the board -- but that's short gamma and long vega in a stock where news is out that if realized, would move the stock (hurts short gamma) and kill vol (hurts long vega).

This is trade analysis, not a recommendation.

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InterDigital (IDCC) - Elevated Vol, Patent Valuations

IDCC is trading $67.53, down 1.3% with IV30™ down 4.3% as of ~10:45am EST. The LIVEVOL® Pro Summary is below.



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InterDigital, Inc. (InterDigital) is a holding company, and its various subsidiaries engage in technology research and development activities or in the prosecution, maintenance, enforcement, and licensing of patents.

It’s that final phrase: “…enforcement, and licensing of patents” that is driving the stock price. Let’s start with the Charts Tab. 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 popped from $41.51 on 7-18-2011 to as high as $82.50 on 7-21-2011. Here’s a quick news snippet from 7-21-2011 that pushed the stock, but essentially it was that patent valuation that started the push.

“Boosted by M&A speculation; stock soared yesterday after it was announced that the co was exploring strategic alternatives.”
Source: Briefing.com (www.briefing.com)

IDCC has fallen back to the high 60’s but is still trading more than 60% above the stock price before the news.

The uncertainty surrounding the patent valuation and potential buyer has spiked the IV30™ to now over 120. It’s that vol that caught my attention. Let’s start with the Skew Tab and then look at the option prices.



We can see the front month is substantially elevated to the back. For the last two years, earnings have been on 10-28-2009 and 10-27-2010, so the elevated vol in the front is not earnings related. Let’s turn to the Options Tab.



The front month ATM vol (67.5 strike) is priced at ~155. In English, that’s ~$14.75 in the nine trading day straddle. Said differently, the option market reflects a ~$30 range for the stock as the one standard deviation move within the next two weeks.

I wrote about this one for TheStreet.com (OptionsProfits) so no specific trade analysis here. I will say that the risk reflected by the options can’t be ignored even though the HV10 is just 47.71.

We can also note that the wings, particularly the OTM puts, are priced at ~180 vol. For those willing to take on risk, a vol sale with a covered strangle and a short OTM put creates an interesting MaxGain:MaxLoss inside the strangle. Of course, it creates a cataclysm below the puts.

This is trade analysis, not a recommendation.

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YRCW - How a Text Book Trading Arb Can Lose You Everything

YRCW is trading $0.74, down 2.2% with IV30™ down 13.4%. The LIVEVOL® Pro Summary is below.



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With the market in ultra slow mode, this is a really interesting stock where an apparent arbitrage is staring us all right in the face... or is it?

Let's skip the company specific details and just get into trading. The Options Tab is included below.



First, the apparent arb:
If one were to sell the Oct 0.5 straddle @ $0.61 then there is no risk to downside stock movement, right? A stock can only go to zero, (so losing $0.50 to the put), but the position collected $0.61, so that's at worst case an $0.11 win.

Ok, fair enough. But what about the upside? Well, one could purchase the Oct 1 calls for $0.06. That would make the net credit on the total trade $0.55. Still no downside risk (same argument), and now there is no risk to the upside stock movement, right? Do the math, it's right, :-p

So, wth? Let's do this trade fricking size!!!

Not quite...

Look at the 0.50 strike synthetic fwd stock price:
Stock = 0.5 + 0.24 (the call) - $0.38 (the put) = $0.36. Yup, and the stock is trading $0.74. In other words, this thing is incredibly hard to borrow (very large negative rate).

So, why does that matter?

How does the same trade (sell straddle buy OTM calls) look if this happens:
Sell 0.5 strike calls
Sell 0.5 strike puts
Buy 1.0 strike calls
---
0.5 calls get exercised.

The position becomes:
Short 0.5 strike put
Long 1.0 strike call
And...
Short stock... uh oh...

The short stock pays a huge negative rate, and even more so, has risk of a buy in. Either way, the short stock can't be maintained. Buying the stock back leaves:

No stock
Short 0.5 strike put
Long 1.0 strike call

Eh hem... That, is not a risk free profit, it's a risk reversal long deltas in a stock that's priced to fwd at $0.36. And who knows what price the stock buy back occurs at.

There you go... An "arb" that could cost you everything... And yes, I see there is more than 8,000 OI (unexercised) in the Oct 0.5 calls... But I also see that over 30,000 have traded today.  So, ya know...

This is trade analysis, not a recommendation.

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Deutsche Bank (DB) - Time Spread and Vol Comps

DB is trading $39.34, down 2.8% with IV30™ up 1.1%. The LIVEVOL® Pro Summary is below.







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Deutsche Bank AG is a global investment bank. The Company offers a variety of investment, financial and related products and services to private individuals, corporate entities and institutional clients around the world.



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 GTE $5

Sigma1 - Sigma2 GTE 8

Average Option Volume GTE 1,000

Industry isNot Bio-tech

Days After Earnings GTE 5 LTE 70

Sigma1, Sigma2 GTE 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.



Let’s start with the Skew Tab to examine the line-by-line and month-to-month vols.







A couple phenomena, here. First, Sep is elevated to Oct on all strikes. Second, the downside skew in Sep (the slope) is greater (in absolute value) than the Oct options creating a widening vol diff to the downside. I’ve circled the downside put vol diff, above.



Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™- red vs HV20 - blue vs HV180 - pink).







We can see how DB has fallen off a cliff of late, like the rest of the market in a sense, but the recovery has not been as abrupt in this single name as it has been with the rest of the market. Note that DB is a giant European bank, so not necessarily the same systematic risk as US bank stocks. Having said that, it’s all kinda lumped together in terms of global financial risk with the banking giants.



On the vol side we can see a very similar pattern as we do across most US equities. The short-term realized historical vol (HV20) is greater than the IV30™ even though the implied is elevated relative to the long-term realized vol (HV180). Specifically:



IV30™: 59.95

HV20: 87.09

HV180: 42.02



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







I wrote about this one for TheStreet.com (Options Profits), so no specific trade analysis here. Having said that, the downside skew vol diff looks compelling. Choosing the strike becomes the issue as the 32.5, 35, and 37.5 calendar put spreads all seem reasonable to examine. For what it's worth, the 52 wk low in DB is $37.44. I do note, however, that DB hasn’t really bounced off of the lows and is down another 3% (ish) today.



This is trade analysis, not a recommendation.



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Monster Worldwide (MWW) - Time Spread, Earnings Vol Scalp

MWW is trading $9.44, down 4.7% with IV30™ up 1.2%. The LIVEVOL® Pro Summary is below.



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Monster Worldwide, Inc. (Monster) provides global online employment solution.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. With earnings due out after the Oct expo, this is an interesting one to look at it.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 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.

Let's start with the Skew Tab, below.



I've included the front three months. We can see how elevated Sep is to Oct and Dec. The last two years the Oct earnings cycle for MWW have been 10-28-2010 and 10-29-2009. If it follows the same pattern, the next earnings cycle will be after the Oct options -- so in Dec (and Nov when that month is quoted). Looking to the 9 strike (which is ATM), we can see that both Sep and Oct are elevated to Dec. More on that later...

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



We can see a nice recovery of late in stock price -- sort of emblematic of the entire market's recovery.

On the vol side, we can see a dipping IV30™, which is now right on top of the long-term realized historical vol (HV180). At the same time, the stock has been moving at substantially higher short-term realized vol. Specifically:

IV30™: 65.05
HV20: 116.28
HV180: 64.80

So the stock has moved at approximately twice the implied over the last 20 trading days.

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



Potential Trades to Analyze
All sorts of calendar spreads are reasonable positions to examine. One-sided (calls or puts) and two-sided. An interesting approach could be a Sep/Dec calendar, and if that works, turning that into an Oct/Dec calendar. This position allows two sales of elevated vol versus a "cheaper" purchase of vol that owns earnings. Diagonals can make this trade more delta focused and less gamma risky (selling OTM vs owning ATM).

This is trade analysis, not a recommendation.

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AT&T (T) - DOJ Antitrust, Vol and Comps

T is trading $28.73, down 3.0% with IV30™ popping 17.7% as of ~10:55am EST. The LIVEVOL® Pro Summary is below.







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AT&T Inc. is a holding company. The Company is a provider of telecommunications services in the United States and worldwide.



The news driving the stock today surrounds a DOJ antitrust action blocking the company’s takeover of T-Mobile. A snippet from Briefing.com (www.briefing.com) is include below.



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T is under pressure this morning, down 3.3%, after reports surfaced that the US Dept of Justice has filed to block T's previously announced acquisition of T-Mobile (DTEGY -4.6%). The deal was, for the most part, expected to pass. Conversely, S (+6.6%) is spiking higher on the news. S has been one of the largest opponents of the deal, largely because the potential T/T-Mobile deal would create a virtual duopoly in the US wireless industry that S argued would make it difficult for them to compete. CLWR (+7.6%), a boutique 4G wireless company, is also showing strength on the news. On the other hand, VZ (-0.8%) is falling on the news, after opening up higher, possibly because it could be viewed as a target by the DOJ as the country's largest wireless company.

Source: Briefing.com

---



While a bunch of companies were mentioned in that news, let’s focus on T and start with the Tick Chart for today only.







The top portion is the stock price, the bottom portion is the Sep monthly vol. The point here is simple, the stock and vol reacted abruptly on first announcement and now may have found a short-term equilibrium.



Let’s turn to the Skew Tab, next.







Note that the two expirations are the Sep 2 weeklies and the regular way Sep monthly. We can see the elevated vol in the weeklies to the monthlies. Specifically, the Sep(W) ATM vol is priced at ~34, while the Sep monthly ATM vol is priced at ~26. As of this writing, the weekly expiration vol is up 14.2 points (+63%) while the monthly expiration is up 6.1 points (28%). It’ that difference in vol gains today that accounts for the expiration-to-expiration vol diff (i.. the eight point vol diff comes from the move today).



Now 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).







We can see pop in the implied as it is now just below the short-term historical realized vol. Both of those measures are well above the long-term realized vol. Specifically:



IV30™: 27.54

HV20: 28.88

HV180: 16.56

HV10: 24.70



It’s worth noting that HV is calculated close-to-close, so the move today in T stock will not be reflected in HV until tomorrow.



Finally, let’s turn to the Options Tab.







I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. But, the position that had me most interested was the calendar spread as the vol diff is due entirely to the news that just came out.



What I don’t like about the spread is that should the stock recover the $0.89 it’s down today, and vols remain the same through Sep (W) expiration (i.e. Friday at close of this week), those Sep monthlies would be worth just a small amount more than the debit put on today. If the vol comes down in the Sep monthlies, those options would be worth the debit paid or less for the spread.



There’s a distinct possibility that the vol comes down in the back, and even if the weekly options expire worthless (i.e. shorts collected the full premium), that long put in the back may be a loser to the total debit. Having said that, I do believe that weekly vol collapses a bit -- especially in the downside puts.



This is trade analysis, not a recommendation.



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CoreLogic (CLGX) - Timely Trade or Front Running Insider?

CLGX is trading $11.29, up 28.4% with IV30™ up 47.7%. The LIVEVOL® Pro Summary is below.



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CoreLogic, Inc., formerly The First American Corporation, is a provider of property, financial and consumer information, analytics and services to mortgage originators and servicers, financial institutions and other businesses, government and government-sponsored enterprises.

Jeff Kearns at Bloomberg brought my attention to this one and has a nice article here:
CoreLogic Option Trading Jumped Before Disclosure of Adviser to Weigh Sale

The company is up on this news:

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Shares of Central European Distribution Corp rose as much as 40 percent after private investor Mark Kaufman reported a 9.6 percent stake in the Polish vodka maker.
Source: CEDC shares up 40 percent as investor picks big stake
---

Now here's where it gets... interesting...

The company averages just 134 option contracts traded a day -- of which, just 61 are calls. The Livevol® Pro Stats Tab (a snippet of it) is included below.



Yesterday, the company traded 1,229 options -- all of them were calls, and all but 15 were concentrated on purchases in the Oct 10 and Jan'12 10 calls. Yeah, that's 1,214 contracts on daily average volume of 61, all on the long side, all in the calls, all in the same strike, all OTM. The options montage from yesterday (from the Charts Tab) is included below.



We can see there was some existing OI in both those lines. So, maybe the longs were just closing... right?... I've included the Options Tab snap as of today, below.



We can see the OI went from 720 (yesterday) to 1274 today in the Oct 10 calls. i.e. that's a 554 contract increase (on volume of 555). Similarly, we can see the OI went from 638 to 1238 in the Jan'12 10 calls. i.e. that's a 600 contract increase (on volume of 659).

The vast majority of those trades occurred in a four minute period, from 2:35p - 2:39p EST. At 4:01p the news was released. So, a 2000%+ volume day in two calls on the same strike, less than 90 minutes before an announcement, all done within 4 minutes.

Hmmm... In terms of PnL,this is what I see:

Oct 10 calls: 554 bought for ~ $0.14, are worth $1.80 today. That's 554*($1.80 - $0.14)*100 = $91,964 made on a $7,756 bet.

Jan'12 10 calls: 600 bought for ~ $0.40, are worth $2.30 today. That's 600*($2.30 - $0.40)*100 = $114,000 made on a $24,000 bet.

In total, I see a $205,964 profit on a $31,756 bet or ~650% in 1.5 hours. Nice... or not...


This is trade analysis, not a recommendation.

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Barclays (BCS) - Calendar Spread, Stock Bottom and Vol Diff

BCS is trading $10.73, down 1.3% with IV30™ up 2.7%. The LIVEVOL® Pro Summary is below.







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Barclays PLC (Barclays) is a global financial services provider engaged in retail banking, credit cards, corporate and investment banking and wealth management. The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. Taken together with the stock and vol charts, this is an interesting one to examine.



Custom Scan Details

Stock Price GTE $5

Sigma1 - Sigma2 GTE 8

Average Option Volume GTE 1,000

Industry isNot Bio-tech

Days After Earnings GTE 5 LTE 70

Sigma1, Sigma2 GTE 1



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.



Let’s start with the Skew Tab.







The shape of the skew for both months is similar – normal in that it’s bid to the downside. The scan is triggered because of the vol diff between Sep and Oct.



Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™- red vs HV20 - blue vs HV180 - pink).







Starting with the stock portion, we can see the stock drop of late. What caught my attention was the low print in stock, which was $9.53. More on that in a sec…



Turning to the vol side, we can see while the IV30™ has popped significantly, the realized short-term movement of the stock has actually been well above that level. Specifically:



IV30™: 76.61

HV20: 113.24

HV180: 50.30

HV10: 79.35



Interestingly, the IV30™ is now closest to the HV10 (the day trading day realized historical vol).



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







I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. But taking advantage of the vol diff between the front two months to the downside while also eyeing that $9.53 52 wk. low is an interesting position to examine whether that be in a plain vanilla calendar, or some sort of diagonal spread.



This is trade analysis, not a recommendation.



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Universal Display (PANL) - Exploding Stock, Depressed Vol

PANL is trading $49.99, down 3.3% with IV30™ up 0.3%. The LIVEVOL® Pro Summary is below.



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

Custom Scan Details
Stock Price GTE $7
IV30™ - HV20™ LTE -8 GTE -40
HV180™ - IV30™ GTE 7
Average Option Volume GTE 1,200
Industry != Bio-tech
Days After Earnings GTE 32

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 depressed 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 purchasing depressed IV30™ relative to HV20 simply because of a large earnings move.

PANL actually violates the "Days After Earnings" filter, but the move of late isn't earnings related.

The PANL 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 stock has been exploding of late. On 8-8-2011, the stock was trading $22.73, as of this writing, with the stock price at $49.99, that's a 120% increase in 21 calendar days.

Interestingly, the IV30™ is only 96.19 while the stock has been moving at a 179 vol over the last 10 trading days and 165 in the last 20 trading days. The stock has moved 3.3% today, and that isn't included in the HV measures as HV is calculated close-to-close. In English, the stock has moved at a substantially higher realized vol than the implied.

We can see:
IV30™: 96.19
HV20: 165.05
HV180: 85.06
HV10: 179.39

Here's a snippet from The Motley Fool which explains some of the stock's recent move:

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What: Shares of OLED technology developer Universal Diplay jumped as much as 11.5% in intraday trading on heavy volume.

So what: This, my friend, is a momentum move of the purest kind. Universal Display had jumped more than 10% on three out of four trading days this week, all on reasonably substantial news, and now investors are piling on to ride this just-discovered bandwagon. All told, share prices have spiked by nearly 90% this week.

Now what: To recap this week's action, Universal Display presented an important license deal with top customer Samsung, saw LG Electronics introduce a high-volume OLED smartphone, and heard Corning (NYSE: GLW ) commit to producing glass for big-screen OLED televisions.
Source: Universal Display Shares Surged: What You Need to Know, by Anders Bylund.
---

Let's look to the Skew Tab, below.



The front is elevated to the back, with an interesting vol diff opening up on the 60 strike between the front two months. Oct shows a notable upside skew to the 65 and 70 calls, creating an intra-month call spread purchasing lower vol than it sells, which is "unusual" when compared to "normal" skew. You can read about normal skew and why it exists here:
Understanding Option Skew


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



Note that the Sep 70 calls are priced at ~ $0.40 fair value -- so another 40% up from here, after the recent 120% move up. The ATM straddle is priced at ~$9.50 -- that's less than three calendar weeks -- so, while the implied is trading well below the short-term realized vols, it's still over 100 for Sep options.

This is trade analysis, not a recommendation.

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IMAX (IMAX) - Calendar Spread, Rising Vol, Implied v. Historical Comps

IMAX is trading $17.76, up 9.9% with IV30™ up 8.5%. The LIVEVOL® Pro Summary is below.



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IMAX Corporation together with its wholly owned subsidiaries, is an entertainment technology companies, specializing in motion picture technologies and presentations.

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 GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 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.

Let's start with the Skew Tab (below).



We can see the substantially elevated vol in Sep to Oct. Within Sep, there is an interesting upside skew going from the 20 strike up through the 22 strike. There's also an interesting spike to the Sep 19 calls while there's a small dip down to the Oct 19 calls, making a 23 vol point diff between the two months on that line.

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



The stock dropped from $38 on 6-1-2011 to $13.70 on 8-22-2011, or a 64% drop in less than three months. An earnings report and stock drop off of it is included in that price decline. Since 8-22-2011, the stock has recovered a bit to now over $17.50.

On the vol side, we can see the IV30™ climbing from 41.05 (on 6-1-2011) to now just under 83. In English, as the stock has dipped 60% (ish), the implied vol has doubled. Interestingly, the short-term historical vol (HV20) is actually above the implied. The long-term historical vol (HV180) is still in the upper 50's. Specifically:

IV30™: 82.98
HV20: 99.17
HV180: 57.92

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



Potential Trades to Analyze
Vol sales and vol purchases seem reasonable. That is, The implied is trading below the HV20, so a salient argument could be made to purchase vol -- the stock has moved ~10% today. Then again, given the long-term HV, a vol sale also seems like a reasonable trade. Let's focus on some calendar spreads -- a vol sale and purchase.

1. ATM Calendar
The trade with the most short gamma risk is the ATM calendar (duh). That 17.5 Sep straddle is priced at ~94 vol. The ATM Oct straddle (18 strike) is priced at ~73 vol.

2. OTM Calendar Spreads
a. Calls: The 19 strike call spread shows a 23 vol point spread.
The 20 strike shows a 21 vol point spread.
b. Puts: The 16 strike shows a 23 vol point spread.
The 15 strike shows 20 point vol spread.
One or two-sided seem reasonable positions to examine.

3. Diagonal Calendar Spreads
For a calendar that takes on a delta, selling the higher (lower) strike with the calls (puts) gets a vol diff and some deltas.

This is trade analysis, not a recommendation.

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