Best Buy (BBY) - The Whole Story; How a $26 Bid Almost Left the Firm at Zero; News is Coming in Dec -- Even if it's No News.

BBY is trading $14.05, up 15.3% with IV30™ down 4.2%. The LIVEVOL® Pro Summary is below.



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Best Buy Co., Inc. is a multinational retailer of consumer electronics, computing and mobile phone products, entertainment products, appliances and related services.

I've written several times about BBY, the most recent one on 11-20-2012. You can read that post and "catch up" to the news at hand by clicking on the link:

Best Buy (BBY) - The Whole Story; How a $26 Bid Delay Might Leave the Company at Zero

I started the saga of BBY with the stock trading just below $22 on news of a potential takeover (private) by its former Chairman for $24-26 / share). I also wrote about BBY (last time) with the stock trading at $11.94. Today, the stock is popping, and here's the relevant news:

---
(Reuters) - Best Buy Co Inc (BBY) shares rose as much as 17 percent on Thursday as it became clearer that company founder Richard Schulze may have firmed up financing to buy out the consumer electronics retailer.

Shares reached as high as $14.44 after a report from the Minneapolis Star Tribune that Schulze is expected to make a fully financed offer for the company by a mid-December deadline.

Schulze's bid would be at least $5 billion to $6 billion, the newspaper reported late Wednesday, citing the source.

Schulze's bid at that level would be well below his initial offer range in August, when he said he could acquire Best Buy for $24 to $26 per share, or a total of $8.16 billion to $8.84 billion.

Source: Reuters via Yahoo! Finance; Best Buy shares up 17percent on $5 billion founder bid report, written by Phil Wahba and Dhanya Skariachan and Olivia Oran
---

So there you go -- a spurned $24-$26 bid has turned into what seems to be a welcomed bid in the $15-$17 range. Ouch... Having said that, the choice for BBY management now may be between the new lower bid and insolvency.

Let's turn to the BBY two-year 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 the steady but large destruction of shareholder value over the last two years with stock falling from the mid $30's to now half of that eve on a big up day. In Apr of 2010, this was a $48 stock.

On the vol side we can see how elevated the implied has gotten. I noted this last time I wrote about the firm, and back then the IV30™ was just 79%. Now we're looking at over 90%. I've included the IV30™ two-year chart below.



The trend is an easy one to identify -- "up." The 52 wk range in IV30™ is [28.32%, 96.06%], putting the current level in the 91st percentile (annual). That annual high was reached on 12-10-2012 (i.e. three days ago).

Let's turn to the Skew Tab, below.



We can see that the option market now clearly reflects the higher likelihood of an event (news) within Dec expiry as it's elevated to the back two months. That upside bend to the OTM calls in Dec reflects the risk (potential) of an upside move in the near-term.  In English, it reflects the possibility of a takeover bid in Dec expiry.  But, the picture is a bit unrepresentative of reality as many of hose calls are less than a nickel bid.

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



Across the top we can see the monthly vols are priced to 114.42%, 83.82% and 63.51%, respectively. There is news in Dec for sure -- the question is, is the news a takeover, or is the news "no news." Either way, it's a vol event.

This is trade analysis, not a recommendation.

Vertex Pharma (VRTX) - Depressed Vol in Gapping Stock

VRTX is trading $42.32, up 1.2% with IV30™ down 3.9%. The LIVEVOL® Pro Summary is below.



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Vertex Pharmaceuticals Incorporated (Vertex) is in the business of discovering, developing, manufacturing and commercializing small molecule drugs for the treatment of serious diseases.

But, this is a company with ~$9 billion market cap and revenue nearing $2b / yr. This isn't a baby bio-tech. Having said that, it's still a bio-tech and this is a vol note -- depressed vol in particular. I found VRTX using a real-time custom scan that hunts for depressed vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The VRTX one-year 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).



On the stock side we can a radical gap up on 5-7-2012, when the stock rose from $37.41 to $64.16 in two days. We can also see the steady decline after that move up until the last few trading days, where VRTX has made a nice turn up. On 12-7-2012 the stock closed at $38.88 and is now trading at $42.32, so a healthy pop over the last five calendar days. The 52 wk range in VRTX is [$28.49%, $66.10].

On the vol side we can see how the implied has been dipping. I've included the IV30™ one-year vol chart in isolation, below.



While there have been some rather impressive peaks, as of this writing we can see that the implied is sitting just above an annual low. The 52 wk range in IV30™ is [36.99%, 76.45%], putting the current level in the 2nd percentile (annual). It's this vol level that caught my eye.  Note that the HV180™ is 69.78%, or in English, the long-term historical realized vol of this sock is well above the short-term implied.

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



Across the top we can see the monthly vols are priced to 37.16%, 38.43% and 45.01% for Dec, Jan and Apr, respectively. The next earnings release should be in Feb -- so outside of the front two expiries and inside Apr. In any case, given the industry, overall systematic risk of the market and the low vol level relative to its own past -- I thought this was an interesting one to look at.

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Phillips (PSX) - Stock and Vol Reach All-time Highs; Earnings Vol Sneaks Lower?... Compelling Vol Phenomenon

PSX is trading $52.90 with IV30™ unched. The LIVEVOL® Pro Summary is included below.



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Phillips 66 is a holding company. The Company is engaged in producing natural gas liquids (NGL) and petrochemicals.

This is an interesting note -- one with elevated vol but the earnings month is depressed to the new annual high in implied. This may be one of those few times were we can analyze selling all-time high vol and purchasing lower vol to cover while owning the earnings event. Tricky...

I found this stock using the real-time custom scan that searches for high vols relative to the short-term and long-term historical realized vol.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20™ LTE 10
HV180™ - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

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 PSX Charts Tab (six months) is included 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 we can see basically a straight diagonal line up in price appreciation. Six months ago this was a $32.60 stock and today it's well into the $50's. The all-time range in price for PSX (~7 months) is [$28.44, $54.32], so the company is nearing that annual high that it just recently reached.

On the vol side we can see how just of late the implied has been rising. The all-time range in IV30™ is [25.24%, 40.48%], putting the current level at an all-time high -- as the stock is also hitting an all-time high.

I've included the IV30™ chart in isolation below for a better picture of the recent move up.



Again, we can see more easily how the implied is breaching it's all-time high right now.

Let's turn to the Skew Tab, below. This is where it gets really interesting.



We can see how Dec vol (red curve) is elevated to Jan (yellow curve). What's odd is that I believe the next earnings release for PSX is due out in Jan expiry. This may be one of those few times were we can analyze selling all-time high vol and purchasing lower vol to cover while owning the earnings event.

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



Across the top we can see the monthly vols are priced to 44.02% and 38.84% for Dec and Jan -- again, noteworthy if in fact earnings are in Jan. In either case, that 44% number is an all-time high.

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AAPL - Everything has Changed. The Old AAPL is No More. The New AAPL is a Riskier Entity and the Market Doesn't Know What that Means Yet.

AAPL is trading $528.42, down 0.9% with IV30™ up 1.2%. The LIVEVOL® Pro Summary is below.



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Apple Inc. (Apple), along with its subsidiaries, is engaged in designing, manufacturing and marketing mobile communication and media devices, personal computers, and portable digital music players.

This is a follow up piece to the post on 12-5-2012, entitled:
Apple (AAPL) - Have We Moved into a Totally New Volatility Paradigm for This Company? Has Everything Changed?

You can click on the title to read that older post. The main contention in that article was that I saw a potential paradigm shift in the way the option market reflected risk in APPL. The article today will focus on the same topic -- but with empirical evidence not from the implied volatility side (forward looking), but from the historical realized volatility side (backward looking).

Here's a quick snippet from the prior article, and then four charts which I find incredibly compelling.

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Older Post
[H]ere's what really caught my eye. The most recent closing low in stock price was on 11-15-2012 when AAPL closed at $525.62. At that time, the IV30™ was rising and hit 32.55%. Shortly thereafter, we can see the stock rise again, only to now start another downward trend. But, with the stock $20 lower then than it is today and in what for all intents and purposes was a free fall from an all-time high, the implied only hit 32.55%.

[W]ith the stock having already reversed the straight down move from the all-time high, and now headed on a new downward trajectory (after a small recovery), the vol has expanded (increased) significantly more to over 36%. So we see a $20 higher stock price now, with a free fall having ended, yet the implied is now higher than it was during the free fall. In English, the risk reflected by the option market has shifted -- it's higher.

Vol can behave much like demand (in fact, vol is demand for protection (puts) or speculation (calls)), where there can be an increase in quantity demanded (that's moving on the same demand curve to the right) and an increase in demand (which is a totally new demand curve drawn above the prior one). I've included a contrived picture of some "widget" demonstrating the difference in an increase in quantity demanded (moving from one red dot to the other) and an increase in demand (moving from blue Demand curve D to red Demand curve D'), below.



IMHO, AAPL is seeing a new demand curve (i.e. vol) -- we're no longer moving on the same vol curve and have moved to a new (higher) one. Like the difference between an increase in quantity demanded and an increase in demand, AAPL is showing a brand new risk curve -- a new paradigm if you will -- and it reflects higher risk.
End Older Post
----

Now to the historical vol measures.  First, I have included the HV180™ chart and below that the HV360™ chart for AAPL over two-years. Note that HV is measured in trading days (not calendar days like implied vol), so HV180™ represents an average of ~9 months of data and HV360™ represents an average of ~18 months of data. So, in English, these are long-term trends not affected by short lived stock volatility.

AAPL HV180™


AAPL HV360™


I've drawn that yellow horizontal line to make it easier to see the high. What we can see here is that AAPL is now at multi-year highs for the very long-term HV180™ and HV360™ measures.

A fair question to ask, is, "how does this compare to the broader market?" Of course, the rationale being, if AAPL is mirroring the overall market, then this is not a firm specific trend, it's a coincidental data point.

Below I have included the same two charts, but have added the long-term HV for SPY as well.

AAPL HV180™ vs SPY HV180™


AAPL HV360™ vs SPY HV360™


I've highlighted the growing vol difference for both measures. The long-term HV measures for AAPL are rising as the SPY long-term HV measures are flattening. It bears repeating that the charts we're looking at here comprise of 9 months and 18 months of closing stock price data -- these are not averages that move easily with the blowing of the wind. These are very long-term measures for the largest company in the world.

The bottom line, in my opinion, whether it's b/c of the loss of Steve jobs, or a variety of other technology specific reasons (or all combined), AAPL is no longer the AAPL we once knew. The implied volatility (option market forward looking measures) bear this out, and the empirical historical stock movement bears it out as well.

The old AAPL is no more. And new AAPL is a riskier entity -- so says the option market and so says the empirical historical long-term stock returns.

This is a different company -- and the market doesn't know what that means yet.

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SandRidge (SD) - Option Volume Explodes for Consecutive Days; OTM Calls Trading Size, Skew Calendar Diff Opens and Vol Hits Annual High

SD is trading $7.17, up 5.6% with IV30™ up 7.0%. The LIVEVOL® Pro Summary is below.



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SandRidge Energy, Inc. (SandRidge) is an independent oil and natural gas company. It is engaged in development and production activities related to the exploitation of its holdings in West Texas and the Mid-Continent area of Oklahoma and Kansas.

This is a vol and stock note -- focusing on a skew vol diff through a calendar and rising stock and a new overall vol high. Let's start with some order flow.

The company has traded nearly 195,000 contracts on total daily average option volume of just 19,435. Calls have traded on a 2.9:1 ratio to puts with the action in the Jun 7, Jun 10 and Dec 10 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls in Dec are mostly opening (compare OI to trade size). These look like long positions with an existing OI which opened up almost entirely yesterday in a single 11,000 contract call purchase. But that's not even close to the whole story, as those calls look like they may have traded in a spread, or were mitigated by a Dec 8 straddle trade for size (and I can't tell the direction). 

Yesterday SD traded over 150,000 contracts -- so this is the second day of enormous trade volume. The stock volume is already about 2x the daily average as well today, and traded 2x yesterday too. In any case, the extreme volume yesterday is getting outpaced today.



Note across the top of the options tab how elevated Dec vol is to Jan. The Skew Tab snap (below) illustrates the vols by strike by month.



We can see that Dec vol is well above Jan, but even more eye catching is the upside vol diff that has opened up between those two front expiries. Full disclosure: I traded that calendar small (so far) today.

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 we can see the abrupt run-up of late -- the stock has risen from $5.19 on 11-14-2012 to now above $7. The 52 wk range in stock price is [$4.81, $9.04].

On the vol side we can see the meteoric rise in vol as the volume has increased. I've included a one-year IV30™ chart below.



We can see that spike up of late -- quite abrupt and into new annual high territory. The implied has reached over 125% in this name back in August of 2011, so while the current IV30™ is an annual high, it is not a multi-year high. This will be a fascinating one to watch though Dec expiry. I do note that there's a ton of volume in Jun as well.

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LinkedIn (LNKD) - Vol Nears New All-time Low; Should it?

LNKD is trading $108.95, up 1.1% with IV30™ unched. The LIVEVOL® Pro Summary is below.



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LinkedIn Corporation (LinkedIn) is a professional network on the Internet with more than 90 million members in over 200 countries and territories.

I last wrote about LNKD on 8-14-2012, noting how low the vol was. You can read that post here:
LinkedIn (LNKD) - Should Risk be at Lowest Levels... Ever?.

I've included the Symbol Summary from that date, below:



As the title postulates, I wondered if the vol for LNKD should have been at an all-time low. Apparently, it should have been, as the stock has moved $4 and the implied is even lower today (see top Symbol Summary).

I found LNKD again today b/c of its low vol -- using a real-time custom scan that hunts for depressed vols. I ask again, should LNKD vol be this low?... Maybe the answer is yes again... or maybe six vol points lower and out of the summer doldrums is the time that vol will rise (or stock will move more than the implied).

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The one-year LNKD 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).



On the stock side we can see the rather quiet period from Aug until now, although there was a peak into the mid $120's in late Sep / early Oct.

In order to get a better look at the vol, I have isolated the one-year IV30™ chart, below.



We can see the extreme peaks into earnings (which is normal), and the troughs that have formed after earnings. The noteworthy trend is that the troughs keep getting lower. It's the value today that caught me eye. The 52 wk range in IV30™ for LNKD is [34.56%, 91.29%], putting the current level in the 3rd percentile (annual).

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



Across the top we can see the monthly vols are priced to 35.73% and 36.58% for Dec and Jan, respectively. While the Dec vol staying low is a reasonable result, I keep pointing to the fact that the Fiscal Cliff and then the return to focus on Europe (after the Fiscal Cliff) are both due out in the Jan options cycle. And while Christmas and New Year's are in Jan expiry (vol lowering events), almost any company hitting annual lows in vol right now feels a bit... weird... Let's see what happens to LNKD this time...

This is trade analysis, not a recommendation.

Apple (AAPL) - Have We Moved into a Totally New Volatility Paradigm for This Company? Has Everything Changed?

AAPL is trading $549.06, down 4.6% with IV30™ up 15.5%. The LIVEVOL® Pro Summary is below.



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Apple Inc. (Apple), along with its subsidiaries, is engaged in designing, manufacturing and marketing mobile communication and media devices, personal computers, and portable digital music players.

This is a vol and stock note on the largest company in the world. I see a potential paradigm shift in the way the option market reflects risk in APPL -- and the shift is not trivial.  I'll even call on your knowledge of Econ 101 from your college days.  But first, let's start with some news from today:

---
(AAPL) shares fell more than four percent following news that margin requirements are being raised to 60 percent from 30 percent by COR Clearing.

The tech giant is down more than 20 percent from its record high of $705 in September and is trading back in bear market territory.

Source: CNBC via Yahoo! Finance; Apple Stock Plunges on Higher Margin Rules.
---

There is also some technical stuff in the article (i.e. technical analysis on the charts), for those interested.

Let's turn to 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).



In terms of a six-month return the stock has gone from $562.83 (6-5-2012) to now just under $550 for a modest 2.4% decline. Of course, the focus has been over the last 2.5 months -- AAPL hit an all-time high of $705.07 on 9-21-2012 and since then (as of this writing) is down over 22%. Note the free-fall from the all-time high to the low on 11-15-2012. The 52 wk range in APPL is [374.36, $705.07].

On the vol side, we can see recent rise in the implied. For a clearer look at the IV30™, I have included a six-month implied chart in isolation, below.




I've highlighted the recent run up as well as the most recent high on 10-19-2012. The 52 wk range in IV30™ for AAPL is [18.18%, 45.81%], putting the current level in the 66th percentile.

But, here's what really caught my eye. The most recent closing low in stock price was on 11-15-2012 when AAPL closed at $525.62. At that time, the IV30™ was rising and hit 32.55%. Shortly thereafter, we can see the stock rise again, only to now start another downward trend. But, with the stock $20 lower then than it is today and in what for all intents and purposes was an absolute free fall from an all-time high (see the chart again), the implied only hit 32.55% on 11-15-2012.

But now, with the stock having already reversed the straight down move from the all-time high, and now headed on a new downward trajectory (after a small recovery), the vol has expanded (increased) significantly more to over 36%. So we see a $20 higher stock price now, with a free fall having ended, yet the implied is now higher than it was during the free fall. In English, the risk reflected by the option market has shifted -- it's higher.

Vol can behave much like demand (in fact, vol is demand for protection (puts) or speculation (calls)), where there can be an increase in quantity demanded (that's moving on the same demand curve to the right) and an increase in demand (which is a totally new demand curve drawn above the prior one). I've included a contrived picture of some "widget" demonstrating the difference in an increase in quantity demanded (moving from one red dot to the other) and an increase in demand (moving from blue Demand curve D to red Demand curve D'), below.



IMHO, AAPL is seeing a new demand curve (i.e. vol) -- we're no longer moving on the same vol curve and have moved to a new (higher) one. Like the difference between an increase in quantity demanded and an increase in demand, AAPL is showing a brand new risk curve -- a new paradigm if you will -- and it reflects higher risk.

This will be an interesting one to watch. If the hypothesis is correct, AAPL will be at elevated vol levels relative to the past in all situations (going up, standing still and going down). Those situations could (should) include earnings.

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Illumina (ILMN) - Vol Comps point to Elevated Risk in Next Three Weeks; Calendar Spread Opens as Well

ILMN is trading $51.93, down 0.4% with IV30™ up 3.9%. The LIVEVOL® Pro Summary is below.



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Illumina, Inc. (Illumina) is a developer and manufacturer of life science tools and integrated systems for the analysis of genetic variation and function.

I found this stock using a real-time custom scan I built in Fidelity. This one hunts for calendar spreads between the front two monthly expiries. I've included the results of the scan below.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200

The goal with this scan is to identify back months that are cheaper than the front by at least 10 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

The six-month ILMN 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).



On the stock side we can see a nice rise over the last six months as the equity price has gone from $40.50 to now over $52 in half a year (~30%).

On the vol side we can see how the implied is now diverging from the two historical realized vol measures (both short and long-term). It's interesting to note how the IV30™ has climbed after a short lived drop following earnings. The vol comps are rather eye popping:

IV30™: 57.82%
HV20™: 27.09%
HV180™: 30.18%

In English, the option market reflects much higher risk in the next thirty days than the stock has realized in the recent and long-term past -- a compelling vol phenomenon IMHO.

It's the Skew Tab that will show us the calendar vol diff.



We can see how elevated Dec is to the Jan options -- in particular to the upside. That vol diff is double digits.

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




Across the top we can see that Dec is priced to 61.27% while Jan is priced to 53.52% -- so about an eight point vol diff. But, looking to the upside, for example the Dec/Jan 60 call spread, we can see that vol diff opens to over 11 vol points, and the Dec/Jan 65 call spread opens to ~17 vol points.

This is trade analysis, not a recommendation.

Facebook (FB) - Vol Falls as Stock Rises; Two Vega plays if Vol is Too Low... But is It?

FB is trading $27.92, down 0.3% with IV30™ popping 9.3%. The LIVEVOL® Pro Summary is below.



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Facebook, Inc. is a United States-based company, which operates as a social networking Website. The Company develops technologies that facilitate the sharing of information through the social graph, the digital mapping of people's real-world social connections.

This is a stock and vol note -- specifically depressed vol in a stock that has been ripping of late. An interesting vol phenomenon now exists. I found FB 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.

The six-months FB 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).



On the stock side we can see the impressive recovery over the last four weeks. On 11-9-2012, FB closed at $19.21 and as of today the stock is up 45% from that level.

But, this is a vol note -- and the phenomenon I'm interested in is how the implied is trading below both the short-term and long-term historical realized vols.

I've included a focused a 3-month vol chart, below.



We can see much more clearly how the IV30™ is trading well below the HV20™ and HV180™. The IV30™ is also trading low relative to its own history -- the range for IV30™ since FB started trading is [42.19%, 81.51%], putting the current level in the 22nd percentile.

In English, with the stock ripping the implied has dipped relative to all measures, but then ask yourself -- or anyone else for that matter, "do you feel confident with FB's valuation and recent run up?"

Let's look to the Skew Tab, and we can see another interesting vol set-up.



We can see how Dec is elevated to Jan -- which is a little weird since Dec nears the "tired" period at the end of the year. And yes, it's actually Jan expiry that has Christmas and New Year's -- it also has the post fiscal cliff world and the return of heavier trading volume (probably). The next earnings release for FB should be after Jan expiry, so we don't get that embedded vol even in there, but still, with vol this low and the stock rising so abruptly, a fiscal cliff decision ahead and then a re-focus on the Eurozone -- the vol in Jan feels... well, it feels low...

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



Across the top we can see the monthly vols are priced to 51.97% and 49.84% for Dec (monthly) and Jan. It seems like there is a long vega play on the board either through a calendar or a plain vanilla vol purchase. Ya know, then again, that could be totally wrong and a disastrous trade.

This is trade analysis, not a recommendation.

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