AMAT - Apr Call Buyer

Discussion in 'Trading' started by livevol_ophir, Jan 7, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    The company averages 12,640 options traded a day - today over 26,500 have traded with more than an hour to go in the day. Further, nearly 24,000 of those are calls for an 8:1 call:put ratio. You can see the Net Deltas (positive) and Net Premium (positive) - the order flow has been buying options and getting long delta ---> Buying Calls.

    The 7 largest option trades of the day are all purchases of the Apr. 15 calls for 33 vol. These are mostly opening orders - 18,620 volume vs 3,463 OI (open interest).

    Finally, the chart illustrates the divergence between the IV30 and the HV10. However, you can also see that the prior earnings cycle yielded HV10 of ~50%.

    This is bullish in that it is a purchase of calls - but it's not uber bullish in that it deals in Apr. options. This could be a vol bet more than anything else. IV30 does tend to be higher than current levels over the last 6 months in AMAT and VIX is now below 20.

    You can see details, trades,prices, charts on my blog here: