ANN - Straddle Seller in Oct

Discussion in 'Options' started by livevol_ophir, Sep 8, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    ANN is trading $17.26, up 2.6% today with IV30&#8482 down nearly 5%.

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    The company has traded over 5,900 options in the first three hours on total daily average option volume of just 1,557. The largest trade was an Oct 17 straddle sale @ $2.40 ~1,500x. Color provided by Mike Bristow, Vtrader Group. In total, I see that straddle traded nearly 3,000x. The Stats Tab and Day's biggest trades snapshots are included (<a href="">in the article</a>).

    The Options Tab (<a href="">in the article</a>) illustrates that the calls and puts are mostly opening (compare OI to trade size). The Oct vol is down 2.7 points and is now the lowest of all the monthly vols. The straddle sold ~54.5 vol.

    The Skew Tab snap (<a href="">in the article</a>) illustrates the vols by strike by month.

    <img src="">

    It's interesting to see that Sep and Oct have an upward bend to the upside skew. Dec is flat (normal).

    Finally, the Charts Tab (6 months) is below (<a href="">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30&#8482 - red vs HV20&#8482 - blue and HV180&#8482 - pink). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV20&#8482 vol difference.

    IV30&#8482 is 55, HV20&#8482 is 54 and long term historical is 57. Since the straddle sold 54.5 vol, it feels kind of fair. Not real exciting either way.

    <b>Trade Stats</b>
    Sell 2,700 Oct 17 straddles @ $2.40
    Breakeven Low: $14.60
    Breakeven High: $19.40
    ANN 52 wk range is [$11.59, $25.24]

    I pretty much have no opinion on this trade one way or the other. I guess that means, I don't like it...

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts here:

    Legal Stuff:
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