BX - Call Buyers Come in Huge for Third Time

Discussion in 'Options' started by livevol_ophir, Sep 25, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    On Friday, BX closed at $11.50 up 6.8%.

    <img src="http://2.bp.blogspot.com/_hMry1m7UF10/TJ4ihQQnzrI/AAAAAAAAE-8/2Y4DlTzFM0w/s1600/bx_summary.jpg">

    On 9-3-2010, I noticed some very large call purchases in the Jan'12 15 calls in BX. You can read that original blog here:
    <b><a href="http://livevol.blogspot.com/2010/09/bx.html">Blackstone (BX) - Call Buyers Doubling Down</a></b>

    On 9-3-2010, I noted that: "The company has traded over 30,000 options on total daily average option volume of just 6,099. The largest trade was a 16,200 lot for $0.86 in the Jan'12 15 calls (purchases)."

    On Friday I saw more of the exact same trade, but even bigger. The company traded over 46,000 options on total daily average option volume of just 6,766 with calls trading on a 53:1 ratio to puts. The actions was in the Jan'12 15 calls were over 36,000 traded (mostly purchases). One print alone was over 30,000, paying $1.05. The Stats Tab and Day's biggest trades snapshots are included (<a href=http://livevol.blogspot.com/2010/09/bx_25.html>in the article</a>).

    The Options Tab (<a href=http://livevol.blogspot.com/2010/09/bx_25.html>in the article</a>) illustrates that the calls have a substantive OI from the 9-3-2010 trading and before that, from the 7-22-2010 trading. Both of those prior days were purchases, and I believe Friday was more of the same.

    We can see that the Jan'12 vol is nearly 48, well above all the other months, specifically above: Oct (39), Nov (42) and even Mar'11 (43).

    The Skew Tab snap (<a href=http://livevol.blogspot.com/2010/09/bx_25.html>in the article</a>) illustrates the vols by strike by month.

    We can see two things:
    1) The skew in Jan'12 has not changed shapes to a dramatic upward bend.
    2) The Jan'12 vol is well above the other months (as noted).

    On 9-3-2010, the skew did show a slight kink to the upside in those calls, but I believe it was short lived. For completeness, I've included that chart as well (<a href=http://livevol.blogspot.com/2010/09/bx_25.html>in the article</a>).

    <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TIFW6jYW8PI/AAAAAAAAEjM/P8-nF9fjWdY/s1600/bx_skew_9-3-2010.gif">

    Finally, the Charts Tab (6 months) is below (<a href=http://livevol.blogspot.com/2010/09/bx_25.html>in the article</a>). The top portion is the stock price, the bottom is the vol (IV360™ - yellow vs HV360™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

    Just like on 9-3-2010, we can still see that the historical (54) is actually above the implied (47) going out to 360 days. On 9-3-2010 the values were 57 and 49 for HV360™ and IV™ respectively. Since the first post, BX is up from $10.35 to $11.50 or ~10%.

    This is trade analysis, not a recommendation.

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

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