CA - Feb and Jan'12 Call Buyers Continue Bullish Tech Order Flow

Discussion in 'Options' started by livevol_ophir, Sep 23, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    CA is trading $20.86, up 1.0% today.

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    The company has traded over 14,900 options in the first three hours on total daily average option volume of just 1,583. All but 458 contracts have been calls yielding a 31:1 call : put ratio. The action however has been in the Feb'11 and Jan'12 calls - so longer term trades. The Stats Tab and Day's biggest trades snapshots are included (<a href="">in the article</a>).

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    The Options Tab (<a href="">in the article</a>) illustrates that the Feb'11 calls mostly opening (compare OI to trade size). The Jan'12 25 calls are ambiguous at first blush b/c OI >> volume today.

    On 9-14-2010 the OI jumped in those calls from ~ 1,000 to over 14,000. The Level II pop-out is included (<a href="">in the article</a>).

    Going to the day before (9-13-2010) and hunting down those calls we can easily see that the interest opened long. The Time & Sales Tab snap is included (<a href="">in the article</a>).

    So the calls went up for $1.15 on ~$1.00 x $1.15 markets. These were purchases. The Skew Tab snap (<a href="">in the article</a>) illustrates the vols by strike by month.

    I've only included Feb'11 and Jan'12. Really the point here is that the skew has not reacted at all, even given the rather large growing OI in the Jan'12 options.

    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 vs HV180&#8482 - pink).

    The Feb'11 options traded on 30 vol, the Jan'12 options on 31 vol. Note that IV30&#8482, HV180&#8482 and HV20&#8482 are all below that. This feels like an expensive vol purchase. One note, HV360&#8482 is actually 32, so the vol purchases aren't somehow "wacky" high. This flow feels like the rest of the tech sector, basically, up....

    This is trade analysis, not a recommendation.

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

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