CCI - Massive Nov Trade Bets on M

Discussion in 'Options' started by livevol_ophir, Oct 11, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    CCI is trading $42.41, down small with IV30™ up 0.2%. The <a href="">LIVEVOL™ Pro Summary</a> is <a href="">in the article</a>.

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    The company has traded 20,096 options on total daily average option volume of just 438. 20,000 contracts went up on one trade: cust bot 15K nov 45 calls for .58 - sold 5K nov 40 puts @ .65 - sold 644,000 common @ 42.35...crossed. Color from Mike Bristow, Vtrader Group. 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 calls and puts are mostly opening (compare OI to trade size). When looking down the entire option chain for CCI, I don't see any OI larger than 4,700, so both sides of this trade are very large.

    Let's take a look at the PnL chart of this trade (<a href="">in the article</a>). This is a new feature in alpha of LVP - so it's coming soon.

    The options on their own account for 15000*100*.2678 + 5000*100*.2586 = 531,000 deltas. So the stock sale turns it delta neutral(ish). In terms of vega, this trade gets long 15,000*100*0.045 - 5,000*100*0.045 = $45,000 of vega. So, a one point increase in vol, wins $45,000 (sort of). Keep in mind, vega is a function, not a constant.

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

    What's odd is that the skew doesn't really show a change in shape. I would have expected the 45 line to bump up while the 40 line would go down, but... not... Also, Nov vol is below the other months. No only is there buying interest, but Nov has an earnings cycle... weird.

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

    We can see the stock has steadily climbed over the last 6 months. On the vol side (bottom), we can see the IV30™ has popped past the long term and short term realized. Note that earnings are projected for the Nov cycle.

    This is trade analysis, not a recommendation.

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