ESI is trading $61.69, down 5.4% with IV30⢠up 2.6%. The <a href="http://www.livevol.com/">LIVEVOL⢠Pro Summary</a> is <a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>. <img src="http://www.livevolpro.com/help/images/blog/esi_summary.gif" /> ------------------------------------------------------------------- <a href="http://www.livevolpro.com/help/free_trial.html"><img src="http://www.livevolpro.com/help/images/blog/lvp_trial_ad.gif" height="200"></a> For a limited time we are offering a FREE real-time trial to Livevol Pro⢠for non-professional traders. You can get your trial by following the directions here: <b><a href="http://www.livevolpro.com/help/free_trial.html">Click for Free Trial Offer</a></b> ------------------------------------------------------------------- Second one of this flavor today... The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. <b>Custom Scan Details</b> Stock Price >= $5 Sigma1 - Sigma2 >= 8 Average Option Volume >= 1,000 Industry != Bio-tech Days After Earnings >=5 <=70 Sigma1, Sigma2 >= 1 The snapshot of the scan is included (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>) in case you want to build it yourself in Livevol Proâ¢. <img src="http://www.livevolpro.com/help/images/blog/calendar_spread_scan.gif" width="600" /> The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching. Looking to the Skew Tab (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>), we can see the elevated vol in the front month (red line) relative to the second month (yellow line). Note the vol difference between the front two months. I've highlighted a strangle, but the entire term structure is clearly priced with front > back. Now we can turn to the Charts Tab (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30⢠- red vs HV20⢠- blue vs HV180⢠- pink). <img src="http://www.livevolpro.com/help/images/blog/esi_charts.gif" width="600" /> This stock can move a lot. It's an expensive stock with pretty high vol. This makes for expensive options and a substantive amount of risk. Finally, let's look to the Options Tab (<a href="http://livevol.blogspot.com/2010/11/esi.html">in the article</a>). We can see Nov vol is priced at ~62.5 and Dec at about 55. <b>Potential Trades to Analyze</b> 1. Strangle calendar: Sell Nov 55/67.5, Buy Dec 55/67.5. The fair value for the Dec 67.5 calls using 51 vol is $2.31 (note there is no bid there yet on max wide markets). This calendar would pay ~$4.70, sell ~$2.05 so a net debit of ~2.65. Buying 55 vol (ish) selling 65 vol (ish). 2. The strikes don't have to be even, putting on more risk could sell a closer to the money strangle and buy further OTM for a net even (ish) trade. 3. The opposite of #2 above. If you feel like a move is coming, sell further OTM front and buy closer to the money back. This allows a bit of wiggle room for the stock to move but is more expensive. This is trade analysis, not a recommendation. <b>Follow Live Trades and Order Flow on Twitter: @Livevol_Pro</b> Details, trades, prices, vols, skews, charts here: <a href="http://livevol.blogspot.com/2010/11/esi.html">http://livevol.blogspot.com/2010/11/esi.html</a> Legal Stuff: <a href="http://www.livevolpro.com/help/disclaimer_legal.html">http://www.livevolpro.com/help/disclaimer_legal.html</a>