F is trading $16.66, down 2.0% with IV30⢠up 3.9%. The <a href="http://www.livevol.com/">LIVEVOL⢠Pro Summary</a> is below. <img src="http://www.livevolpro.com/help/images/blog/f_summary.gif" /> ------------------------------------------------------------------- <a href="http://www.livevolpro.com/help/free_trial.html"><img height="200" src="http://www.livevolpro.com/help/images/blog/lvp_trial_ad.gif" /></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> ------------------------------------------------------------------- I found this stock using a real-time custom scan. This one hunts for high vols. <b>Custom Scan Details</b> Stock Price >= $7 and <= $70 IV30⢠- HV20⢠>= 10 HV180⢠- IV30⢠<= -8 Average Option Volume >= 1,200 Industry != Bio-tech Days After Earnings >=10 and <=60 The goal with this scan is to identify short-term implied vol (IV30â¢) that is elevated both to the recent stock movement (HV20â¢) and the long term trend in stock movement (HV180â¢). 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 IV30⢠simply because earnings are approaching. The F Charts Tab is included (<a href="http://livevol.blogspot.com/2010/11/f.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). The yellow shaded area at the very bottom is the IV30⢠vs. the HV20⢠vol difference. <img src="http://www.livevolpro.com/help/images/blog/f_charts.gif" width="600" /> We can see: IV30â¢: ~48.87 HV20â¢: 36.60 HV180â¢: 38.93 So, IV30⢠is elevated relative to the short term and long term realized movement of the stock. Let's look to the Options Tab (<a href="http://livevol.blogspot.com/2010/11/f.html">in the article</a>). <b>Possible Trades to Analyze</b> 1. Start risky: Sell the F Dec 16/17 strangle @ $1.42. That's ~48 vol. 2. Take some risk off: Do #1, but purchase either a Dec 15 put or a Dec 18 call. Either way, that long option leaves the position essentially no risk to that side since the credit is ~ $1.00 and the strikes are just $1.00 wide. 3. For you margin weary guys, a purchase of the Dec 15/18 strangle for $0.78 against the 16/17 strangle sale yields a net credit of $0.64 (MaxGain) and a MaxLoss of $0.36. So a 1.78:1 ratio selling elevated vol. I've included the PnL chart (<a href="http://livevol.blogspot.com/2010/11/f.html">in the article</a>) for this trade at Dec expo. This trade requires F to be in the range ($15.40, $17.60) on Dec. expo. Quick log normal rounding analysis demonstrates that the vol you "think" the stock will move at is the key. If we take vol to be the Dec 17 level (~48), then this trade has a ~44% chance of winning (using a long list of assumptions). But, if we take the vol to be the HV180⢠(38.93), then the probability of profit rises to 53.5%. The point here is not to use these numbers, but rather to demonstrate what it <i>actually means</i> to sell vol. i.e. what the implication is of a vol bet. That 10 point vol difference in expectation changes the outlook of the trade fairly dramatically. In English, selling vol means <em>you believe it will go down</em>. NB: GM IPO is coming soon. 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/f.html">http://livevol.blogspot.com/2010/11/f.html</a> Legal Stuff: <a href="http://www.livevolpro.com/help/disclaimer_legal.html">http://www.livevolpro.com/help/disclaimer_legal.html</a>