JAG Volatility Seller

Discussion in 'Trading' started by livevol_ophir, Jan 19, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    JAG is trading 11.52. Note the shorter term HV measures.

    The company has traded over 4,600 options today in the first 3 hours on total daily average option volume of 3605. Further, the call:put ratio is exactly 1 : 1. The Company Tab snapshot is below (click the image to enlarge).

    The biggest trade(s) of the day are in Sep. The Sep 12.5 straddle was sold 1000 times @ 1.60 + 2.24 = 3.84. Another 1000 Sep 12.5 puts were sold 1000 times (possibly with stock to turn them into 500 straddles - but I'm not sure). The day's biggest trades and Options Tab snapshots are included below (click either image to enlarge).

    Note zero open interest in the Sep 12.5 line - these are entirely opening orders. This is a vol bet - namely that the ~50 vol that was sold is better than the future underlying volatility. The Charts Tab snapshot below (click to enlarge) illustrates some interesting results.

    Note the IV30&#8482 (red line) is well above the HV30&#8482 (light blue line) and both are well below 50 (the vol sale). The HV60&#8482 (dark blue line) is 50 (on the nose). This is a bet that the underlying moves more like HV10&#8482/HV20&#8482/HV30&#8482 and therefore makes a 50 vol sale a winner. If this was done without stock, it is slightly bullish - as the short straddle wins max when stock goes to the strike exactly.

    If this is in fact a ratio straddle, then it is slightly more bullish (sold more puts than calls).

    You read details, prices, charts, trades here:
    http://livevol.blogspot.com/2010/01/jaguar-mining-jag-straddle-seller.html