JCG - Dec Put Spreader; Sep Has the Vol; ANF News

Discussion in 'Options' started by livevol_ophir, Aug 17, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    JCG is trading $33.69, up 2.5% with IV30&#8482 down 6.6%.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TGrVlvVmzeI/AAAAAAAAEJc/160ZPfl9iR8/s1600/jcg_summary.gif">

    The news was in ANF: Abercrombie reported inventory jumped 47% on a per-square-foot basis, and margins continued to fall amid discounts. Interesting that JCG vol is down on this news.

    The company has traded over 7,600 options on total daily average option volume of just 2,112. All but 351 contracts have been puts. The largest trade has been a Dec 25/30 put spread purchase for $1.30. The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/08/jcg.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/08/jcg.html">in the article</a>) illustrates that the puts on both legs are opening (compare OI to trade size). The Sep 35 puts were bought today and are closing that long OI.

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/08/jcg.html">in the article</a>) illustrates the vols by strike by month.

    You can see how much lower vol is in Dec than Sep (the green curve is entirely below the yellow one). Earnings are in the Sep cycle, but there should be two earnings in the Dec cycle, including the "Christmas" earnings report.

    I like the put spread better in Sep, and I like it 1 x 2. Buy 1 30 put and sell 2 25 puts for a total debit of ~$0.45, safe down to a stock price of $20.

    Finally, the Charts Tab (6 months) is below (<a href="http://livevol.blogspot.com/2010/08/jcg.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV90&#8482 - green vs HV90&#8482 - blue). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV30&#8482 vol difference.

    The long term vols match up right on top of each other. Alternatively, the IV30&#8482 is 50.5 and the HV20&#8482 is 42.5. The 52 wk range in the stock is [$28.01, $50.96]. This bet, if done without stock, looks to see the stock drop below it's year low if held to expo. It's more of a vol play otherwise.

    This is trade analysis, not a recommendation.

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