KLIC - Vol Trade and Calendar

Discussion in 'Options' started by livevol_ophir, Sep 30, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    KLIC is trading $6.22, down 1.1% with IV30™ up 5.6%.

    <img src="http://3.bp.blogspot.com/_hMry1m7UF10/TKSnpJCh3LI/AAAAAAAAFB8/CLREiQMKIHI/s1600/klic_summary.gif">

    I found this stock using another real-time custom scan. This one hunts for low vols 60 days out.

    <b>Custom Scan Details</b>
    Stock Price &gt;= $10
    Average Option Volume &gt;= 1,200
    Industry isNot Bio-tech
    IV60™ – HV60™ &lt;= 8
    HV180™ – IV60™ &gt;=8

    The goal with this scan is to identify mid-term implied vol (IV60™) that is depressed both to the recent mid-term stock movement (HV60™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and want to avoid bio-techs (and their crazy vol).

    The KLIC Charts Tab is included (<A href="http://livevol.blogspot.com/2010/09/klic.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV60™ - yellow vs HV60™ - blue vs HV180™ - pink). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

    This is a great chart. We can see the vols:
    IV60™: 63.55
    HV60™: 72
    HV180™: 72

    So, IV60™ is relatively low. Let's look to the Options Tab now (<A href="http://livevol.blogspot.com/2010/09/klic.html">in the article</a>).

    We can see the Nov 6 straddle is priced at 67 vol (ish), or can be purchased for about ~$1.20. We can also see that the Oct 6 straddle is priced at 71.5 vol. That could be sold @ ~$0.65. The next earnings cycle for KLIC could be in the Nov cyle, but it's more likely that it's after Nov (this is a coin flip, really).

    <b>Possible Trades to Analyze</b>
    1. Riskiest is a naked purchase of the Nov ATM straddle for $1.20. If held to expo, this requires KLIC to be outside of ($4.80, $7.20).

    2. A different approach, buy the Nov straddle (67 vol) and sell the Oct straddle (71.5 vol) @ ~0.65 for a total debit of $0.55. This trade wants the stock to pin at $6 for Oct expo. A sale of the Nov straddle on the Monday after expo could be the closing trade.

    This is trade analysis, not a recommendation.

    Trades, details, prices, vols, charts here:

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