LAZ - Call Buying on Realized Vol Scalp

Discussion in 'Options' started by livevol_ophir, Sep 14, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    LAZ closed $34.22 yesterday, up 4.7%.

    <img src="">

    The company traded over 9,000 options on total daily average option volume of just 858. All but 577 contracts were calls yielding a 16:1 call : put ratio. The action was in the Oct 35, 38 and Dec 40 calls. The Stats Tab and Day's biggest trades snapshots are included (<a href="">in the article</a>).

    <img src="">

    The Options Tab (<a href="">in the article</a>) illustrates that the calls are all mostly opening (compare OI to trade size). The large volume (Oct 38 and Dec 40) were purchases and in one order. I can't quite tell about the Oct 35 calls.

    The Skew Tab snap (<a href="">in the article</a>) illustrates the vols by strike by month.

    We can see a rather rickety skew, my guess is it evens out slowly, but the vol differences don't seem large enough to present a real trading opportunity based solely on skew unless the kinks get larger. Definitely worth watching though.

    Finally, the Charts Tab (6 months) is below (<a href="">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30&#8482 - red vs HV20&#8482 - blue vs HV180&#8482 - pink). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV20&#8482 vol difference.

    We can see the short term implied and the long term historical are actually right on top of each pother, it's the short term historical that is elevated. Owning the short term options would have been a winner. The stock has been on a steady rise since mid June and the order flow seems to bet on more of the same; that is, more vol in stock than the options imply and generally and upward move.

    This is trade analysis, not a recommendation.

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

    Legal Stuff:
    <a href=""></a>