LPX - Large Call Buyers and Skew Bends

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

  1. livevol_ophir

    livevol_ophir ET Sponsor

    LPX is trading $7.50.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TJO5yO4rdTI/AAAAAAAAE1M/Nv_cbU2Eopc/s1600/lpx_summary.gif">

    The company traded over 16,000 options on total daily average option volume of just 2,772. All but 113 contracts have been calls. The action has been in the Nov 20 calls where over 15,000 have traded. The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/09/lpx.html">in the article</a>).

    <img src="http://2.bp.blogspot.com/_hMry1m7UF10/TJO5zGp4lHI/AAAAAAAAE1c/e_PXfjP0-UQ/s1600/lpx_stats.gif">

    The Options Tab (<a href="http://livevol.blogspot.com/2010/09/lpx.html">in the article</a>) illustrates that the calls are opening (compare OI to trade size). You can also see that Oct vol is below Nov, Jan'11, Feb'11 and even Jan'12.

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/09/lpx.html">in the article</a>) illustrates the vols by strike by month.

    As expected, the order flow has pushed the vol in Nov up on the call side. A reverse skew has formed in Nov, making those calls less attractive as a purchase.

    Finally, the Charts Tab (6 months) is below (<a href="http://livevol.blogspot.com/2010/09/lpx.html">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.

    Two things I note. First, the IV30&#8482 lies in between the HV20&#8482 and HV180&#8482 making it sort of a coin flip as to a purchase or a sale. Second, note that LPX was as high as $13.44 in April, making the 9 level call feel very "in the money-able" for lack of a better term.

    This is trade analysis, not a recommendation.

    Details, prices, trades, charts, skews, vols here:
    http://livevol.blogspot.com/2010/09/lpx.html

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