MT - Call Accumulator, Spiking OI, Takeover Spec?

Discussion in 'Options' started by livevol_ophir, Feb 24, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    MT is trading 38.20.

    The company traded over 75,000 options yesterday on total daily average option volume of just 7,802. Further, 53,000+ Apr 40 calls traded on essentially no open interest. Looking at OI today, we see that ~ 36,000 opening purchases remain from that volume making it the largest OI on any line in any month. The Stats Tab and Day's biggest trades snapshots are included (in the article). Note the 7:1 call: put ratio for all trades.

    The Options Tab snap (in the article) illustrates the volume in the Apr 40 calls and the unusually large OI in the Mar 40 calls.

    The Level II pop out for the Mar 40 calls is included (in the article). You can see the rapid and recent increase in opening positions. That first big jump up was 2/19/2010 (i.e. Friday of last week). Combining the 36,000+ opening yesterday in Apr 40, and the now total 27,000+ OI in Mar 40, over 63,000 opening OTM calls have been purchased in 4 trading days. Other than those two lines, I don't see an OI larger than 5,500 on any one line (June 36 calls are 5k+). After that, I don't see anything over 3,000.

    All this call buying is pushing the upside skew higher (reverse skew). The Skew Tab snap is included (in the article). To read what a "normal" skew looks like and why it exists you can get that link in the article.

    Finally, the Charts Tab snap is included (in the article). The bottom portion of the chart are the vols: IV30&#8482 (red) vs. HV20&#8482 (blue). The yellow shaded area charts the vol difference. Note that the stock is moving more than the implied indicates recently. Also note that MT recently hit its 52 wk high of 49.

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