NSC - Vol Buyers Push IV Past HV; Unusual Open Today

Discussion in 'Stocks' started by livevol_ophir, Jul 1, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    NSC is trading $52.18, down 1.6% with IV30™ up 9.3%.

    <img src="http://3.bp.blogspot.com/_hMry1m7UF10/TCysglJiZNI/AAAAAAAADS4/DZ1mIWEFU7E/s1600/nsc_summary.gif">

    Right at the open and for the next hour there has been interesting action in the stock and the options. The tick chart (in the article) is included.

    We can see the spike at the open to the ~$53.90 level, and then a precipitous drop to ~$52.05 with the front month vol jumping more than 10%.

    The company has traded over 9,200 options in the first hour on total daily average option volume of just 2,447. Calls are trading on a 4:1 ratio to puts. The action is in the Jul 55 calls where nearly 6,800 have traded (mostly purchases) and the Jul 50 puts where over 1,100 have traded (also mostly purchases). The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/07/nsc.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/07/nsc.html">in the article</a>) illustrates that the Jul 55 calls are mostly opening (compare OI to trade size). The Jul 50 puts are ambiguous at first blush as trade size < OI. From what I can tell, I'm fairly certain that the OI in the puts is long, so this is opening and will increase the OI tomorrow.

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/07/nsc.html">in the article</a>) illustrates the vols by strike by month.

    I've highlighted the 55 line, the 50 line is to the left. The skew looks pretty normal, though July is elevated to the other months even though earnings (a vol event) are projected to fall in the Aug cycle and not in July.

    Finally, the Charts Tab (6 months) is below (<a href="http://livevol.blogspot.com/2010/07/nsc.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue). The yellow shaded area at the very bottom is the IV30™ vs. the HV20™ vol difference.

    A few things to note:
    1) The IV30™ (red line, bottom chart) has now crossed the HV20™ (blue line, bottom chart).

    2) The stock has a really weird stock pattern, up to ~$60 then down to ~$52, then back up, back down, etc...

    3) On the very bottom, the volume bars illustrate how unusually high the volume is today (and it's just been an hour).

    Vol buyers are present even as IV30™ spikes past HV20™, mostly bullish action but growing OI in the puts as well.

    This is trade analysis, not a recommendation.

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