PFG - July Bet on Vol while Jan 2012 Divergence Widens

Discussion in 'Options' started by livevol_ophir, May 27, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    PFG is trading 27.16, up 4.2% with IV30&#8482 down 8.0%.

    <img src="">

    The company has traded nearly 9,000 options in the first hour on total daily average option volume of just 1,718. All but 747 contracts have been puts. The largest trade has been the Jul 26 puts, where volume is over 7,500. The Stats Tab and Day's biggest trades snapshots are included (<a href="">in the article</a>).

    The Options Tab (<a href="">in the article</a>) illustrates that the puts are mostly opening (compare OI to trade size). Another thing I've highlighted is the Jan '12 vol compared to the current month.

    This is the same phenomenon I wrote about yesterday with AAPL, AMZN, BAC and WMT - the 2012 option vol is persistently high. In fact, you can see that while IV30&#8482 (30 day implied) is lower by 8% today, the Jan 2012 vol is up 4.1 points (or up about 8%). So a total divergence. The article "The Global Economy and the Market Price of Vol Moving Forward" is available by <a href=""> Clicking Here</a>.

    The Skew Tab snap (<a href="">in the article</a>) illustrates the Jul 26 put vol. It's interesting to see that July downside vol (summer) is the same level as Oct. usually we see lower summer vol as the market tends to stay range bound, news is thin and traders are in the Hamptons. For this company however, you can see that the Jul and Oct vols are identical on these puts.

    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 (IV60&#8482 is orange, IV30&#8482 is red, HV20&#8482 is blue). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV20&#8482 vol difference.

    You can see that the implied (both 30 and 60 day) is below the realized vol for PFG.

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts here:
  2. 1) ?......How long before the takeover of a "smaller" financial institution by a "larger financial institution? :eek:
    2) ?.....Nice bid-ask spreads in those 2012 LEAPS! :eek: .....Is there 2-sided order flow out there? :D
    3) Is the LEAPS vol fluctuating merely because of adjustments to the bid-ask on scant volume? :confused: :cool:
  3. livevol_ophir

    livevol_ophir ET Sponsor

    1) I dunno if that's gonna happen. Seems like the regulatory environment doesn't wanna see "bigger" anymore for a while.

    2) None at all... Too bad for us MM :(

    3) Could be actually. Generally the trend fits with the article I posted on AAPL, AMZN, BAC and WMT, but you're right, PFG could be a matter of wide markets.