RIMM - Options Skew Divergence and Earnings

Discussion in 'Trading' started by livevol_ophir, Feb 9, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    The vol of each month is relatively flat - ranging from just 42-43 excluding Feb. The snapshot is included in the article.

    The Skew Tab snapshots (rotated and flat) are in the article. Note that even though the ATM vols are similar (from above) there is a distinct skew in the red (Feb) and yellow (Mar) months while green (Jun) and blue (Sep) are right on top of each other and much flatter.

    The March and June Options Tab snapshots are in the article.

    A few things to note:
    (1) Earnings are at the end of March and therefore out of the March expo.
    (2) The OI in March and June upside calls:
    Str March June
    <b>75</b> 24,340 ---- 4,454
    <b>80</b> 18,994 ---- 5,054
    <b>85</b> 9,303 ---- 2,382
    <b>90</b> 4,678 ---- 2,000
    <b>95</b> 5,532 ---- 754
    <b>100</b> 71,615 ---- 3,265

    This can occur for several reasons - sometimes it's just the length of time a certain month has been available, other times it's growing positions (bets) in a certain time frame.

    The Skew chart for RIMM as of 12/21/2009 (earnings were 12/17/2009 AMC) is included in the article.

    You can see the second month (yellow) and third month (green) up and down skews overlap pretty well.

    Finally, the Charts Tab snap shot is included in the article. You can see that three of the last four earnings cycles the stock has gapped and HV20&#8482 (blue line on bottom chart) jumped higher than IV30&#8482 (red line on bottom chart)

    You can see details, charts, vols,prices here:
  2. An intelligent post about <i>options</i>... what's he doing on E'trader ;)