SFI - Major Call Accumulators into Earnings

Discussion in 'Options' started by livevol_ophir, Apr 26, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    SFI is trading 6.10 up more than 135% from it's close 12-31-2009 with earnings coming up 4-29-2010 (BMO).

    <img src="http://4.bp.blogspot.com/_hMry1m7UF10/S9XVgNQ4ImI/AAAAAAAACC4/RmGZ0MzvuIc/s1600/sfi_summary.gif">

    The company has traded nearly 40,000 options today on total daily average option volume of just 1,915. All but 96 contracts have been calls for 403:1 call : put ratio. The largest volume have been Jun 7.5, Jul 7.5, Jul 5 and Jun 5 calls respectively. The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/04/sfi.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/04/sfi.html">in the article</a>) illustrates the volume relative to OI. Other than the Jul 7.5 calls, everything else has traded at or below OI. The Jul 7.5 calls are opening purchases. A little bit of digging reveals that the other three calls are long open interest and the trades today have been pre-dominantly purchases - so these are new opening order long positions (according to my research - you might want to double check).

    The Skew Tab snap is nice - it shows the 10 level calls bending up even though the action has beenin the 5's and 7.5's. I've highlighted both the 7.5 and 10 level strikes (<a href="http://livevol.blogspot.com/2010/04/sfi.html">in the article</a>).

    Finally, the Charts Tab (6 months) is below (in the article). The top portion is the stock price, the bottom is the vol (IV30&#8482 - red vs HV20&#8482 - blue). The yellow shaded area at the very bottom is the IV30&#8482 vs. the HV20&#8482 vol difference.

    We can see the stock was in the mid $2 range and is now over $6 just a few months later. Earnings are 4-29-2010 BMO.

    This is trade analysis, not a recommendation.

    Details, trades, prices, charts, skews here
    http://livevol.blogspot.com/2010/04/sfi.html