TIVO - Analyzing Time Spreads and Vol Events

Discussion in 'Trading' started by livevol_ophir, Jan 15, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    I found TIVO from the Scanner Tab - the Time Spreads folder and the Expiry2 IV > Expiry3 IV scan. You can see the snapshot on the article.

    Note that the IV30&#8482 (the volatility of the hypothetical 30 day option) is considerably higher than the IV60&#8482 and IV90&#8482 (from summary snap above). The Options Tab snapshot below (on article) demonstrates the 22 point spread between months (Feb > May). Also note that TIVO has earnings 3/2 AMC which is in the May cycle and not in the Feb.

    You can also see the mid-market value of the ATM straddles.
    Feb: 1.20 + 1.60 = 2.80
    May: 1.85 + 2.05 = 3.90

    Or, in other words, the straddle for March, April and May = 3.90 - 2.80 = 1.10. So a three month straddle is worth 1.10 and a one month straddle is 2.80. And you get the earnings vol in the last three months. This must be an easy spread. Sell Feb buy May right! Unfortunately, not...

    As the spread indicates, a very large vol incident is coming - and the expectation is clearly that it occurs in the Feb cycle.

    I leave the research to the reader, but as a guide, here's a snippet from theflyonthewall.com news service:

    TiVo sees "near term" decision in patent dispute with EchoStar, Dow Jones says
    Tom Rogers, CEO of TiVo (TIVO), says he expects a "near term" decision in its patent dispute with EchoStar Communications (SATS) and its sister company Dish Network (DISH), reports Dow Jones Newswires.

    A look at the vol chart also clearly demonstrates the impending vol incident. The IV30&#8482 (red line) is substantially higher than the HV30&#8482 (blue line). The Charts Tab snapshot is included in the article.

    You can read details, charts, prices here:
  2. Hi Ophir, just wanted to let you know that I discovered LiveVol and your blog http://livevol.blogspot.com via an ad on the "VIX and More" blog around 1 week ago and have been really enjoying reading up the posts there. Very educative, thank you! Your write style is very readable, too.

    Livevol looks really cool, too. You guys seem to REALLY know your business and IMHO, have an edge over IVolatility in terms of data presentation. All the best! (FYI : I use TOS, and do manual scans + use the IB scanners right now.)
  3. livevol_ophir

    livevol_ophir ET Sponsor

    Thanks Tiger - that's nice to hear.