* UPDATE: CX - Vol Pops Again on Housing Data

Discussion in 'Data Sets and Feeds' started by livevol_ophir, Aug 25, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    * UPDATE

    CX is trading $7.65, with IV30&#8482 up another 6.7% off of yesterday's 14% climb.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/THU3aTZk3XI/AAAAAAAAEUs/wW4RfIU96DI/s1600/cx_summary_8-25-2010.gif">

    Yesterday we looked at CX, and I posted this: <b><a href="http://livevol.blogspot.com/2010/08/cx.html">Cemex (CX) - Vol Buy, Delta Bet on Dipping Stock</a></b>

    Today the vol is continuing to climb on the housing data even though the underlying, as of this writing, is literally unchanged.

    The company has traded over 23,000 options in the first two hours on total daily average option volume of just 3,996. Yesterday the action was the Sep 7/8 risk reversal (buy puts/sell calls) without stock. Today it's the Oct options that are active; the Oct 9 calls and Oct 6 puts have accounted for over 12,500 contracts. The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/08/cx_25.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/08/cx_25.html">in the article</a>) illustrates that the calls are mostly opening (compare OI to trade size). The puts have short OI and are purchases today, so the OI will drop today, best I can tell. The calls are tough to tell in terms of direction. They look negotiated and feel like purchases, though if they were sales the trade would echo the risk reversal yesterday in Sep. Either way, it's a vol purchase; either in a strangle or a risky (buying the skew).

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/08/cx_25.html">in the article</a>) illustrates the vols by strike by month.

    It's interesting to see how the Sep and Oct skew downside literally lie on top of each other.

    Finally, the Charts Tab with vol only (6 months) is below (<a href="http://livevol.blogspot.com/2010/08/cx_25.html">in the article</a>). 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.

    As we saw yesterday, the IV is exploding. IV30&#8482 is now 57% (20 vol points) higher than HV20&#8482.

    <b>Some possible trades:</b>
    Sell Sep and buy Oct (beware, this gets long vega on jumping vol)
    Sell a straddle in Sep, buy a strangle in Oct
    Either of the above on a ratio (more sales than purchases; maybe 1 x 1.25)
    Sell naked Sep or Oct (pretty risky)

    This is trade analysis, not a recommendation.

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

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