* UPDATE: SPWRA - Cheap Vol Was a Purchase

Discussion in 'Options' started by livevol_ophir, Sep 23, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    * UPDATE

    SPWRA is trading $14.01, up 11% with IV30™ up 6.8%.

    <img src="http://2.bp.blogspot.com/_hMry1m7UF10/TJun5bFb9eI/AAAAAAAAE-M/tCryfrKIu_c/s1600/spwra_summary_9-23.gif">

    On 9-20-2010 I posted an article on SPWRA, noting the low vol relative to short term and long term historical. I made use of a custom scan in Livevol Pro and illustrated how to re-create it.&nbsp; You can read that blog here:
    <b><a href="http://livevol.blogspot.com/2010/09/spwra.html">SunPower (SPWRA) - Low Vol and Uneven Skew May be Purchase</a></b>

    The stock was trading $12.39 at the time. I noted:
    "We can see the IV30™ is 51 while HV20™ and HV180™ are 62. In other words, the short term and long term realized volatility in the stock has been more than 10 points higher than the current implied. This stock was recently upgraded by two sell side firms giving it a nice little pop at the end of August and shooting the HV20™ up."

    As of today the stock has moved and vol has risen, making the straddle a winner to both phenomenon. The Options Tab is included (<a href="http://livevol.blogspot.com/2010/09/spwra_23.html">in the article</a>).

    If you made this trade, nice... The 13 straddle is worth ~$1.63 today and was worth $1.37 three days ago, or a 19% win since Monday.

    Selling the upside might be a good idea covered to the long straddle, or closing the position entirely to take the win also makes sense.

    This is trade analysis, not a recommendation.

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

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