VPRT - Vol Sale in Sep After Earnings Collapse

Discussion in 'Options' started by livevol_ophir, Aug 13, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    VPRT is trading $29.43.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TGVvPSfQ89I/AAAAAAAAEE8/oQtSTOdrLrQ/s1600/vprt_summary.gif">

    The company has traded over 7,500 options in the first three hours on total daily average option volume of just 1,515. ~5,000 of those contracts went up in a Sep 27.5/35 strangle sale @ ~$0.75. The Stats Tab and Day's biggest trades snapshots are included (<A href="http://livevol.blogspot.com/2010/08/vprt.html">in the article</a>).


    The Options Tab (<A href="http://livevol.blogspot.com/2010/08/vprt.html">in the article</a>) illustrates that the options are mostly opening (compare OI to trade size). Note that the Sep vol is actually up small while Aug is down 3 points.

    <b>Trade Stats</b>
    Sell 2,5000 Sep 35 calls @ $0.10
    Sell 2,5000 Sep 27.5 puts @ $0.65
    So at Sep expo this trade makes money is the stock is in ($35.75, $26.75).

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

    I like that the calls that were sold have a big kink upwards; but $0.10 is not real exciting. As of this writing the strangle can be sold @ ~$0.90 mid market and even bid-to-bid it's $0.80, which is better than the $0.75 sale earlier.

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

    Note the massive stock drop from earnings and how HV20&#8482 exploded past the IV30&#8482. Before the stock collapse the HV180&#8482 and HV120&#8482 were about 35. This Sep strangle is a 41 vol sale which is a pretty good scalp if "normalcy" returns. I like this trade small @ $0.90 or better.

    The PnL chart for this trade with $0.15 in the calls and $0.75 in the puts is included (<A href="http://livevol.blogspot.com/2010/08/vprt.html">in the article</a>).

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts, here:
    http://livevol.blogspot.com/2010/08/vprt.html