VTR - Orderflow Winner; Same Strikes Trade, Different Side

Discussion in 'Options' started by livevol_ophir, Jul 7, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    VTR closed yesterday at $46.09.

    <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TDR-HCl19aI/AAAAAAAADYA/o3r8UySqviQ/s1600/vtr_summary_7-7-10.gif">

    Ventas, Inc. is a real estate investment trust (REIT) with a portfolio of seniors housing and healthcare properties in the United States and Canada.

    I posted an article on this company back on May 19th (click the title to read it): <b><a href="http://livevol.blogspot.com/2010/05/vtr.html">Ventas (VTR) - Jun Vol Seller on Range Bound Stock</a></b>.

    In that post, a June 40/50 strangle seller 3000x came in with the stock at $46.13. The trade won max gain of $285,000. Yesterday, the same strikes traded in Aug, but the trade is different.

    The company traded over 10,000 options on total daily average option volume of just 996. All but ~85 contracts were accumulated in one position; an Aug 40/50 risk reversal (buy puts/sell calls). The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/07/vtr.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/07/vtr.html">in the article</a>) illustrates that both the calls and puts are mostly opening (compare OI to trade size).

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/07/vtr.html">in the article</a>) illustrates the vols by strike by month.

    Much like the last post with the strangle seller, we can see the vol in the puts is considerably higher than the calls. i.e. the skew holds a normal shape.

    Finally, the Charts Tab (6 months) is below (<a href="http://livevol.blogspot.com/2010/07/vtr.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.

    We can see this choppy action in the ($40,$50) range. The bet this time is for a drop below $40 rather than a continuation of this trend. Note that earnings are due out late July (ish).

    This is trade analysis, not a recommendation.

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