WSM - Opening Order Flow; Vol Jump

Discussion in 'Options' started by livevol_ophir, Apr 21, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    Details, charts, vols, prices, skews here:

    WSM is trading 30.89, up $2.05 with IV30&#8482 6.9% on a rising stock price.

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    The company has traded over 18,000 options in the first hour on total daily average option volume of just 2,294. Calls are trading on a 10:1 ratio relative to puts. The Stats Tab and Day's biggest trades snapshots are included (in the article).

    The Options Tab (in the article) illustrates that the May 35, May 30 and Jun 35 calls respectively are the most active. Each has traded significantly over its OI (open interest) indicating that the trades are opening. Most of these orders are purchases (I checked).

    Note that over 12,000 calls have traded in May in an hour of trading on total daily average option volume of just 2,294.

    The Skew Tab snap is included (in the article or <a href="">click here</a>). It's bending upward rather than down (i.e. it's not "normal" shaped). I have highlighted the May 35 calls. You can see that the Jun 35 calls have yet to react as steeply; the May 35 calls are 4 vol points higher than the Jun 35 calls (39 vs 43). The June 40 calls now are bending upward trading at 41 vol. This means that vol is increasing as the stock goes up - another "unusual" occurrence. To read why skew exists and how it's shape is defined you can <a href="">Click Here</a>.

    Finally, the Charts Tab (6 months) is in the article. 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.

    You can see the recent run up in stock (like the entire market). You can also see that yesterday was another day with substantial opening call buying from the green colored volume bar at the bottom. This is the second day in a row opening call buying has been predominant.

    This is trade analysis, not a recommendation.

    Details, charts, vols, prices, skews here: