XLNX - Call Buyer Double Down Kinks Skew

Discussion in 'Options' started by livevol_ophir, Jun 16, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    XLNX is trading $26.73 up 1.4% with IV30&#8482 up 9.9%.

    <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TBkZg7AB5BI/AAAAAAAADBo/TxxVeGFpAs4/s1600/xlnx_summary.gif">

    The company has traded over 17,000 options on total daily average option volume of just 5,367. All but 744 (not a typo) contracts have been calls. The largest trades, accounting for over 14,000 options are July 27 and 28 call purchases. You can see the prices below. The Stats Tab and Day's biggest trades snapshots are included (<a href="http://livevol.blogspot.com/2010/06/xlnx.html">in the article</a>).

    The Options Tab (<a href="http://livevol.blogspot.com/2010/06/xlnx.html">in the article</a>) illustrates that the 27 calls are mostly opening (compare OI to trade size). The OI in the July 28 calls was 150 as of 6-15. Today it's 5,791 and 9,294 more calls were purchased today (the OI from yesterday was long). In total, that's 15,000 calls opened long in two days on the same line.

    The Skew Tab snap (<a href="http://livevol.blogspot.com/2010/06/xlnx.html">in the article</a>) illustrates the vols per month per strike.

    You can see the July 28 calls are trading higher vol than any other OTM calls (i.e. higher than the 27,29, 30, 31, 32 and 35 calls).

    Finally, the Charts Tab (6 months) is below (<a href="http://livevol.blogspot.com/2010/06/xlnx.html">in the article</a>). The top portion is the stock price, the bottom is the vol (IV30&#8482 - red vs HV20&#8482 - blue).

    I note a few things. First, the stock is ripping lately. Second, even with the IV30&#8482 10% jump today, it's still well below the realized vol (HV20&#8482). There is some news today on some technology and a partner they work with. On a side note, did you know that companies are actually manufacturing processors that are 8 atoms (atoms!!!!!) wide? Come on, that's crazy talk...

    This trade buys calls, doubles down (and then some) in the same month on a stock with an upward trajectory and IV below HV recently.

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts here:
    http://livevol.blogspot.com/2010/06/xlnx.html