Wednesday, October 31, 2012

Post Market Report: 10-31-12

To get an e-mail alert when a new post-market report is posted please send an e-mail to support (support (at) livevol.com) with "Post-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Netflilx (NFLX) - Vol is Low, But Calendar Diff is Not; Near-term Risk Elevated to Dec.


NFLX is trading $70.21, up 0.9% with IV30™ up 0.3%. The LIVEVOL® Pro Summary is below.



-------------------------------------------------------------------


Click for Free Trial

-------------------------------------------------------------------

Netflix, Inc. (Netflix) is an Internet subscription service streaming television shows and movies. The Company’s subscribers can watch unlimited television shows and movies streamed over the Internet to their televisions, computers and mobile devices, and in the United States, subscribers can also receive digital versatile discs (DVDs) delivered to their homes.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Let's turn to the Skew tab, below.



The yellow curve represents the Nov options, while the green curve represents the Dec options. We can see both a parabolic skew shape across the two expiries, meaning the option market reflects upside risk (potential) and downside risk equally (which is not normal for most stocks), and how the front is elevated to the back. I've included the Skew Tab from 10-25-2012 (two trading days ago), below.



We can see how just a few days ago that calendar diff was nearly non-existent. I do note that the parabolic skew shape is consistent, however. In English, over the last few days the risk reflected in the near-term options in NFLX has increased substantially to the intermediate-term options.  Hurricane related...? I dunno...

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see a lazy last six months, but for anyone that follows this stock we well know how much of a drop this stock has seen in recent years. The price crossed over $300 intra-day in summer of 2011. The 52 wk range in stock price is [$52.81, $131.88].

On the vol side we can actually see how the implied lags both the short-term and long-term historical realized vols as of right now. The 52 wk range in IV30™ is [45.29%, 131.88%], putting the current level in just the 21st percentile.

Finally, let's look to the Options Tab (below).



Across the top we can see that Nov monthly vol is price to 67.41% while Dec is priced to 58.84%. I do note how low the implied is relative to its own annual history yet the vol diff now exists between the font two months.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 10-31-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Friday, October 26, 2012

Post Market Report: 10-26-12

To get an e-mail alert when a new post-market report is posted please send an e-mail to support (support (at) livevol.com) with "Post-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 10-26-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Thursday, October 25, 2012

Post Market Report: 10-25-12

To get an e-mail alert when a new post-market report is posted please send an e-mail to support (support (at) livevol.com) with "Post-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html




ValueClick (VCLK) - Put Buyer in Jan Doubles Entire Exisiting OI on Huge Bet; Earnings Out in Less than a Week


VCLK is trading $16.51, down small with IV30™ up 7.8%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

ValueClick, Inc. (ValueClick) is a digital marketing services company. ValueClick offers a range of products and services that enable marketers to engage with the customers online and through mobile devices.

This is an order flow note in a sock that has earnings due out in less than a week. The company has traded just over 8,000 contracts on total daily average option volume of only 343. Puts have traded on a nearly 22:1 ratio to calls, with the action in the Jan'13 15 puts. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the puts are mostly opening (compare OI to trade size). When looking down the entire option chain for VCLK, I don't see any OI in four digits. In fact, the total OI as of right ow (from the Stats Tab, above) is just 6,264. The volume in the Jan'13 15 puts is almost that size in and of itself already. Add those Jan'13 16 puts traded today, and we're nearly at 6,000 potentially opening positions. From what I can tell, the Jan'13 15 and 16 puts look like purchases today. In fact, I couldn't really be more sure about the Jan'13 16 puts being purchases unless I was speaking to the accommodating broker (or trader).




Stock volume on the day is roughly 50% of the average, so it feels like a slow day in the equity market for VCLK -- certainly not an over hedge or synthetic call (from puts) day. In English, I think someone(s) is buying puts naked -- whether they have existing stock positions, I dunno. The rising vol in Jan'13 (which is not necessarily due to earnings) is the circumstantial evidence that the flow today is long in Jan.

The Skew Tab snap (below) illustrates the vols by strike by month.



We can see a normal shape across the front three expiries -- rather pretty actually. I do note a slight kink in the Jan'13 expiry ATM -- possibly (if not likely) due to the flow in those puts.

Finally, the Charts Tab (six months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side it's hard to miss the earnings cataclysm in May -- the stock dropped from $21.60 to $16.80 in a day (5-3-2012). Since then, the stock has found a sort of equilibrium -- it was $16.80 on close of that earnings day, and is trading $16.51 as of this writing. The 52 wk range in stock price is [$13.80, $21.86].

On the vol side we can see how the implied is rising into earnings (which is normal), and the IV30™ has just now breached the HV20™ and HV180™. In English, the short-term implied vol has just now risen above both the short- and long-term historical realized vols. The 52 wk range in IV30™ is [25.54%, 64.73%], putting the current level in the 56th percentile. That feels a bit low... we're heading into earnings in six days (or whatever) while two earnings reports ago the stock collapsed, and now there's a vega buyer for size (equal to the total current existing OI) in Jan'13 -- on the put side. Hmmm...

An interesting position to examine in Jan'13 would be to own vega delta neutral, where the vol crush should be (will be?) less than in Nov after the earnings announcement -- so it sides with the flow, but protects (somewhat) against a massive vol crush.  I do note that the vol in Jan'13 as of this writing is just 41.51% which is very "middle of  the road" relative to the IV30™ history (annual).  Ya know... or no...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 10-25-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Wednesday, October 24, 2012

Post Market Report: 10-24-12

To get an e-mail alert when a new post-market report is posted please send an e-mail to support (support (at) livevol.com) with "Post-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

High Yield Bonds (HYG) - Massive Downside Positions Accumulate in Low Credit Bond Market; A Bet on an Market Decline by Dec of this Year

HYG is trading $92.80, up 0.2% with IV30™ down 2.3%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

The investment seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the iBoxx $ Liquid High Yield Index.

In English, this is a high yield bond index ETF with low credit quality and medium exposure to interest rate risk according to Morningstar.

The name came up on a high volume scan – and then it got really interesting. It has already traded nearly 500% of its daily average option volume in the first four hours. The Stats Tab and day's biggest trades snapshots are included below.





We can see three things:
1. Over 16,000 contracts have traded on daily average volume of 3,386.
2. Puts have traded on a 108:1 ratio to calls.
3. The largest trade was a put ladder – customer buying the Dec 92 puts and selling the Dec 87 and 88 puts to fund the purchase, paying a net of $0.75, done 5,000x.

In English, someone bought a huge put spread and sold one more round of lower strike puts to help fund the cost of the position. But there is so much more to this…

Let’s turn to the Options Tab, below.



Note the volume today in the green numbers to the right. Then note the open interest (OI) in each of those puts to the right of that. There is a total OI of 28,850 in those three puts alone, accounting for more than 31% of the average open interest in this name.

And… this position has been growing since Oct 1. I have included the options montage as of Oct 1 focused on those puts, below.



Note that the OI at that time for all three lines was in the range of [1748, 2674]. Now we’re looking at ranges between 8,000 and 12,000 with 5,000 more trading today, alone on each line.

The stock volume throughout all of this has remained pretty tame – today for example about 1/3 of the daily average has traded thus far. One might even call it a low stock volume day. These feel like option trades untie to stock.

Let’s turn to the Chars Tab (six months), below. The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the general rise over the last six months, while on the vol side we can see a general decrease. The 52 wk range in price is [$77.44, $93.56], so the ETF is nearing an annual high. The 52 wk range in IV30™ is [5.13%, 19.62%], putting the current IV30™ in just the 15th percentile – nearing an annual low.

So, in English, as the high yield bond market has been rising to near annual highs and the vol has been dropping, someone(s) has been making gigantic bets on a near-term downturn. It’s a limited downside side bet – that is, it’s a put ladder, but nonetheless, these are very large sizes for this name. By tomorrow, the OI in those three strikes alone could account for more than 40% of the total average OI.

In my opinion, this is a bet on a sharp market decline before year end – not just the bond market, but also the stock market, with the high yield (low credit) names leading the way.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 10-24-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Tuesday, October 23, 2012

Post Market Report: 10-23-12

To get an e-mail alert when a new post-market report is posted please send an e-mail to support (support (at) livevol.com) with "Post-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Expedia (EXPE) - Vol Reaches Multi-year Highs After Consecutive Earnings Blow-outs. Earnings Due Out in Two Days -- Vol Shows It.


EXPE is trading $53.60, up 2.4% with IV30™ up 2.1%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Expedia, Inc. (Expedia) is an online travel company. As of December 31, 2011, the Company's portfolio of travel brands featuring supply portfolio, including over 145,000 hotels in 200 countries, 300 airlines, packages, rental cars, cruises, as well as destination services and activities

This is an elevated vol note -- a pretty simple one in the reasoning, a pretty compelling one in the reasoning as well. EXPE has earnings due out 10-25-2012 AMC -- or in English, in two days.

Let's look to the Charts Tab (six months) below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see a huge run up over the last half-year, with the stock rising from $31.39 to now over $53, or more than 70%. Looking carefully at that stock chart we can see two earnings results (the blue "E" icon). On both of those days, the stock gapped up on the news -- i.e. the market liked it a lot. The 52 wk range in EXPE price is [$25.19, $60.29].

On the vol side, it's fascinating to note that on the first earnings blow out on 4-26-2012 (AMC), the implied only rose to 35.34% ahead of the announcement. Then, on the next earnings report, the IV30™ rose to 67.80% just before the announcement. That's nearly a doubling in vol, yet the stock still moved more than the implied. We are now just days away from the next earnings release and the IV30™ is sitting above 70% -- and that is not just an annual high, but a multi-year high. the 52 wk range in IV30™ was [23.31%, 69.55%] -- of course, we're well over that now.

Rater than show the skew, which is gonna look exactly as you would expect, the front is elevated substantially to the back-- let's just turn to the Options Tab.



We can see across the top how the Nov options are priced to 73.79% -- it's odd but the vol might actually drop slightly tomorrow if vega sellers come in at these levels. Of course, the standard expectation would be even higher vol as the earnings date approaches. Note that the ATM strangle (50/55) is priced $5.80 x $6.10, or, in English, a stock price in between [$44, $60] is kind of.... the norm... Hmmm...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.


Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 10-23-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html