NAL (New Alliance Bancshares Inc.) was up more than 3.72% on Friday, on no news I could find. The front month option IV went up to the 60’s. and we have a pretty skewed volatility.

I cannot find any information on why the move. Nada. Whatever it is, someone expects it to happen soon, expiration is 14 days away. Looking at the spread, it seems the demand is opening the spread. The only thing I can think of is that institutional investors are showing considerable interest and “staking out positions in a thin stock. Even a small hedge fund buying a couple hundred contracts would have pushed up the IV. But even then, wouldn’t you try to load up on the JUL calls? ( Except even less volume in the July’s )

What ever the reason, the weekend is here and theta will take some value out of the front month, which is good for me. I don’t think there is much I can do, NAL options are thin and I do not think I can unwind my position, I am just going to let them expire.

Blah

~squid

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This entry was posted on Saturday, June 2nd, 2007 at 8:38 am and is filed under Option Trading, Squid Options.