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> option premium, volume and equity price before and after the halt.
>Where are you Gitanshu?
I'm still standing (lame attempt at Elton John song removal from my
brain's plug-in)
Though the eod charts don't show much of a blip, it was pandemonium
as usually happens in such cases. If memory serves, there were an
unusual amount of big blocks traded on CBOE just before the news was
out, and the stock simultaneously traded huge volume just before the
halt - the block trading in options and in stock was rather
simultaneous and appeared premeditated - not many market makers were
able to capture anything off of that pre-announcement paper, though.
So it would seem that this person(s) had good game.
After the halt, the implieds started coming in - a process that
accelerated the next day.
On the stock a bulk of the block trading happened in the 72.60-72.75
region after the announcement though stock and option quotes were
often behind on most systems.
I was surprised volume didn't cross 100mm even though time ran out.
The halt was rather lengthy for a stock like MSFT in my opinion,
almost as if the market makers called their personal lawyers to
explain chapter and verse of the ruling before re-opening trade.
Typically this sort of IV explosion signifies impending sideways
action which takes on the shape of churn (heavy volume with no price
progress), which is what happened as the pros duked it out the next
day. Too soon to call expiration related pinning, though.
EOD IV chart from ivolatility.com is viewable here:
http://www.ivolatility.com/options.asp?
ticker=MSFT&period=3&chart=2&vct=3
I don't have the capability of sending intraday iv charts.
Gitanshu
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