Call it nostalgia, but BRCM is a stock I continue to follow all these years after I was a market maker in the name on the floor of the Amex, when the semi stocks were the crowds to be in. With earnings after the bell, I wanted to take a quick look at the options into the print. To start lets look at the chart of the 30 day implied vol vs 60 day iv and the 30 day realized vol:
What caught my eye was the spread between IV30 (red line), and IV60 (yellow line). IV30 is on the low side, but in range of the 4 previous earnings, but IV60 hasn’t followed as closely as in the previous earning preambles. There is a similar spread in the July earnings, but due to a rapid last-minute peak in the IV30. Taking a look at the skew there is a 9.5 implied vol skew between the Feb 34 line in red at almost 39 vol and the Mar 34 line in yellow at 29.5.
For BRCM, there has been a lot of option activity today with over 66K options trading at the time of the writing, versus an average daily almost 19K. The most trading seems to be on the Feb 32 puts and 35 calls. Looking at the time and sales, there may have been a significant seller of the strangle. With not too much in the Twittersphere or media about BRCM right now and with stock trading near its 50 and 200 day moving average, time spreads look like an interesting potential earnings play. March vol is already near the low for the year, and one might expect, barring unexpected news, for Feb vol to come in 4-5 points. This “look” is not considering any of the fundamentals of the stock, just looking at how implied vol is setting up.