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Micron and SanDisk Fell 30%. The Options Skew Says How to Trade It.

NowPress play to follow along0:00 / 8:39
Chapters8 segments · tap to seek
ticker lesson

Breakdown

0:00SMH· ticker

SMH — broad exposure to semis, 75-100 implied volatility

  • Memory stocks down 30% from highs
  • SMH holds SanDisk, Micron
  • Implied volatility 75-100 points
  • Realized volatility 660-560
2:04Micron· ticker

Micron — 100% implied volatility, $800 product

  • Implied volatility 96-100%
  • Options require large accounts
  • Call skew at 1040 strike
  • 100-point out-of-the-money skew
4:08SanDisk· ticker

SanDisk — $1,400 product, 100% implied volatility

  • Implied volatility 137%
  • Call skew at 1,800 strike
  • 500-point expected move
  • 100-point out-of-the-money skew
6:10lesson

Options strategies: SMH vs single-name stocks

  • SMH offers lower volatility
  • Calendar/spreads preferred for single names
  • SMH reduces buying power needs
  • Broad exposure at lower cost
8:00SMH· ticker

SMH — flat skew, 65-point out-of-the-money

  • No put/call skew at 65-point strikes
  • Neutral curve after 2-week move
  • Realized volatility 60-point swings
  • Flat distribution at 500/630 strikes
8:01Micron· ticker

Micron — call skew at 640/1040 strikes

  • Call skew 200-point out-of-the-money
  • 1040 call trades $2,500 more than 640
  • 100-point out-of-the-money skew
  • 940 call trades more than 740
8:02lesson

Skew exploitation: cost basis reduction

  • Sell skewed options for cost basis
  • Call diagonal spreads reduce debit
  • SMH has no skew for bearish trades
  • Single names have call skew for bullish trades
8:03SMH· ticker

SMH — downside cost basis, lower volatility

  • No skew for bearish trades
  • Lower implied volatility than single names
  • Stability vs single-name volatility
  • 400-point out-of-the-money calls

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