Solectron Message Board - Msg: 13150756

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Technology Stocks : Solectron

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To: options101 who wrote (374)	3/10/2000 8:39:00 AM
From: JH	Read Replies (2) of 493

Thread: options traders out there... Does anyone know why the implied volatilities on SLR are so high relative to the historical volatility? Using the at-the-money strikes, for example: Mar-32-1/2 calls, at $2-3/4 have an IV of 135% Apr-32-1/2 calls, at $4-1/2 have an IV of 95% Contrast this with historical volatilities of 60% for 10 days 66% for 30 days 58% for 100 days Appears to be a good arb opportunity of buying deep-in-the-money calls and shorting the at-the-money or slightly higher strikes... Is this a precusor to a major upside breakout in SLR? It certainly appears to have made a major bottom yesterday with a white hammer candlestick on massive volume, accompanied by a piercing pattern. I plan on taking a substantial position today by simply buying the shares (calls appear to be too expensive) and perhaps even shorting some puts (March 30s have IVs over 100% !!) to embellish the return. The probability of it revisiting the high $20's, even in a major market correction, seems very remote.

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