Facebook Flow Recap and Prelisting Survey Results
Facebook Flow Recap and Prelisting Survey Results
Yesterday was the day option traders finally got a chance to jump into the ëlargest IPO in history,í with eight exchanges listing Facebook contracts (BATS held off for a day), and a very impressive start to trading despite a continued selloff in underlying shares. Flow data shows a generally bearish directional bias and a healthy mix of institutional and retail at work, ranging from 1lots to a 3000 lot put spread trading for total premium of $800,000. On the day, our data shows exactly 364794 contracts traded with puts making up 55% of the flow.
The pre-listing survey we posted last week (on our Facebook page among other places) saw enthusiastic responses from both retail and institutional traders, and overall the indications look surprisingly on-point.
Removing a few out-of-the ballpark outliers, the average expected call volume was 176K and expected put volume 207K- thatís within 5% of the total traded yesterday.
In terms of expectations of implied volatility, we saw a wide range of replies with a few observers looking for very high or very low vols, but most of the respondents expecting ATMIV to open in the 30-40% range. This turned out to be low, as FB started the day near 66% ATMIV and never dipped below 60% as far as I could tell. Not surprisingly, the vols stay high through August earnings (and lockup expiration), and slowly tail off to the high 40% range in the longest maturity Jan 2014 leaps.
When asked where FB would close, they average response was $31.94, but the longer-term view appears a bit rosier, with the reported expected level for FB stock in a year to be $43.60.
Congratulations to the winner of the ëclosest to the volumeí contest. He requested we not print his name, but his guess of 355,184 was most accurate, and we certainly hope he made a few trades that went his way as well.
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