NTAP 5/1/13


NTAP 1.75%: decent buy vs the listed options vs. 36.50: 16.15-116.35

On my offer its 30.5% vol (even taking into account the 20d vwap averaging). I am selling Jun 31 strike for 36% vol and 32 strikes for 34.7% vol as a hedge. At 1.75 points of premium and 4vols lower implied than listed, the NTAP converts are attractive cheap put to have despite the disappointing non-event last earnings. Next earnings will fall during the averaging so should get some benefit from that also (so converts shouldn’t be as high as Jun expiry but still relatively cheap – even if one compares to May expiry which completely misses the earnings.


NTAP listed vols were 0.9% and 0.6% in the May and June expiries yesterday but did not see the follow through in the converts. The converts imply 31% on the offer incorporating the 20d vwap averaging (vs listed of 34-34.5 for that strike)

NTAP 1.75% v 35.51: 113.6-113.85

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