Trade Construction

KLA Corp [KLAC]

KLA Corp [KLAC] — Trade Construction

As of 2026-07-29 · framework v1.5.1 · spot $170.26

Vehicle: EQUITY (ladder step 1 — default, no argument required)

criteria.md requires four disclosures on every name whatever the vehicle.

1. Chosen vehicle and ladder position. Equity. Step 1. No step above equity is argued, therefore the vehicle is equity.

2. Implied volatility minus trailing realised volatility — measured.


Trailing 252-day realised volatility	59.7%
Implied volatility, ~11-month ATM call (17-Jun-2027)	78.4%
IV − RV	+18.6pp

Source: Alpaca daily adjusted closes (252 sessions to 2026-07-29) and the v1beta1/options/snapshots Greeks/IV feed on the 17-Jun-2027 chain.

3. Quoted size at the specific strike (not chain-level open interest):

Contract	Bid × size	Ask × size	IV	Delta
`KLAC270617C00170000`	$44.89 × 59	$59.51 × 23	78.4%	0.666
`KLAC270617C00168000`	$44.96 × 46	$59.16 × 46	76.9%	0.670
`KLAC270617C00172000`	$43.77 × 19	$57.24 × 265	76.8%	0.658

The quote at the strike is the disqualifier, independent of the vol premium. The ATM $170 strike is quoted $44.89 / $59.51 — a 28% spread on the mid, 59 up / 23 down. Paying half the spread costs ~14% of premium on entry. This is the "chain depth is not strike depth" failure mode; the chain looks fine and the strike does not.

4. Argument for a step above equity: NONE MADE, therefore equity. A LEAP would pay 18.6 points of implied-over-realised premium for one to two years running, on a name whose own valuation section concludes the multiple — not the earnings — is the problem. Convexity is worth paying for when the payoff is a re-rating; here the analysis says the re-rating risk is to the downside. Note also the quoted spread above: the bid/ask at the strike is wide enough that a round trip costs a material fraction of the premium before any thesis plays out.

Position and sizing

The memo issues no position verdict — portfolio-book decides whether and how much. What the memo supplies as sizing inputs:

Valuation Criteria: FAIL at -22.2pp. On a long-only absolute-return book this is a BINDING failure.
Evidence grade B → per rule 5, uncertainty reduces position size, never the operating assumption.
Realised volatility 59.7% → inverse-volatility sizing scales this down hard; the whole cluster sits at 58–61% realised vol, so any WFE exposure is small by construction.
Correlation warning for the book: KLAC, LRCX and AMAT are one bet, not three. They share the WFE end-market, the memory-capex driver, the China policy risk, and — as §2 of the valuation shows — a common 39.5–40.9x EV/EBIT multiple with no dispersion. Treat the cluster as a single exposure line, and note it also correlates with the existing MU and SNDK work in this book.

Entry / exit, if the book ever wants the exposure

Entry: would require the multiple back inside the own-history interquartile range (p25–p75 = 13.1x–27.4x TTM P/E, versus 46.0x today), or evidence that backlog coverage has turned up.
Invalidation: RPO at the FY2026 10-K (due ~August 2026) falling below ~$7.0bn would confirm the run-off; rising back above ~$9.5bn would refute the pull-forward thesis and is the single datum that would most change this analysis.
Thesis horizon: the implied-path test is 5-year; the 12-month target is a separate instrument. Any vehicle shorter than 5 years would need a catalyst before expiry — which is a second reason the vehicle is equity.

Generated from each name's analysis.json. Figures are research output, not investment advice. Gaps are shown as “—” rather than filled: a missing input is recorded as indeterminate, never estimated.