Samples
Capital One volatility low into EPS and outlook
Capital One is recently down 5c to $41.08. COF is scheduled to report Q4 EPS on January 21. February option implied volatility is at 45; March is at 43; below its 26-week average of 53, according to Track Data, suggesting decreasing price movement.
Valmont February option prices elevated into EPS
Valmont is recently up 77c to $71.46. VMI, a manufacturer of structures for lighting, wireless and utility markets, is scheduled to report Q4 EPS before the open on February 17. February 70 straddle is priced at $5.25, March 70 straddle is priced at $6.20. March option implied volatility of 40 is near its 26-week average according to Track Data, suggesting larger near term price movement into EPS.
RadioShack volatility flat into EPS and outlook
RadioShack closed at $20.72. RSH is scheduled to report Q4 EPS on February 22. Hudson Square reiterated its Hold rating on RSH. March put option implied volatility is at 52, April and July is at 47; near its 26-week average of 48, according to Track Data, suggesting non-directional price movement.
Ford options active on 302K contracts as shares sell off from five-year high
MSCI Emerging Markets Index January put volatility elevated at 39
MSCI Emerging Markets Index January put volatility elevated at 39
MSCI Emerging Markets Index is recently up 4c to $40.67. EEM December option implied volatility is at 32, January call volatility is at 29, puts at 39; verses its 26-week average of 34, according to Track Data.
CBOE Volatility Index-VIX up 1.24 to 17.56
PowerShares DB Gold Fund volatility flat, ETF near record high on $1140 gold
PowerShares DB Gold Fund volatility flat, ETF near record high on $1140 gold
PowerShares DB Gold Fund closed at $41.55. Gold is recently down 2.46% to $1140.70 according to Bloomberg. DGL over all option implied volatility of 29 is near its 26-week average of 27 according to Track Data, suggesting non-directional price movement.
Four Horseman of Tech option implied volatility
Four Horseman of Tech option implied volatility
Overall option implied volatility; Apple 38, Research in Motion 54, Google-GOOG 26 and Amazon 44 according to Track Data.
Plum Creek Timber February puts active on flat volatility into EPS
Plum Creek Timber is expected to report Q4 EPS following the market close today. PCL February 35 puts have traded 44 times on transaction volume of 2,477 contracts, above its open interest of 1,678 contracts. February option implied volatility is at 36, March is at 32 and May is at 31; verses its 26-week average of 36 according to Track Data, suggesting decreasing price movement.
KB Home volatility suggests less movement after EPS and outlook
KB Home is recently trading up 23c to $16.20. KBH is expected to report Q4 EPS on January 12 before the open. January 16 straddle is priced at $1.05, February is at $2.05. February option implied volatility is at 47; April is at 50; below its 26-week average of 55, according to Track Data, suggesting decreasing price movement after EPS.
ITT Educational Service (ESI) puts active as shares sell off 8%
ITT Educational Service (ESI) is recently down $9.17 to $97.34. February and March option implied volatility is at 43, July is at 42; verses its six-month average of 38. Call option volume of 6,428 contracts compares to put volume of 11,629 contracts according to Track Data, suggesting traders taking positions to hedge gains. Paul Foster
Autodesk April puts active on low volatility
Autodesk is recently up 68c to $26.15. ADSK is presenting at the Needham Growth Conference on January 12th and is scheduled to report Q4 EPS in mid-February. February option implied volatility is at 27, April is at 32; verses its 26-week average of 39. Call option volume of 3,261 contracts compares to put volume of 15,961 contracts according to Track Data. Average daily volume in ADSK is 2,380 contracts according to IVolatility, suggesting traders adjusting positions for downside price movement.
CBOE Volatility Index Futures; August at 25.80, September 28.75, October at 29.85
Arena Pharma-ARNA options active on elevated volatility into committee meeting
CBOE S&P 500 Putwrite Index-PUT down 75c to 953.45
Power-One calls active as shares rally to six year high on outlook
Power-One is recently up $2.32 to $12.29. PWER sees Q3 revenue of $250M-$270M vs. consensus of $199M. Stephens raised its target price to $15 from $10. PWER August option implied volatility is at 73, October is at 71, January is at 70; verses its 26-week average of 77. Call option volume of 4K contracts compares to put volume of 1K contracts according to Track Data, suggesting traders taking positions for price movement.
Research in Motion August volatility at 40, September at 51, December at 46
Research in Motion is recently up 77c to $59.44. BMO reiterated its Outperform rating on RIMM. August put option implied volatility is at 40, September at 51, December is at 46; verses its 26-week average of 43 according to Track Data, suggesting larger September price movement.
Century Aluminum September volatility at 61, December is at 68
Century Aluminum is recently down 64c to $10.46. CENX call option volume of 6K contracts compares to put volume of 1K contracts. CENX August put option implied volatility is at 58, September is at 61, December is at 68, verses its 26-week average of 67 according to Track Data, suggesting decreasing near term price movement.
Motorola (MOT) Jan volatility at 56, March at 55, June at 54
Motorola (MOT) Jan volatility at 56, March at 55, June at 54
Motorola (MOT) closed at $8.58. On December 18, Reuters reported that several private equity firms had submitted bids for Motorola's set-top box unit. MOT January option implied volatility is at 56, March is at 55, June is at 54; verses its six-month average of 54 according to Track Data, suggesting non-directional price movement. Paul Foster
Pre-open
Globex S&P futures are recently up 6.00 from previous day's SPX cash close. Nikkei 225 down .02%. DAX 30 up 0.86%. WTI Crude oil is recently at $69.53, copper is down 0.10%, and gold is at $1148.30 an ounce. In international news: Abu Dhabi provided $10B to help Dubai World meet its maturing bond obligations and to pay Dubai World's contractors.
CBOE Volatility Index-VIX at 21.59; 10-day moving average is 22.36
SPDR Gold Trust-GLD overall implied volatility at 28; 26-week average is 24
NASDAQ 100-QQQQ overall implied volatility at 22; 26-week average is 26
Semiconductor Holders Trust-SMH overall volatility at 28; 26-week average is 31
Russell 2000-IWM overall implied volatility at 26; 26-week average is 31
Financial Select Sector-XLF overall volatility at 31; 26-week average is 36
ISE Sentiment Index-ISEE closed at 154 on 12/11/09. ISEE 10-day moving average is 127
December front month equity options today December 18
Active equity option families in first 10-minutes of trading according to Track Data are: BAC JPM RIMM C
TD AmeriTrade volatility of 37 near ten-month high
TD AmeriTrade (AMTD) is recently down 10c to $17.67. AMTD overall option implied volatility of 37 is above its six-month average of 31 according to Track Data, suggesting larger price movement. Paul Foster
Annaly Mortgage puts active on convertible note pricing
Annaly Mortgage Mgmt is recently down 58c to $17.30. NLY priced a $500M five-year convertible senior note with a 4.0% coupon and a 20% conversion premium. Call option volume of 16,607 contracts compares to put volume of 26,569 contracts. Average daily volume is 17K contracts according to IVolatility. February put option implied volatility is at 23, March and April puts are at 24; near its 26-week average of 26, according to Track Data, suggesting non-directional price movement.
Proshares UltraShort Barc 20 Year Treasury ETF volatility low into rate increase
Proshares UltraShort Barc 20 Year Treasury ETF closed at $50.01. The Federal Reserve Board raised the rate charged to banks for direct loans by a quarter of a point to .75%. TBT March call option implied volatility is at 21, puts at 23; June is at 23, puts at 26; September calls are at 23, puts at 28, below its 26-week average of 32, according to Track Data, suggesting decreasing price movement.
SPDR Gold Trust (GLD) volatility flat; gold up 1.60%
SPDR Gold Trust (GLD) is recently down 49c to $104.19 in pre-open trading. Gold is recently up 1.60% to $1069.60. February put option implied volatility is at 25, March puts are at 26; verses its six-month average of 24 according to Track Data, suggesting non-directional price movement. Paul Foster
Micron Tech April volatility at 56; below a level of 116 from a year ago into EPS
Micron is recently down 33c to $10.60. Micron is scheduled to report Q2 EPS today after the market close. Call option volume of 50,935 contracts compares to put volume of 22,763 contracts. April put option implied volatility is at 56, May is at 53, October is at 54; verses its 26-week average of 55, according to Track Data, indicating non-directional price movement.
Harley-Davidson calls active as shares rally to 18-month high
Harley-Davidson is recently up 58c to $27.02. HOG is expected to report Q1 EPS on April 20. April put option implied volatility is at 37, May is at 40; verses its 26-week average of 42. Call option volume of 25,943 contracts compares to put volume of 7,584 contracts according to Track Data, suggesting traders taking positions for price movement.
National Bank of Greece volatility elevated on debt, economic and civil unrest
National Bank of Greece S.A. closed at $2.84. Greece ASE Index is down 2.23%. NBG overall option implied volatility of 126 is above its eleven-week average of 95 according to Track Data, suggesting larger price movement.
PowerShares DB Agriculture Fund (DBA) volatility low at 19
PowerShares DB Agriculture Fund (DBA) is a rules-based index composed of futures contracts on some of the most liquid and widely traded agricultural commodities – corn, wheat, soy beans and sugar. DBA closed at $24.04. DBA over all option implied volatility of 19 is below its six-month average of 42, according to Track Data, suggesting decreasing price movement. Paul Foster
Call strikes with large percentage moves: APC JEC RIG
Anadarko Petroleum (APC) June 50 call volatility decreased 7%. Jacobs Engineering (JEC) June 40 call volatility decreased 12%. Transocean (RIG) June 50 call volatility decreased 9% according to IVolatility's RT Options Scanner.
Three stocks with implied volatility above 30-day mean;
Three stocks with implied volatility above 30-day mean; Intermune (ITMN), Tivo (TIVO), Symantec (SYMC) according to IVolatility.
