optionvol-NBC-Bay-Area

--- OVERVIEW ---
SMG is trading $38.76, down 10% with IV30™ up 24.6% as of ~10:30am EST. The LIVEVOL® Pro Summary is below.



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The Scotts Miracle-Gro Company, (Scotts Miracle-Gro), along with its subsidiaries, is engaged in the manufacturing, marketing and sale of lawn and garden care products, with products for professional horticulture as well. It operates in three segments: Global Consumer, Global Professional and Scotts LawnService.

Let’s start with the news that drove the stock down and vol up on open this morning with an eye on bad news that was released just a month ago that seems to fly in the face of this report. More on the older news later in the article.

---
Scotts Miracle-Gro Co. said it likely will not meet its expected sales growth target this year as demand for its lawn and garden care products has slowed following a fast start to the lawn care season.

The Marysville-based company has boosted sales by 3 percent at its “largest retail partners” through the first half of the year, short of the 6 percent to 8 percent increase it had expected this year. Scotts (NYSE:SMG) does not expect to meet its adjusted earnings per share target of $2.65 to $2.85 for 2012.

Scotts got out to a fast start during the second quarter, but “the gardening season, which traditionally peaks in mid- to late-May, has not met expectations,” the company said.

[…]

Scotts also expects its business in Europe to fall short amid economic uncertainty and poor weather.

Source: Columbus Business First via Yahoo! Finance; Scotts Miracle-Gro expects to fall short of 2012 sales goals, written by Rick Rouan
---

--- ANALYSIS ---
So there we have it – a missed sales number (there's a lot more to that, which we'll discuss in a sec). The move drew my attention to the vol. Note that this is “just” a 35% vol name, even with the big rise today. Let’s turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side, we can see the gap down today on the news. The 52 wk range for SMG is [$38.94, $55.57], so the price levels the stock has hit today are in fact new annual lows. In fact, when looking back two years, the levels today are also two year lows.

It’s important to note the gap down that occurred on 5-8-2012, when the stock dropped off of earnings from $55 to $46.14, or 16% in one day. Here’s a news snippet from that day.

---
(Reuters) - Lawn and garden products maker Scotts Miracle-Gro Co (SMG.N) said it may miss its gross margin forecast for the year because of rising material and distribution costs and higher spending on promotions, sending its shares skidding as much as 16 percent.

The warning overshadowed stronger-than-expected second-quarter earnings.

[…]

Excluding items, the company earned $2.15 per share.

Analysts on average had expected earnings of $2.06 per share on revenue of $1.20 billion, according to Thomson Reuters I/B/E/S.

[…]
The Marysville, Ohio-based company reiterated its sales and profit outlook for the year.

Source: Reuters via Yahoo! Finance; Scotts Miracle-Gro warns on margins, shares fall
---

The disturbing part here is that the firm re-iterated the sales forecast for the year, and a month later this happened (they guided down). That’s an ugly black eye for management. In fact, it’s almost incomprehensible.

On 5-8-2012 we read: “The Marysville, Ohio-based company reiterated its sales and profit outlook for the year.” But today we read: “Scotts Miracle-Gro Co. said it likely will not meet its expected sales growth target this year.”

For the SMG shareholders, this should not sit well… very not well.

On the vol side, we can see the rise today. The chart is a little deceiving due to the scale. I’ve included the vol chart alone, below – just IV30™ over the last six months.



It’s easier to see the rise today in that chart, as well as the level of the implied after the earnings result. While the level today is a six month high, the 52 wk range in IV30™ is [18.31%, 48.67%], putting today’s level in the 57th percentile (annual). That feels low given the news today and a month ago, no?

Let’s turn to the Skew Tab to examine the month-to-month and line-by-line vols.



Two things I notice here:

1. The front is obviously super elevated to the back. That makes sense given that we’re 2.5 trading days away from expiry.

2. Jul and Sep lie on top of each other –or in English, the vol levels for Jul and Sep are about the same. The next earnings release for SMG should be in August (so inside Sep but outside Jul). Said differently, the option market reflects as much risk in the Jul options as there are in the Sep options with another earnings release. That sounds about right given the news today and the double-take the firm took on the sales projections.

Finally, let’s turn to the Options Tab, for completeness.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. Across the top we can see the vols by expiry, namely 58.08%, 35.44% and 36.34%, respectively for Jun, Jul and Sep.


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--- DISCLAIMER --
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--- OVERVIEW ---
NAV is trading $25.84, down 10.1% with IV30™ up 17.5%. The LIVEVOL® Pro Summary is below.



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Navistar International Corporation (NIC) is a holding company, whose principal operating subsidiaries are Navistar, Inc. and Navistar Financial Corporation (NFC). The Company is a manufacturer of International brand commercial and military trucks, IC Bus (IC) brand buses, MaxxForce brand diesel engines, Workhorse Custom Chassis (WCC) brand chassis for motor homes and step vans, and Monaco RV (Monaco) recreational vehicles (RV), as well as a provider of service parts for all makes of trucks and trailers.

This is a vol note on a company with some valuation changing news of late with front month vol that is truly extraordinary for the company.  Further, a research note has come out stating that even given the recent news, the company is worth 200%-300% of its current value in a takeover. Let's start with the news, and then move onto the vols and stock n' stuff n' stuff. First, on 6-7-2012, the stock dropped from $28.15 to $24.11 off of an earnings report. But, the stock actually recovered nicely intraday after it reached its low of $20.11. Here's the news snippet summarizing the earnings results (and stock move):

---

What: Shares of U.S. truck and engine manufacturer Navistar (NYSE: NAV) are backfiring badly today, with shares down as much as 28% after the company reported a worse-than-expected second-quarter loss.

So what: Today's loss doesn't come as a surprise, as Navistar had cautioned that warranty repairs to engines built in 2010 and 2011 would eat into its bottom line. Unfortunately, the claim the company had made that warranty claims had peaked in March turned out to be false and Navistar reported a loss of $2.50 per share, reversing a $0.93 profit one year ago. Navistar is also waiting for the Environmental Protection Agency to finish its review process of nitrogen oxide emissions in its newer heavy-duty truck engines with no timetable on when that will be completed. Add all of this together and Navistar forecast full-year EPS of breakeven to $2 versus its initial forecast of $5.00 to $5.75 and Wall Street's expectation of $3.73.

Source: The Motely Fool via Yahoo! Finance; Why Navistar Shares Imploded, written by Sean Williams.

---

The stock has rallied all the way back above that pre-earnings price, closing at $28.74, yesterday. But, note the last part of that Motley Fool article, " Navistar is also waiting for the Environmental Protection Agency to finish its review process of nitrogen oxide emissions in its newer heavy-duty truck engines with no timetable on when that will be completed." Well, it turns out the timetable was today. Here's that news.

---
6-12-2012: Navistar: Believe that NAV's shares are worth $50-75 per share, if considered as a strategic acquisition - Barrington Research (25.67 -3.12) -Update

Barrington Research says their investment thesis is unchanged following the Q2/12 earnings release and today's negative U.S. Court of Appeals ruling regarding the EPA's interim ruling that allowed NAV to pay NCPs ( http://www.nasdaq.com/article/us-court-tosses-epa-diesel-engine-rule-that-helped-navistar-20120612-00942). Firm says NAV's low valuation and prospects as an acquisition target should support the stock at the current levels. They believe that the EPA final ruling will allow NAV to continue paying NCPs and that the 13L 2010 EPA certification should happen soon. Whatever the time frame, they know that the EPA overhang will continue to impact 2012 profitability and market share, creating uncertainty about NAV's chances for long-term success. Firm says potential synergistic truck buyers like VW or Fiat might go for a takeover to gain a larger share in the North American truck market.

Provided by Briefing.com (www.briefing.com)
---

--- ANALYSIS ---
The stock is off more than 10% again, after rallying all the way back from the earnings report. Let's take a look at the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the drop off of earnings and that very low candlestick reflecting the $20.11 price (intra-day low). We can also see the abrupt recovery back above the earnings price, and yet again, a large drop off of today's news.

On the vol side, we can see how vol actually increased off of the earnings report. That vol rise has continued and is now highly irregular for NAV given it's recent (two year) past. On 6-6-12, NAV IV30™ was trading at 57.36%. Today it's up to 83.78%, or a 46% increase in just six calendar days. To give the current level some perspective, the 52 wk range in IV30™ for NAV is [29.97%, 75.53%], so it's well into a new annual high today. Looking back even further, the 104 wk range (2 year) for IV30™ is [27.51%, 75.53%]. In English, the implied is now trading more than 10% higher than the two-year high. That's a lot of vol...

Let's turn to the Skew Tab to examine the line-by-line and month-to-month vols.



Given how quickly news is coming out in this name, it's no wonder that the front month (3.5 trading days left until expiry) is so elevated to the back months. I do note as well that the skew shape in the front month does not show an upside bend, unlike the recent past. In English, before this second bit of news (but after the earnings report), NAV options reflected greater risk (potential) to the upside than the downside. Today, that has changed.

To read about what options skew is, why it exists and what "normal" is, you can read this post: Understanding Option Skew -- What it is and Why it Exists.

--- SUMMARY --
Finally, let's turn to the Options Tab.



We can see the vols by expiry across the top. Note the enormous number in Jun, which is trading at 130.11%, up 32.7 vol points today, alone. Jul and Oct are priced to 83.78% and 69.94%, respectively, yielding over 45 vol points in the front to second month vol spread, and nearly 14 vol points from Jul to Oct. Keeping in mind the implied vol ranges for NAV over the last couple of years, we can see how much risk is priced into the next few days (Jun vol). It's quite extraordinary...

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--- DISCLAIMER --
This is trade analysis, not a recommendation.

FULL DISCLOSURE: I am short puts in NAV.

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--- OVERVIEW --
ANR is trading $8.49, up small with IV30™ up 0.6% as of ~9:55am EST. The LIVEVOL® Pro Summary is included below.



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Alpha Natural Resources, Inc. (Alpha) is a supplier and exporter of metallurgical coal for use in the steel-making process and a supplier of thermal coal to electric utilities and manufacturing industries across the country. As of December 31, 2011, it operated 145 mines and 35 coal preparation plants in Northern and Central Appalachia and the Powder River Basin.

This is an elevated vol note in a stock that’s nearing an annual low.

--- ANALYSIS --
Let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



There’s a technical description for the stock price movement over the last six months. It’s called “bad” (don’t let the jargon confuse). Six months ago this was a $21.39 stock and twelve months ago this was a $43.78 stock. As of this writing, ANR stock is down more than 60% from six months ago and 80% from twelve months ago. The 52 wk range in ANR is [$8.45, $47.25], so the stock will quite possibly hit a new low today.

On the vol side we can see that even as the stock was trailing downward, by mid-March the implied was actually lower than it was for the prior three months. But as of the end of April, the implied has been rising rather abruptly. On 4-30-2012, ANR IV30™ was 56.58%. As of this writing the implied is up 51% and is now well elevated to both the short-term and long-term historical realized vol levels. Specifically:

IV30™: 85.51%
HV20™: 70.94%
HV180™: 73.89%

The 52 wk range in IV30™ is [39.47%, 109.61%], putting the current level in the 66thpercentile (but at a six month high).

Let’s turn to the Skew Tab to examine the month-to-month and line-by-line vols.



We can see that the Jun options (with just a few days before expiry) are well elevated to the back two months. Given that the stock is making a new low as I’m writing this, that’s a pretty reasonable phenomenon. The upside skew which looks so fantastical in the chart is in fact simply a couple of cab bids in the OTM calls ($0.01 bid).

--- SUMMARY --
Finally, let’s turn to the Options Tab for completeness.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. Just to illustrate how quickly the stock is dipping, I’ve included the Symbol Summary again (at the top of the Options Tab snapshot). Note that the stock is now well into a new low and vol is rising. In fact, just six trading days ago this was a $10.27 stock – oddly, exactly $2 above where it is now.

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--- OVERVIEW --
AET is trading $42.93, down 0.7% with IV30™ up 4.8%.

CI is trading $44.81, down 0.1% with IV30™ up 2.6%.

UNH is trading $57.92, down 0.1% with IV30™ up 7.7%.

WLP is trading $69.10, up small with IV30™ up 8.9%.

The LIVEVOL® Pro Summaries for all four are included below, respectively.









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This a note on the Supreme Court Ruling due out soon on what has been called Obamacare, and some incredible (and recent) vol moves that have been rather "silent." Further, we'll see stocks rising as vol also rises and an industry that shows a vol correlation to the market that's moving lower. Before we get into stock prices and vols, I've inlcuded some fairly long snippets to discuss what Obamacare really is. Please note the source.

---
1. Patients Cannot Be Dropped

The first change that will immediately take place is that health insurance companies will no longer end or refuse to renew coverage unless you have misrepresented yourself or your medical situation, or if fraud has been committed.

Likewise, your coverage cannot be dropped suddenly for reasons you may not be aware of. The health car bill mandates the removal of pre-existing condition clauses from all health insurance plans by 2014

2. Immunization and Preventive Care Must Be Covered

Another change is a section of the bill that requires all health insurance companies and all health insurance plans to cover both immunizations and preventive care.

3. Dependents Can be Covered Until Age 26

A third change has to do with dependents. It used to be that unmarried children could be covered under a parent’s health insurance plan until the age of 23.

4. Everyone is Required to Pay for Health Insurance?

The last notable change that goes into affect immediately has to do with limits. Health insurance companies can no longer put an annual or lifetime limit on a health care plan that is not reasonable. A limit is an amount of money predetermined by the insurance company.

Once an individual reaches this limit, they have to pay all other medical expenses out of pocket. This practice was put into place by insurance companies due to the rise of cancer. What is considered reasonable will be based on income, family size, and past usage of medical benefits.

What changes will occur in the long run?

There are many more changes that will go into affect over the next 5 years due to Obama Care. The most significant change for the average American is the removal of pre-existing conditions. For years, pre-existing conditions have caused millions of Americans to be without adequate coverage for diseases. Obama Care requires the removal of pre-existing clauses from all health insurance plans by 2014.

Another significant change is that Americans who do not obtain minimal health insurance coverage by the year 2014 will have to pay a penalty of $95. This penalty will rise every few years.

Source: InsuranceProviders.com; What is Obama Care?
---

The Supreme Court now has to rule on the constitutionality of the law. There is a question as to whether or not the entire bill will be thrown out if there is in fact a ruling against it. In other words, there seem to be three potential outcomes: (1) Entire law goes into effect (2) Entire law does not go into effect (3) A part of the law goes into effect.

To make the issue more complicated, there are several different types of insurance providers. This note will focus on the "Managed Care Providers." And, what is "managed care?" I've pasted wikipedia's definition, below:

---
The term managed care or managed health care is used in the United States to describe a variety of techniques intended to reduce the cost of providing health benefits and improve the quality of care ("managed care techniques") for organizations that use those techniques or provide them as services to other organizations ("managed care organization" or "MCO"), or to describe systems of financing and delivering health care to enrollees organized around managed care techniques and concepts ("managed care delivery systems"). According to the United States National Library of Medicine, the term "managed care" encompasses programs:

...intended to reduce unnecessary health care costs through a variety of mechanisms, including: economic incentives for physicians and patients to select less costly forms of care; programs for reviewing the medical necessity of specific services; increased beneficiary cost sharing; controls on inpatient admissions and lengths of stay; the establishment of cost-sharing incentives for outpatient surgery; selective contracting with health care providers; and the intensive management of high-cost health care cases. The programs may be provided in a variety of settings, such as Health Maintenance Organizations and Preferred Provider Organizations.[1]

Source: WIKIPEDIA; Managed care
---

And finally, some news today regarding health insurers as the nation awaits the Supreme Court's ruling:

---
NEW YORK (TheStreet) -- Investors will soon realize not all health care stocks are equal as the Supreme Court prepares to decide Obamacare's fate.

The good is for companies like Aetna(AET), Cigna(CI) and Coventry(CVH), which profit across the three major segments of Medicare, Medicaid and commercial health insurance. The bad is for the Medicaid HMOs like Amerigroup(AGP), Molina(MOH) and Centene(CNC).

"The companies that would be worst affected if the law were thrown out entirely ... you'd expect probably the Medicaid players, which would be Molina, Amerigroup, Centene, to fare poorly, given that they were hoping to take advantage of Medicaid expansion, which almost certainly wouldn't be resurrected if the law were thrown out," said Matthew Coffina, senior health care analyst at Morningstar.

Some estimates have found that between 16 million to 20 million new Americans would be eligible to enroll in Medicaid if the Supreme Court upholds Obamacare.

Obamacare as a whole gets thrown out, Medicaid HMOs would lose a large revenue opportunity they had expected to begin in 2014.

Medicaid enrollment would rise in 2014 because the law stipulated a shift in income eligibility; simply, the government would extend its low-income health insurance program to earners with a higher annual income than what is currently allowed.

[...]

"So that's not currently in their earnings -- they're not going to benefit today in their actions -- but come 2014 it would be a tailwind to revenue growth and profit," said Chris Rigg, senior health care analyst at Susquehanna Financial Group. "In the investment community there's a discounted value of that future revenue stream in the share prices today, and that discounted value goes away ... if health reform is overturned."

Source: TheStreet.com via Yahoo! Finance; Health Care Poised to Weather Obamacare's Fate, written by Joe Deaux.
---

--- ANALYSIS --
OK, so here's the info needed to understand (a little) what's going on. Let's talk stock and vol and start with the AET Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



I notice two trends worth observing:

1. AET stock has risen recently. On 5-18-2012, the stock closed at $39.23. As of this writing the stock is up exactly $3, or 9.4%. In that same time period, the S&P 500 is up just 2.4%.

2. The implied has been rising abruptly and is now well above both the short-term and long-term historical realized measures. Since that 5-18-2012 date, the IV30™ in AET is up 10.16 vol points or 31.3%. In that same period the IV30™ in the SPY has gone down 17.7%.

I've included the vol charts (six months) for CI, UNH and WLP, respectively, below.







We can see a very similar movement in the implied and for all three (four) of these names, we can see that the implied is well above the historical realized vol measures. In terms of the stock price movements, those also are quite similar. I've included a summary of vol and stock movements for all four companies along with the SPY for comparison purposes.



In English, the vols of these managed care companies have been exploding since 5-1-2012 (and 5-18-2012), while the stock prices have been rising. In that same time period, the vol for the overall market (SPY) is down significantly. This is a wonderful example of two phenomena that make option trading so interesting:

1. When vol rises, it doesn't mean that stock is dropping.
2. When industry specific news overhangs an entire industry, the correlation to the overall market (in terms of vol and / or stock) becomes almost meaningless.

Finally, let's turn to the Skew Tabs for the four managed care companies, below.









--- SUMMARY --
The skews are also quite similar with the second month (Jul) elevated to the third (Sep or Oct). The option market reflects greater risk in the near-term due to the volatility event that is the Supreme Court ruling. Note that the third month in each of these skews is not a ho-hum lazy Summer month. We're talking about Sep and Oct, so the elevated vol is non-trivial. As a relative measure, the SPY shows Jul vol of 19.05% while both Sep and Oct are priced over 21%. Again, the vol correlation in an entire industry (not just a single stock) moves closer to zero as an impactful industry event approaches.

Finally, I've included the first to second month vol diff in percentage (not vol points) terms, below, to identify which of these four companies have option prices that reflect the greatest change in risk from Jun to Jul.



Note that AET shows the highest Jun and Jul vol, reflecting the greatest risk overall of these four companies. Not surprisingly (given the vol), AET has also shown the largest price change since 5-18-2012 and the second largest vol increase since 5-1-2012. Having said that, a holistic view does give off of perspective that these four companies are essentially all in the same boat.

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--- DISCLAIMER --
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--- OVERVIEW ---
CIE is trading $22.57, down 0.7% with IV30™ down 0.4%. The LIVEVOL® Pro Summary is included below.



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Cobalt International Energy, Inc. is an independent, oil-focused exploration and production company with a salt prospect inventory in the deepwater of the United States Gulf of Mexico and offshore Angola and Gabon in West Africa. The Company’s prospects are focuses on oil.

I found this stock using the real-time custom scan that searches for high vols relative to the short-term and long-term historical realized vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20™ LTE 10
HV180™ - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20) and the long term trend in stock movement (HV180). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

--- ANALYSIS ---
The CIE Charts Tab (six months) is included below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see a rather incredible rise over the last half year. In mid/late Dec, this stock was trading below $9.00. As of this writing, the stock is up more than 150% from that level and in mid Feb it was trading more than 275% above that level. I've highlighted the gap up on 2-10-2012 from $23.90 to $31.68 or 33% in a day. The news driving that move is included below:

---
Cobalt International Energy Inc. (NYSE: CIE) stock launched skyward Friday on news that a company offshore well in Angola is expected to produce 20,000 barrels a day, the Motley Fool reports.

The stock price hit a peak of $36.51 per share mid-morning, a gain of more than 50 [percent] from the $23.90 closing price on Feb. 9.

Source: Houston Business Journal via yahoo! Finance; Cobalt International stock soars on well news .
---

Although the stock chart doesn't really show it, there was some intense news (actually, allegations) surrounding this stock. I've included a rather large snippet from Briefing.com that summarizes it well as CIE refuted the attack.

---
54-16-2012: Cobalt International Energy responds to recent Financial Times articles: strongly refutes any allegations of wrong doing (28.38 )

Co, in responding to two articles published by the Financial Times on April 15, 2012, titled "Angola officials held hidden oil stakes" and "Spotlight falls on Cobalt's Angola partner," strongly refuted any allegations of wrong doing and once again stood behind its principles of full compliance with all laws in all jurisdictions in which it operates. Prior to publication of these articles, Cobalt went on the record asking for any documentation that the Financial Times could offer which was at odds with its position. The Financial Times declined Cobalt's repeated requests for supporting documentation. In fact, in the course of these communications, Cobalt informed the Financial Times of certain egregious, demonstrably false allegations that it provided to Cobalt. Cobalt began its investigation into its Angola business relationships in 2007. Cobalt has based its decisions and actions on the results of these extensive investigations and will continue to maintain rigorous due diligence in all of its worldwide activities. Cobalt remains confident that it has not violated any US or Angolan Law and will vigorously defend its reputation and legal rights in this matter.

Provided by Briefing.com (www.briefing.com)
---

That is at the very least, a vigorous refute. In any case, the stock has been drifting lower since the highs in mid-Feb.

On the vol side, we can see that the implied is in fact elevated to the two historical realized vols measures (and thus the scan trigger). Specifically:

IV30™: 97.23%
HV20™: 67.68%
HV180™: 87.65%

Although the 52 wk high in IV30™ is 112.38% (current IV30™ is in the 77th percentile (annual)), the level today is a high since late Dec (so nearly six months). Over the last month the stock has actually been moving with less realized vol -- HV30™ is 59.36%. The observation here is that as the stock has settled a bit and become less volatile in actuality, the implied vol (forward looking) is increasing to new several month highs. Hmm...

Let's turn to the Skew Tab to examine the month-to-month and line-by-line vols.



A couple of things are interesting here. First, we can see a slight elevation of the Jul vol to Oct (note the values on the vertical-axis. The difference isn't really that large). Second, note the upside skew in both the Jun and Jul term structure. The option market reflects greater upside risk (potential) than downside risk in the near-term. Again... Hmm...

--- SUMMARY ---
Finally, let's look to the Options Tab (below).



Across the top we can see the vols by expiry with Jul priced to 97.23% -- about 7 percentage points higher than Oct (90.18%). Looking more carefully to Jul, we can see the ATM vol is priced to 97%, while the highest strike listed calls are priced to ~106%.

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--- DISCLAIMER --
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--- OVERVIEW --
IMAX is trading $19.76, down 0.4% with IV30™ up 0.5%. The LIVEVOL® Pro Summary is below.



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IMAX Corporation, together with its wholly owned subsidiaries, is an entertainment technology companies, specializing in motion picture technologies and presentations. The Company’s principal business is the design and manufacture of premium theater systems (IMAX theater systems) and the sale, lease or contribution to customers under revenue-sharing arrangements of IMAX theater systems.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

--- OVERVIEW --
Let's turn to the Skew Tab to examine the monthly vols.



We can see pretty clearly the vol diff that has opened up between the front month (six trading days left) and the back months. The next earnings release for IMAX should be in late Jul (after Jul expiry). The "event" that's pushing vol in the front is possibly the release of several blockbusters that will be screened on IMAX screens (like MIB3, etc). It is interesting to note the upside skew in the front expiry reflecting greater upside risk (potential) than downside risk in the very near-term.

Some other company specific news surrounds what seems to be some nice expansion abroad. I've included a few snippets from Briefing.com below:
---
6-7-2012: IMAX expands partnership in China with five-theater deal (20.10 +0.15)

Co and Omnijoi Cinema Development, formerly known as Jiangsu Eudemonia Blue Ocean Cinema Development, announced an agreement to install five IMAX theatre systems into new construction projects throughout China. This agreement follows the earlier eight-theatre cooperation and brings Omnijoi Cinemas' total IMAX commitment to 13 theatres, which includes a theatre currently open in the city of Suzhou and another that is slated to open in the city of Nanjing, Zhejiang Province in July. Under terms of the new agreement, Omnijoi Cinemas will install five IMAX theatre systems in the cities of Qingdao, Nantong, Suzhou and other cities, all of which are slated to open in 2014 and 2015.

5-30-2012: IMAX Corp. (IMAX) and Columbia Pictures confirmed Men in Black 3 grossed $12.7 mln at the box office in 474 IMAX theatres worldwide during its 4-day opening weekend beginning May 25.

5-29-2012: IMAX (IMAX) and Cineworld Group, a cinema chain in the UK, announced an expansion of the companies' revenue sharing agreement with the addition of up to five new IMAX theatre systems.

Source: Provided by Briefing.com (www.briefing.com)
---

Let's turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Two interesting phenomena here:

1. On the stock side we can see the recent drop. On 5-1-2012, the stock closed at $25.03. As of this writing the stock is down 21% since that date.

2. On the vol side we can see the rise in IV30™ over that same time frame from 44.74% to 58.03% or a nearly 30% rise. As of right now, the IV30™ is trading above both of the historical realized vol measures, and the front month is trading above all of those measures. Specifically:

IV30™: 58.03%
HV20™: 37.70%
HV180™: 49.81%
Jun IV: 71.56%

In English, the option market reflects elevated forward looking risk in the very near-term (one week), and the next 30 days, relative to the actual realized vol.

--- SUMMARY --
Finally, let's look to the Options Tab (below).



Across the top we can see the monthly vols are 71.56%, 58.03% and 56.32% respectively for Jun, Jul and Sep. Note again how elevated Jun is to the the other two months and that Sep has an earnings cycle (vol event) embedded in it. Another point to note is that movie revenue (called gross) is listed daily, so investors don't have to wait for an earnings report from IMAX to get a feel for what's goin' on.

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--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

--- OVERVIEW --
EW is trading $87.94, up 1.9% with IV30™ up 2.2%. The LIVEVOL® Pro Summary is below.



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Edwards Lifesciences Corporation (Edwards Lifesciences) is engaged in the science of heart valves and hemodynamic monitoring. The products and technologies provided by Edwards Lifesciences to treat advanced cardiovascular disease or critically ill patients are categorized into four main areas: Heart Valve Therapy; Critical Care; Cardiac Surgery Systems, and Vascular.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. But there's a good reason for it, and we'll examine that below. First some details on the custom scan.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

--- ANALYSIS --
Oddly, though I try to remove bio-techs from scans (unless I'm specifically scanning for bio-techs), this one kinda has the bio-tech flavor. Let's look to the Skew Tab (below), and then examine the news.



We can see how elevated the front expiry vol is to the back two months. Obviously there's a vol event expected to occur before next Friday's expiration. Here's a news snippet from Briefing that incorporates both the news and an opinion on direction:

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6-7-2012: Edwards Lifesciences target raised to $103 at Canaccord Genuity (87.79 +1.45)

Canaccord Genuity raises their EW tgt to $103 from $93. They think the two-year Cohort A results of the PARTNER transcatheter heart valve trial convincingly demonstrated that transcatheter aortic valve implantation is non-inferior to surgical aortic valve replacement in high-risk patients with severe symptomatic aortic stenosis. They expect the June 13 FDA Panel to vote in favor of SAPIEN and believe final FDA approval could come by October. If approved, they see upside to 2012 and 2013 revenue expectations and significant EPS upside in 2013 due to high operating margins.

Provided by Briefing.com (www.briefing.com)
---

They key there is the June 13th FDA panel. That's the vol event. So far nothing terribly interesting, but when I looked at the Charts Tab (six months, included below) my attention was grabbed.



On the stock side we can see that the price can gap on known volatility events (read: news). In the recent past that news has been earnings. The stock gapped down on 2-3-2012 (earnings reported 2-2-2012 AMC) from $80.67 to $71.54 (close-to-close) or down 11.3%. A similar move, but in the opposite direction, occurred off of the earnings report on 4-24-2012 AMC. The one day move from the 24th to the 25th was from $73.33 to $81.84 (close-to-close) or up 11.6%.

OK, so what? Well, with expiration fast approaching the IV30™ is vastly weighted to the second month. Just look at that number in the overview section -- 35.94%. That's it? The stock has a recent history of gapping (up and down) on earnings reports and this FDA panel thingy seems like it's similar to an earnings report but with a high likelihood of a definitive(ish) result. So, I think of it as an earnings report where there is a greater than 50% chance of either a big earnings miss or earnings blowout. That's worthy of some vol... Look at Jun -- ATM is ~60% vol which would be an annual high in IV30™.

--- SUMMARY --
Finally, let's look to the Options Tab (below).



Across the top we can see the monthly vols are 57.74%, 34.70% and 34.84% for Jun, Jul and Aug, respectively. The HV180™ is 37.77%. I like to think of that as the long-term actual vol. Given that HV180™ is ~38% and Jun vol is ~60%, isn't it odd that Jul is priced to 34.70%. No? OK, how about this... Aug has an earnings cycle in it as well as this FDA panel thingy and is priced to just 34.84%. I find these vol numbers quite interesting (if not perplexing).

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html