optionvol-NBC-Bay-Area

GME is trading $43.93, up 3.6% with IV30™ up 11.6%. The LIVEVOL® Pro Summary is below.



I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. But there's a lot more going on here than rising vol on the day.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

Let's start with the two-year GME Charts Tab 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 that GME is at or near multi-year highs; we're talking four + years. But this is also a vol story, so let's look to the two-year IV30™ chart in isolation.



Before the pop today, we can see that the implied has been trending down almost unabated. Even with the poo today, the implied is trading in the 23rd percentile on an annual basis. Let's add tot he equation that GME has earnings due out near the end of Aug expiry and we see a stock at multi-year highs with depressed vol and earnings approaching.

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



Across the top we can see the monthly vols are priced to 37.95% for Aug and 40.92% for Sep. That vol diff likely points an earnings release just outside of Aug expiry ad in the early portion of Sep expiry -- but that's just a guess. It will be interesting to see if GME continues its upward march in stock price into the earnings announcement and how the vol moves with the stock. Certainly the expectation is substantially higher vol as earnings approach -- perhaps is the first day of many vol pops... Or not...

This is trade analysis, not a recommendation.

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

AAPL closed Monday trading at $426.31, up 0.3% with IV30™ nearly unchanged. The LIVEVOL® Pro Summary is below.



Apple Inc. (Apple) designs, manufactures and markets mobile communication and media devices, personal computers, and portable digital music players, and sells a variety of related software, services, peripherals, networking solutions, and third-party digital content and applications.

This is an earnings note, or really, a pre-earnings analysis. I have written extensively about AAPL and you can read any of those recent posts below by clicking on the titles:

4-18-2013: Apple (AAPL) - This Just Isn't the Company it Used to Be... And it Never Will Be Again.


1-23-2013: AAPL - "Just the Facts Ma'am" -- Well, that Supports the Opinion: "Everything has Changed. The Old AAPL is No More."


12-10-2012: AAPL - Everything has Changed. The Old AAPL is No More. The New AAPL is a Riskier Entity and the Market Doesn't Know What that Means Yet.


12-5-2012: Apple (AAPL) - Have We Moved into a Totally New Volatility Paradigm for This Company? Has Everything Changed?

The point of all of the stuff above, although I used a great deal of detail, was simply to say that AAPL is a different company than it once was. The price drop and volatility movement show that -- it is tautological.

Now we look at the stock on the day of its earnings release, and we will see yet again, that AAPL is a different company. It is no longer seen as the technology innovator of the world. It is no longer seen as a stock driven by a new product release. It's a $400 billion Goliath, that pays a hefty dividend and just ain't all that sexy anymore -- at least compared to the old days.

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



So, we know the stock story.. It went up a lot, then it went down a lot, then it stopped doing both and has been hangin' near $400 for a while. That quiet period of late is not trivial -- it's actually the meat of the story. But it takes the option market to fill in the rest.

Let's turn to the two-year IV30™ chart in isolation, below.



The blue "E" icons represent earnings dates. I have circled the IV30™ levels for the prior seven earnings cycles and as of the close on Monday. Then I've drawn that horizontal line from the current vol level back in-time so it's easy for us to see how depressed the current vol is all prior seven earnings cycles. In fact, on an annual basis, as of Monday's close, AAPL's IV30™ is in the 38th percentile -- so it's depressed to it's own history over the last year by a fair amount (the 50th percentile would be the median).

So what? It ain't about the iPhone 926 or the iPad 1456 or the iGlases 1 or whatever... This is a stock that pays a 2.8% dividend, has announced a stock buy-back and has and HV30™ of 20.27% and an HV60™ of 22.14%. The HV180™ (which covers 180 trading days or ~9 months) is 33.20%. The stock is less volatile and clearly is using it's cash in ways outside of product development (exclusively). There is no more Steve Jobs, and so there is no more old AAPL. That's not good or bad... It just is.

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



As of Monday's close we can see that the implied move in the options off of earnings is ~$20 or a little under 5%.

This is trade analysis, not a recommendation.

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

SKX is trading $27.02, up 1.1% with IV30™ down 2.2%. The LIVEVOL® Pro Summary is below.



Skechers U.S.A., Inc. (Skechers) designs and markets Skechers-branded lifestyle footwear for men, women and children, and performance footwear for men and women under several lines. In addition to Skechers-branded lines, the Company also offers a branded junior line.

I found this stock using a real-time custom scan I built. This one hunts for calendar spreads between the front two monthly expiries. But the company has earnings due out on 7-24-2013 (in two days), so of course there is a calendar volatility difference. That’s not the issue… It’s level of the vol – how low it is, that is fascinating.

The two-year SKX Charts Tab 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 sort of a sleepy first year (remember that for later), but recently an explosion from $15.32 (11-14-2013) to now $27. That represents more than a 75% rise in eight months.

But this is a vol story – kind of a weird one… So let’s turn to the two-year IV30™ chart in isolation below.



Keep in mind that SKX has earnings due out in two days, so the vol should be elevated. But, in fact the IV30™ is in the 39th percentile on an annual scale. So, in English, the vol is actually depressed. I have highlighted with the little yellow circles the IV30™ at the time of earnings for the last seven cycles. Then I’ve drawn that horizontal line to represent the current level. We can see pretty clearly how depressed this earnings vol is relative the last seven quarters.

Then recall what we noticed about the stock price. This was actually a “sleepy” stock for a lot of that prior time period and only recently has boomed to a 75% rise. So, the stock is moving abruptly higher as the vol has hit an eight quarter earnings low. Hmmm…

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



Across the top we can see that the monthly vols are price to 46.28% for Aug and 38.80% for Sep. Considering the annual high in IV30™ is 68.06%, that Aug number feels low… right?... Or, ya know, not…

This is trade analysis, not a recommendation.

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

SPLK is trading $50.20, up 0.6% with IV30™ down 5.7%. The LIVEVOL® Pro Summary is below.



Splunk Inc. (Splunk) provides a software platform. Splunk’s software collects and indexes data regardless of format or source, and enables users to search, correlate, analyze, monitor and report on this data, all in real time.

I found this stock using a real-time custom scan. This one hunts for depressed vols.  The interesting note here is that SPLK is actually at an all-time low in IV30™ while the stock is near all-time highs.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The two-year (ish) Charts Tab 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 the awesome upward trajectory the price has been on since late last year.  The stock has gone from ~$26 in Nov to now over $50. So we see a nearly 100% return in ~8 months.  We can see that he price is right at an all-time high.

But this is a vol note... So let's look to an IV30™ chart in isolation below over the same time-frame.


While there are ebbs and flows surrounding earnings, ultimately the implied has been drifting lower since the last earnings cycle ad is now at an all-time low.  So, we have a stock at an all-time high in stock price with the vol at an all-time low... Hmm...

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


Across the top we can see the monthly vols are priced to 33.62%, 33.36% and 38.11% for Jul, Aug and Nov, respectively. That Aug vol represents the IV30™ at this point (so close to expiry).

This is trade analysis, not a recommendation.

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

TSLA is trading $112.15, down 11.9% with IV30™ up 6.5%. The LIVEVOL® Pro Summary is below.



Tesla Motors, Inc. (Tesla) designs, develops, manufactures and sells electric vehicles and advanced electric vehicle powertrain components. Tesla owns its sales and service network.

I wrote about TSLA in a three piece series in May. You can read those posts by clicking the titles, below:


5-9-2013: Tesla (TSLA) - Earnings Explosion Spectacle Hides Vol Shift -- This is a New Company -- A Paradigm Shift is Complete

<5-15-2013: b="">Tesla (TSLA) - May Skew Stays Parabolic; Vol Diff Opens... And Some Stuff You May Not Have Known...

5-29-2013: Tesla (TSLA) - This is a New Company; The Paradigm Shift Continues; Part 3 of 3.

Today the stock came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. And yes, I know we are just four days from expiry, bu this is still worth a look...

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.

Looking to the Skew Tab (below), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).



We can see two phenomena here:

(1) Jul vol is above Aug vol for all strikes.
(2) The Jul skew shape is parabolic (which is common going into expiration), so the OTM vols show an exponentially greater volatility difference between Jul and Aug.

The earnings date for TSLA is a it ambiguous. Last year they released on May 9 then Jul 25. This year they released on May 8, so Jul 24 is a reasonable guess for the next earnings report. If that's the case, we not only have a calendar vol diff, but one in which earnings vol can be owned for less than the font month (without earnings). Hmmm...

Now we can turn to the one-year Charts Tab (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 how TSLA's price has rocketed from an annual low of ~$45, to now trading over $110, even with the large decline today. On the vol side, check out that pop in the implied (the red line). A part of that is due to earnings, but the really abrupt nature of it is in part a reflection of today's pop (~10% as I'm writing the article).

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



Across the top we can see Jul vol is priced to 91.76% while Aug is priced to 82.50%.  But, look at some of the OTM spreads and we'll see much greater than that 9 point (ish) vol diff.

For example:
The Jul/Aug 130 call spread shows a vol diff of ~14 vol points and the Jul/Aug 92.5 put spread shows a ~42 point vol diff.

Please understand that these are just observations not trade ideas or recommendations.

This is trade analysis, not a recommendation.

Follow @OphirGottlieb

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

LEAP closed Friday at $7.98, up 2.5% with IV30™ up 1.4%. The LIVEVOL® Pro Summary is below.



Leap Wireless International, Inc. (Leap) is a wireless communications carrier that offers digital wireless services in the United States under the Cricket brand. Leap’s Cricket service offerings provide customers with unlimited wireless services for a flat rate without requiring a fixed-term contract or a credit check

But then this happened:

---
AT&T said it has an agreement to buy Leap Wireless for $15 per share in cash, or just under $1.2 billion.

Before the announcement, shares of Leap closed at $7.98. They have almost doubled in after-hours trading and are now above the purchase price, indicating investors believe another bidder may emerge.

Source: CNBC via Yahoo! Finance AT&T to Buy Leap Wireless for $15 a Share in Cash
---

I actually used to make a market in LEAP options in 2008 and even back then it was a take-over name. Back then it traded over $50...

Anyway, Doris Frankel called me up from Reuters almost immediately after this news hit the wire and asked about some of the order flow today... In my opinion, there is a substantial chance that insider information was leaked and traded on to garner absurd profits (like 7000% in a day). But it was done like a pro...

Here are the facts:

1. Let's turn to the Stats Tab.



a. The firm averages 1,001 calls traded a day over the last three-months and saw 6,789 options trade on Friday.
b. The call to put ratio was nearly 20:1

2. Some highly unusual options were purchased. The Options Tab is included below.



a. Check out those Jul 9 calls. Those are options that expire in a week and have almost no OI. But on Friday, more than 1,300 traded for an average price of ~ $0.10. How fortunate, with the stock trading at $16 after hours, those $0.10 options are now worth at least $7.00 -- or, 7,000% of their purchase price.

b. The Aug 9 calls see similar action, bought for ~$0.40, but with substantial OI.

The interesting thing here is that option orders (the purchases of the OTM Jul and Aug calls) were pretty small. I've included the Jul 9 call action, just looking at orders greater than 25 lots.



Check out how many orders there were. And the sizes range from 27 to 164 lots -- nothing large and obvious. But, here's the trick... Look at the far left hand side. The timing of the purchases -- they all happened within a three-minute window and just 15 minutes before the close. Coincidence? Well, that would be something.  Feels like someone hiding size by breaking it into smaller trades...

Obviously it's possible this was not improprietous behavior... But it ain't looking good...

This is trade analysis, not a recommendation.

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

CNW is trading $41.71, down 0.4% with IV30™ up 12.7%. The LIVEVOL® Pro Summary is below.



Con-way Inc. and its subsidiaries (Con-way) provides transportation, logistics and supply-chain management services for a range of manufacturing, industrial and retail customers.

This is an order flow note surrounding a company with earnings coming up with a stock price trading at multi-year highs. The company has traded 8,511 contracts on total daily average option volume of just 230. Further, all but 146 contracts traded have been puts, for a nearly 60:1 put:call ratio. The action is almost entirely centered around a purchase of the Aug 40/35 put spread -- and Aug expiry has earnings. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the puts on both sides are mostly opening (compare OI to trade size). When looking down the entire option chain for CNW outside of Jul (which expires today), I don't see any OI larger than 459, so both sides of this trade are very large.  This is pretty clearly an earnings bet (or an earnings hedge).



Finally, the two-year Charts Tab is included below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).


We can see the stock completely fell apart two-years ago, dropping from $40.17 to a low of ~$20.50 in about three months.  Just recently the stock has surpassed those levels (note the yellow horizontal line that I drew in to help see that the levels today are in fact above the levels two-years ago).

The next earnings date for CNW is 7-30-2013 AMC.  So, earnings are due out in less than three weeks, the stock is at multi-year highs, the vol is starting to rise and a huge (huge relative to this firm's OI and average option volume) put spread was just purchased.  Interesting...

This is trade analysis, not a recommendation.

Follow @OphirGottlieb

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Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.