optionvol-NBC-Bay-Area

--- OVERVIEW ---
AGO is trading $12.00, down 2.2% with IV30™ up 3.5%. The LIVEVOL® Pro Summary is included below.



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Assured Guaranty Ltd. (AGL) is a Bermuda-based holding company. AGL provides through its subsidiaries, credit protection products to the United States and international public finance, infrastructure and structured finance markets. The securities insured by the Company include taxable and tax-exempt obligations issued by the United Sates state or municipal governmental authorities, utility districts or facilities; notes or bonds issued to finance international infrastructure projects; and asset-backed securities issued by special purpose entities AGL markets its credit protection products directly to issuers and underwriters of public finance, infrastructure and structured finance securities, as well as to investors in such debt obligations.

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 vol.

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 AGO 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 the underlying was trading near $19 in mid-March, and is now down to $12 (down 37%). I've highlighted the one day gap down on 3-21-2012, when the stock closed at $16.30, down from $18.82 the prior day, or 15%. I've include a news snippet from that day, below:

---
What: Shares of bond insurer Assured Guaranty (NYSE: AGO) were getting hammered by the market today, falling as much as 17% in intraday trading after ratings agency Moody's (NYSE: MCO) put Assured's ratings on review for a possible cut.

Now what: Assured didn't take this announcement sitting down. In a press release following Moody's announcement, Assured vigorously defended itself, saying:

Assured Guaranty has not just, as Moody's writes, "survived" the financial crisis but has demonstrated its resiliency, resourcefulness and financial strength. While we have paid nearly $4 billion in claims since the onset of the mortgage crisis to protect investors from losses related to our insured residential mortgage-backed securities ("RMBS"), our claims-paying resources to protect policyholders have grown from $11.2 billion in 2007 to over $12.8 billion today.

Source: The Motley Fool via Yahoo! Finance; Assured Guaranty Shares Got Crushed: What You Need to Know, written by Matt Koppenheffer.
---

There was an interesting note written by MKM Partners on AGO six days after the Moody's warning essentially stating that it was the only of the guarantors to have survived the financial crisis in the sense that it continues to write new business. I found that snippet from Briefing.com (www.briefing.com).

In any case, the stock has continued to fall, even as some research firms have issued buy ratings based on valuation.

On the vol side, we can see that the implied has been rising of late and is well above both the short-term and long-term historical realized vols. Specifically:

IV30™: 58.89%
HV20™: 46.89%
HV180™: 48.87%

However, the implied is still "low" relative to its annual range of [33.64%, 105%], with the current value in the 34th percentile.

Let's turn to the Skew Tab, below.



Focusing on the 12 strike, we can see that vol rises monotonically to the front from the back. It is interesting to note that the vol in the OTM calls in Jul rise more quickly than the Aug OTM calls and that phenomenon has opened up a nice little calendar spread vol diff.

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



Across the top we can see the monthly vols are priced to 59.25%, 57.15% and 53.06%, for Jul, Aug and Oct, respectively. However, looking more directly at the vol diff in the OTM calls between Jul and Aug, we can see, for example, the Jul / Aug 14 call vol diff is ~6 vol points.

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


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--- OVERVIEW ---
JEC is trading $33.80, down 4.5% with IV30™ up 30.8%. The LIVEVOL® Pro Summary is below.



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Jacobs Engineering Group Inc. is a technical professional services firm in the United States. It provides a range of technical, professional, and construction services to industrial, commercial, and governmental clients globally. The Company provides four categories of services: project services; process, scientific and systems consulting services; construction services, and operations and maintenance services.

This is a vol and order flow note with some interesting news. Let's start with the order flow and news and then get into the vol move.

--- ANALYSIS ---
JEC has traded 8,101 contracts on total daily average option volume of just 769 in the first two hours of trading. Of that 8,101, just 153 have been calls, yielding a 52:1 put:call ratio. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the action is in the Jul 33 puts, where over 7,000 contracts have traded on existing OI of just 141 -- this indicates opening orders. From what I see, the order flow is substantially purchases. When looking down the entire option chain for JEC, I don't see any OI larger than 2,305, so the action today is very large for JEC.



The only news I could find surrounds this contaminated US refinery story that I posted on Twitter (@Livevol_Pro). I've included a few snippets and am half-way making the assumption that JEC was involved in the construction in some way.

---
(Reuters) - In the end, all it took was a small chemical spill -- perhaps less than a barrelful -- to bring down the newest, mightiest oil refinery in the United States.

Three weeks ago, while workers repaired a minor leak at the Port Arthur, Texas plant owned by Motiva Enterprises, a few gallons a day of so-called "caustic" was inadvertently seeping into the newly built crude distillation unit (CDU), the 30-story-high network of interconnected cylinders and latticed pipelines at the heart of the refining process.

While harmless when mixed with crude, the undiluted caustic vaporized into an invisible but devastating agent of corrosion as the chamber heated up to 700 degrees Fahrenheit ( 370 Celsius); [...]

Now, just weeks after they commissioned the biggest U.S. refinery project in a decade, two of the world's biggest oil titans -- Royal Dutch Shell and Saudi Aramco, which own Motiva -- are rushing to repair the potentially billion-dollar glitch that has added an embarrassing and costly coda to a landmark $10 billion expansion.

After a five-year effort to double the plant's capacity, making it the largest in the country, they must now reassemble many of the same people and parts for a blitzkrieg fix that may exceed the original $300 million cost of the unit: corrosion experts are flying in from across the world; hundreds of workers are being hired; bespoke 30-inch (75-c m) stain less steel pipelines and 30-story cranes may need to be obtained quickly, according to sources involved in the repairs.

Sources familiar with the effort provided Reuters with the most detailed account yet of what officials believe went wrong at the 325,000-barrels-per-day (bpd) unit known as vacuum pipestill-5 (VPS-5), showing how a series of seemingly minor glitches crippled the vast plant.

Source: Reuters via Yahoo! Finance; RPT-INSIGHT-In hours, caustic vapors wreaked quiet ruin on biggest US refinery, written by Erwin Seba.
---

Again, I'm just guessing that JEC was somehow involved -- I don't actually know.

Let's turn to the Skew Tab (below) to examine the vols by strike by month.



We can see a "normal" skew shape across all three front expiries,and then vol levels are, in large part, very similar. Even with the buying pressure in Jul (the puts), the Aug cycle shows higher vol due to an expected earnings announcement. To learn more about skew, you can check out this post: Understanding Option Skew -- What it is and Why it Exists .

Finally, the Charts Tab (six months) is 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 I've highlighted the most recent three month period, where the stock has dropped from $44.62 (4-27-2012) just before earnings, to now below $34 (or down more than 24%). The 52 wk range in stock price is [$30.74, $48.17].

On the vol side, we can see how the implied had been dipping from early Jun to as low as 25.89% on 6-20-2012. But with the news today, the vol has exploded up more than 30%. The 52 wk range in IV30™ is [24.29%, 62.28%], putting the current level only in the 28th percentile. In English, the risk as reflected by the option vol has been much higher in recent past.

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

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LULU is trading $63.55, down 1.4 with IV30™ up 0.6%. The LIVEVOL® Pro Summary is below.



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I found this stock using a real-time custom scan. This one hunts for low vols.

Custom Scan Details
Stock Price GTE $10
IV30™ GTE 25
IV30™ Percentile LTE 10
IV30™ - HV20™ LTE -10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to the recent stock movement (HV20™) was well as its own history. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and minimum level of vol so the examination is more interesting.

The LULU 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, I have highlighted two gap moves in the last six months. The first occurred on 1-10-2012, when LULU went up from $53.44 to $59.87 in a day. The news surrounding that pop is included below:

---
What: Shares of yoga and fitness apparel designer lululemon athletica were stretching to the sky today, gaining as much as 16% in intraday trading after the company boosted its profit outlook.

So what: What's not to like when a company says that it made more profit than expected? For the fiscal fourth quarter -- which ends Jan. 29 -- Lululemon now expects that it will earn $0.47 to $0.49 per share on revenue of $358 million to $363 million. At the midpoint of the profit range, that is a 17% boost over the company's previous guidance. In its press release, CEO Christine Day noted that holiday sales were strong, but that the snappy sales performance is continuing as the company pushes its spring attire.

Source: The Motley Fool via Yahoo! Finance, lululemon athletica Shares Surged: What You Need to Know, written by Matt Koppenheffer.
---

That was the good news... More recently, on 6-7-2012, LULU released earnings and the reaction was... not so good. The stock dropped from $70.02 to $63.84. Here's a quick snippet from the earnings release:

---
Lululemon Athletica Inc.'s shares fell sharply Thursday, despite a 40 percent jump in first-quarter net income, as the fast-growing athletic clothing company offered a disappointing outlook.

There have been growing worries about a pullback in shopping by wealthy U.S. consumers who can afford $80 yoga pants, for example, underscored by a dim outlook by jewelry seller Tiffany & Co. last month. Lower spending by affluent consumers would hurt Lululemon's business.

The company said profit in the three months through April 29 rose to $46.6 million, or 32 cents per share, from $33.4 million, or 23 cents per share, a year ago.

Analysts polled by FactSet expected, on average, profit of 30 cents per share.

Source: AP via Yahoo! Finance; Lululemon 1Q profit jumps, outlook disappoints
---

So, demand was strong, but the outlook, not so much... On the vol side, we can see that the implied has been dipping since the earnings announcement, and quite substantially so. IV30™ is now depressed relative to both the short-term and long-term historical realized vols measures. The current vol comps are:

IV30™: 37.52%
HV20™: 49.24%
HV180™: 45.38%

Even further, the 52 wk range for IV30͐ is [32.62%, 84.96%], putting the current level in the 9th percentile (annual). For a clearer pictures of LULU IV30™, I've included a one year chart with just the IV30™, below.



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



Note that the front two expiries are weekly options. I do find it a little odd that Aug is elevated to Jul (light blue is above the green). The next earnings release for LULU should be in early Sep -- so outside of the Aug option cycle. I'm guessing there are some sort of inter cycle sales figures released after Jul expiry but inside Aug and thus the elevated vol.

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



Across the top we can see that Jul is priced to 37.52% while Sep is priced to 40.82%. Again, that 38% (ish) vol in Jul is low relative to the last year and to the other historical realized vol measures.

This is trade analysis, not a recommendation.

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CXW is trading $26.88, up small with IV30™ unched. The LIVEVOL® Pro Summary is below.



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Corrections Corporation of America (CCA) is an owner and operator of privatized correctional and detention facilities and prison operators in the United States. As of December 31, 2011, the Company operated 66 correctional and detention facilities, including 46 facilities that it owned, with a total capacity of approximately 91,000 beds in 20 states and the District of Columbia.

This is an elevated vol note in a stock that has been a bit choppy of late. 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 lot going on here. Starting with the stock portion, I’ve highlighted two large moves. The first was on 4-24-2012, when the stock dropped from $30.31 to $27.60. Here’s a news snippet to summarize the catalyst for that move:

---
What: Shares of prison operator Corrections Corporation of America (NYSE: CXW ) fell as much as 11% today after California announced spending cuts.

So what: California announced plans to cut billions of dollars from the prison budget by closing a prison and bringing back inmates housed out of state. Presumably some of the inmates being brought back to California will be taken out of Corrections Corp.'s facilities.

Now what: The effect of the reduction in costs isn't known yet, but any reduction in inmates is bad for Corrections Corp.

Source: The Motley Fool via Yahoo! Finance; Why Corrections Corporation of America's Shares Dropped, written by Travis Hoium.
---

Just about a week later, CXW reported earnings (5-3-2012 BMO). The stock actually closed down less than a dollar from $29.01 to $28.07, but the intra-day move was quite large. That single day’s range was [$27.02, $31.36]. The news surrounding earnings was equally as odd – a lot to chew on for investors. I’ve included a rather large snippet from the Nashville Business Journal, below:

---
Nashville-based Corrections Corp. of America reported $31.7 million in earnings this morning and acknowledged that it is considering a major change to company structure.

The company (NYSE: CXW), which operates prison facilities for federal and state governments across the country, saw earnings in the period ended March 31 drop from $40.3 million a year ago. In a statement, the company attributed the impact earnings — which came amid climbing revenue — to a range of one-time expenses, from the start up of a new facility to debt refinancing.

President and CEO Damon Hininger emphasized the amount of new business coming in the door.

"During the first quarter we were pleased to commence a number of new management contracts, including with the state of Ohio at our newly acquired Lake Erie Correctional Institution, the Commonwealth of Puerto Rico at our Cimarron facility in Oklahoma and with the state of Georgia at our newly constructed Jenkins Correctional Center," he said.

[…]
CCA also said it is "assessing the feasibility" of converting to a real estate investment trust, which would allow it to consolidate and restructure how it handles its various properties. The company said it has been considering the shift since 2011, though shareholder groups recently ramped up pressure on that front.

Source: The Nashville Business Journal via Yahoo! Finance; CCA: $31.7M in earnings, considering REIT conversion, written by Brian Reisinger.
---

Pretty involved stuff there… Looking back to the Charts Tab, we can see some interesting vol phenomena as well. The first two chunks I’ve highlighted (on the left side) illustrate how the implied and the short-term historical realized vols have moved together. The first piece shows a rather quiet period where the stock sat still and the implied did as well. The second chunk illustrates how the implied rose with the stock’s realized volatility. The interesting observation here is that the current implied is not behaving that way.

We can see how the HV20™ dropped in mid-May as those big stock move days rolled off of the twenty day average. However, the implied has remained elevated. The vol comps as of this writing are:

IV30™: 38.88%
HV20™: 23.12%
HV180™: 28.08%

In English, the option market reflects elevated risk relative to the short-term and long-term historical realized movement of the stock.

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



We can see that the ATM vol in Aug is elevated to Jul – this is due to an earnings announcement inside the Aug expiry (but outside Jul). I do note that the OTM puts and OTM calls are priced almost identically (in terms of vol), though.

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 are 38.88% and 42.75% for Jul and Aug, respectively. Ultimately, the news about the prison closings doesn’t seem like good news and it also doesn’t seem like it’s necessarily over. The elevated implied reflects the elevated risk. However, there is also risk associated with earnings, as we saw in the most recent earnings report.

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--- OVERVIEW ---
OSIR is trading $10.96, up 7.2% with IV30™ up 7.3%. The LIVEVOL® Pro Summary is below.



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Osiris Therapeutics, Inc. (Osiris) is a stem cell therapeutic company. It focuses on developing and marketing products to treat serious medical conditions in the inflammatory, autoimmune, orthopedic and cardiovascular areas.

This is a vol note in a bio-tech that has exploded over the last six weeks(ish) from a $4.95 stock, to now just under $11.

--- 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).



On the stock side, we can see first a nice pop in late-May, and then the recent abrupt climb.  The current level is essentially a 2-year high.  I've posted some news snippets from 5-30-2012 and more recently, but suffice it to say, the first pop was on a medicare reimbursement decision, and the second was on a drug ruling in New Zealand.
---
5-30-2012
NEW YORK (AP) -- Shares of Osiris Therapeutics Inc. rose Wednesday after the stem cell product developer said Medicare is assigning reimbursement codes to its Grafix skin therapy.

The Columbia, Md., company said the transitional code will take effect July 1. Medicare plans to create a permanent reimbursement code for Grafix, and if it does so, that code would take effect in January. The code makes easier for physicians who use Grafix on a Medicare patient to get reimbursement from the Medicare program, and that encourages greater use of the product.

Source: AP via Yahoo! Finance, Osiris Therapeutics rises on Medicare decision
---

And then some more recent news...

---
6-14-20012
Osiris Therapeutics, Inc. has received approval for its stem-cell therapy drug in New Zealand, the second country to approve the drug for treatment of a rare disease.

Columbia-based Osiris (NASDAQ: OSIR) said Thursday that the company’s Prochymal drug is expected to be available for commercial sale there later this year.

Canada approved the drug in May, making Osiris the first company to receive approval for a stem-cell therapy.

Source: Baltimore Business Journal via yahoo! Finance; Osiris gets OK from New Zealand for stem-cell therapy ,written by Sarah Gantz.
---

That news flow has pushed OSIR up from a close of $4.71 on 5-7-2012, to now $10.96 -- that's a 133% gain in about six weeks.

On the vol side, we can see how the implied has been rising steadily over the last week (ish). IV30™ has risen from 74.2% on 6-12-2012 to now 98.51% or a 33% increase. The 52 wk range in IV30™ is [55.36%, 92.97%], obviously making today's value a new annual high by a fairly substantial amount. OSIR has been making new annual highs in vol consistently over the last few sessions, but the action today is quite large.

The interesting reality here is that as the news has been coming out, the vol has been increasing. This is unusual in that normally as news comes out, risk (unknown stuff) lessens. The option market clearly reflects heightened risk in this name even after the recent discoveries. How elevated?... The highest it's been in nearly two years.

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



We can see a monotonic increase in vol from the back to the front, while the skew shape is pretty consistent across the term structure. In English, the option market reflects heightened risk in the near-term relative to the mid-term.

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



We can see the monthly vols are priced to 98.51%, 94.13% and 83.43% for Jul, Aug and Nov, respectively. With the risk elevated and the stock surging, the question is... What now?...

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


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--- OVERVIEW ---
CIEN is trading $15.89, up 0.7% with IV30™ unched as of ~10:15am EST. The LIVEVOL® Pro Summary is below.



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Ciena Corporation (Ciena) is a provider of communications networking equipment, software and services that support the transport, switching, aggregation and management of voice, video and data traffic.

This is a vol note in a stock that has been rising of late. Specifically, CIEN has triggered the low vol custom scan. The details of the filters are included below.

Scan Details
Stock Price GTE $10
IV30™ GTE 25
IV30™ Percentile LTE 10
IV30™ - HV20™ LTE -10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to the recent stock movement (HV20™) was well as its own history. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and minimum level of vol so the examination is more interesting.

--- 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).



On the stock side, we can see an impressive move up of late, spurred by an earnings release. On 5-25-2012, CIEN was trading $11.84. As of this writing the stock is up 34% since that date. A chunk of that move occurred on 5-31-2012 after earnings were released BMO. That day the stock rose from $11.88 to $13.55 or 14%. The 52 wk range in stock price for CIEN is [$9.89, $18.79], but that high was hit in Jul of 2011 (so, nearly a year ago).

On the vol side, we can see how much the implied has fallen after earnings. On 5-20-2012, IV30™ was trading at 78.21%. As of this writing the vol is now down more than 40% and is well below both the short-term and long-term historical realized vols. Specifically:

IV30™: 46.51%
HV20™: 65.25%
HV180™: 57.29%

The 52 wk range in IV30™ for CIEN is [40.80%, 101.58%], putting the current level in the 9th percentile (annual).

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



We can see a rather pretty skew shape across both months. The vol levels are so similar due to the fact that there is no known vol event (like earnings) in either of these months. CIEN’s earnings cycles hit in early Sep (so outside of both of these months). I do note the slightly higher vol in the OTM puts for Jul relative to Aug.

--- 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.  Across the top we can see the monthly vols are priced to 46.51%, 48.16% and 55.64% for Jul, Aug and Oct, respectively. Given that the realized movement of the stock is elevated relative to the current implied while the implied is also nearing an annual low and add some uncertainty with the Fed and Europe (‘n stuff), this is a compelling name to analyze.

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