AEGR is trading $36.97, down 1.5% with IV30™ down 1.5%. The LIVEVOL® Pro Summary is below.
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Aegerion Pharmaceuticals, Inc. (Aegerio) is a biopharmaceutical company focused on the development and commercialization of therapeutics to treat lipid disorders.
I found this stock using a real-time custom scan. This one hunts for depressed vols. The phenomenon that makes this eve more compelling is the stock appreciation this name has seen of late.
Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile 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 its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.
The two-year AEGR 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 checkout that incredible price appreciation starting with the gap up in mid Oct of 2012 and continuing until today. This was a $13.50 stock on October of last year and is now trading ~$37.
The vol chart looks funky b/c this name didn't trade options until fairly recently, so the IV30™ (red-line) is flat lined for a while. Let's take a look at that IV30™ chart in isolation, below (same time period).
We can see how the vol has continued to fall as the stock price has nearly tripled. As of today, the IV30™ is at an all-time low. So a $1B pharma that has seen its stock price triple in six-months shows vol in the mid 40% range and at an all-time low... OK...?....
Finally, let's look to the Options Tab (below).
We can see the monthly vols are priced to 51.02% for Mar and 46.23% for Apr. I guess things couldn't be "calmer," right?
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Aegerion Pharma (AEGR) - $1B Pharma Sees Stock Triple but Vol at an All-time Low...?
VirnetX (VHC) - Calendar Vol Diff Says One-Thing: Buckle Up, Something Huge is Coming in Five Days or Less
VHC is trading $33.00, down 2.4% with IV30™ up 1.9%. The LIVEVOL® Pro Summary is below.
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VirnetX Holding Corporation is engaged in the business of commercializing a portfolio of patents. The Company develops software and technology solutions for securing real-time communications over the Internet.
Something is coming in the next five days, or so says the option market.
This is an awesome calendar spread story with just five trading days to go in this expiry. Without even reading the news the option market reflects huge risk in the next five days, which in option speak means, vol is extremely elevated in Mar relative to Apr. The business of patents and patent portfolios exists in a wonderful world of uncertainty and in many ways, a magical (but real) promise of greatness.
I found VHC using the real-time custom scan that hunts for calendar spreads between the front two monthly expiries.
Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 7
IV30™ GTE 30
Average Option Volume GTE 1,200
The goal with this scan is to identify back months that are cheaper than the front by at least 10 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).
Let’s start with the Skew Tab to examine the month-to-month and line-by-line vols.
We can see how elevated Mar is to Apr as well as how flat Apr skew appears when compared to Mar. If you peak at the vertical axis you can see how large the vol diff is – on the downside we’re looking at nearly 2x vol in Mar to Apr. When we look at the Charts Tab, we’ll see why…
The two-year VHC 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 some absolutely enormous stock moves in short bursts of time. The stock more than doubled in that first highlighted are, then was cut by more than 50% in the next highlighted area. All told, this stock has been as low as $11.01 and as high as $41.93 in just two years.
On the vol side we can see the explosion into the earnings cycle in Nov of 2012, when IV30™ hit as high as 212%. Whoa…
Finally, let's look to the Options Tab (below).
Across the top we can see that Mar vol is priced to 100.02% while Apr vol is priced to 63.93%, so about a 36 vol point diff. But look at some specific strikes. The Mar/Apr 30 put spread shows a ~40 point vol diff, and though not pictured here, the Mar/Apr 27 vol diff sows a 60 point vol diff.
Something is coming in the next five days, or so says the option market.
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Pier 1 Imports (PIR) - Surprise Earnings Guidance Wasn't a "Surprise" At All...
PIR closed yesterday at $22.28, down 4.1% with IV30™ up 4.9% on a "surprise" earnings pre-announcement. The LIVEVOL® Pro Summary is below.
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Pier 1 Imports, Inc. (Pier 1 Imports) is a specialty retailer of decorative home furnishings and gifts. The Company imports merchandise, and sells a range of decorative accessories, furniture, candles, housewares, gifts and seasonal products in its stores
I use the quotes for "surprise," b/c for someone, it certainly didn't come off as a surprise at all. Let's start with a snippet of the PIR Stats Tab, below.
We can see two very important numbers:
1. The company averages ~188 puts traded in entirety per day.
2. The average total open interest for all puts in all months on all strikes is 1,771.
OK, so what?
On 3-6-2013, someone bought 4,400 Mar 23 calls for $0.40 in one order and in total, 5,742 Mar 23 puts traded on 179 existing OI. The Options Tab from the close on 3-6-2013 is included below.
Keep in mind, that order flow is more than 30x (3,000%) of the total daily average put volume -- and that's one strike in one month. Keep in mind also that PIR has earnings due out in April. The OI has grown to 5,775 in that one line when TOTAL average OI in puts was just 1,771. And then this happened on 3-7-2013 (yesterday):
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6:06AM Pier 1 Imports sees Q4 EPS below consensus; Q4 comps +7.9% (PIR) 23.23 : Co issues downside guidance for Q4 (Feb), ex items, sees EPS of $0.59-0.60 vs. $0.61 Capital IQ Consensus Estimate.
Comparable store sales increased 7.9% on top of last year's 10.3% gain; three-year cumulative comparable store sales increased 27.1%
"We are confident that fiscal 2014 will be another terrific year as we continue our evolution into a true multi-channel retailer, exploiting the growth potential in our two mutually supportive and interdependent businesses -- our wonderful Pier 1 Imports stores and our new, two quarters-old e-Commerce business."
Source: Briefing.com via Yahoo! Finance
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Surprise?
The stock dropped 4.1%. Let's look to the Options Montage as of yesterday's close (3-7-2012):
Those $0.40 puts closed at fair value of $0.85, but it looks like they were actually sold @ $0.95 (5,400 in one order) for more than a 135% gain in a single day on a 3,000% volume increase on exactly the ATM strike of the front month.
Quite a... "surprise?" I say not...
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magicJack (CALL) - Vol Diff Opens, Skew Diverges to Upside... Market Reflects Upside Potential on Earnings
CALL is trading $14.27, up 1.9% with IV30™ up 0.7%. The LIVEVOL® Pro Summary is below.
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magicJack VocalTec Ltd (magicJack VocalTec) is a provider of voice-over-Internet-Protocol (VoIP), the softphone (magicJack PC) and the magicJack products. magicJack VocalTec’s product include magicJack and magicJack PLUS, magicJack PC and magicJack APP.
The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. The issue here is not so much the vol diff as earnings are due out in March, but rather the very interesting skew divergence.
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.
Let's turn to the Skew Tab to examine the month-to-month and in this case, the compelling line-by-line vol comps.
So we can see two phenomena here:
1. Clearly Maris elevated to Apr --that is due to earnings.
2. Check out the divergence in skew shape across both months. That upside bend to the Mar skew (which is not present in the Apr skew) reflects greater upside risk (potential) of off this earnings release (per the options market). This is very much in opposition to he last few posts I have done for calendar vol diffs, where the skew shapes have shown beautiful consistency.
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 the Y-O-Y return has been pretty poor with stock closing at $23.64 one year ago -- so it's down substantially.
On the vol side we can see the implied is still trading above both historical realized vol measures, though oddly, it has been dipping as earnings approach. That one I have no real good explanation for.
Finally, let's look to the Options Tab (below).
Across the top we can see that Mar is priced to 90.06% vol where Apr is priced to 78.30% or about 12 vol points. Again, that's due to earnings. But, look at that upside skew vol diff. For example, the Mar/Apr 15 call spread shows ~20 vol point diff.
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JC Penney (JCP) - Stock Breaches Multi-year Lows, Calendar Vol Opens; Parabolic Skew Reflects Heightened Tail Risk
JCP is trading $14.52, down 3.0% with IV30™ up 0.6%. The LIVEVOL® Pro Summary is below.
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J. C. Penney Company, Inc. (jcpenney), is a holding company. The Company is a retailer, operating 1,102 department stores in 49 states and Puerto Rico as of January 28, 2012.
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.
Let's turn to the Skew Tab, below, to examine the line-by-line and month-to-month vols.
I note two phenomena here:
1. Mar vol is elevated to Apr vol across all strikes.
2. Both months show almost identical parabolic skews reflecting heightened tail risk (to both sides).
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).
The stock has been on a cataclysm ride for the last year, dropping from $38.47 to now $14.50. Even more troubling is the recent move off of earnings on 2-27-2013 AMC. The stock has fallen from $21.16 in just two weeks. Scary stuff if you look at that stock chart. The stock is now trading at a new multi-year low.
The implied dipped after earnings (which is normal) but has risen of late as the stock continues its free fall. The 52 wk range in IV30™ is [29.38%, 93.58%], putting the current level in the 63rd percentile. That feels low to me... actually, it feels very low to me.
Finally, let's look to the Options Tab (below).
Across the top we can see that Mar is priced to 75.30% and Apr to 67.71%.
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Safeway (SWY) - Vol Rises as Stock Rises; Tug-of-War Between Analyst and Management. Stock Up But Core Profit Down 80% in 4 Years
SWY is trading $24.31, up 1.7% with IV30™ up 11.3%. The LIVEVOL® Pro Summary is below.
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Safeway Inc. (Safeway) is a food and drug retailer in North America. As of December 3 1, 2011, the Company had 1,678 stores. Its United States retail operations are located principally in California, Hawaii, Oregon, Washington, Alaska, Colorado, Arizona, Texas, the Chicago metropolitan area and the Mid-Atlantic region.
This is a fascinating story -- sort of a tug-o-war between an analyst that as some chops and the reality of the stock price movement. SWY came up on a real-time custom scan that hunts for calendar spreads between the front two months. It also comes up on the IV30™ day gainer scan, but whichever scan you like, it's the story that really makes this one interesting.
Before we get to the scan details below, here's the news -- a really nice article from AP that sums up the story:
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NEW YORK (AP) -- A Cantor Fitzgerald analyst said Tuesday that while Safeway Inc. executives may paint a rosy picture when they speak with analysts this week, he's not as optimistic about the supermarket chain's prospects.
Ajay Jain backed his "Sell" rating [] saying that its most recent quarterly results may have given investors the wrong idea.
Late last month, Safeway released fourth-quarter results that were far better than Wall Street expected. []
But Jain said he thinks management's comments at the time created a "major misconception" that Safeway has turned a corner as a result of the program, adding that he expects the company to issue a better-than-expected earnings guidance at its analyst meetings Tuesday and Wednesday.
Jain estimated that operating profit at Safeway's U.S. operations fell close to 60 percent between 2008 and 2012, while core profitability has dropped by more than 80 percent.
"We believe Safeway's U.S. earnings and operating margin trajectory appears to be a highly overlooked issue and should be of great concern to investors," Jain wrote in a note to investors.
Source: AP via Yahoo! Finance Ahead of the Bell: Safeway
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Incredible juxtaposition of nearly new highs in sock price ad rising earnings forecasts but with the reality of "U.S. operations fell close to 60 percent between 2008 and 2012, while core profitability has dropped by more than 80 percent."
Wow...
OK, onto the scan details and some analysis.
Time Spread 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 that mar vol is priced above Apr vol for all strike prices and further, that the Mar skew shows a parabolic shape reflecting greater two-sided tail risk in the near-term. So here's an example of the stock rising while vol is also rising (per the Symbol Summary above).
Now we can turn to the six-month Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).
Check out the meteoric rise since the start of 2013, with the equity price going from $18.35 to now $24.31 or ~33% in just two months. We can also see the pop off of earnings (the blue "E" icon). The stock closed at $20.13 the day before earnings and is now ~20% higher in three weeks.
On the vol side we can see the vol rise into earnings (normal), then drop after (also normal), but it has now found another leg up, including today's 11.3% pop (which is actually now a 15.6% rise as I write this article). So again, stock rising with rising vol. It does happen...
Finally, let's look to the Options Tab (below).
Across the top we can see that Mar is priced to 53.28% while Apr is priced to 38.35%. Note that the vol diff between these months is not due to an earnings event (that already happened a few weeks ago). This is a fascinating tug-of-war IMHO, one that brings to light several interesting positions to analyze in the next few weeks (or days).
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Omnicare (OCR) - Vol Diff Opens Between Front Two Months; Divergence Grows After Convergence on Earnings
OCR is trading $37.51, up 0.3% with IV30™ up 4.2%. The LIVEVOL® Pro Summary is below.
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Omnicare, Inc. (Omnicare) is a healthcare services company. The Company operates in two primary businesses: Long-Term Care Group (LTC) and Specialty Care Group (SCG).
I found this stock using a real-time custom scan. This one hunts for calendar spreads between the front two monthly expiries.
Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200
The goal with this scan is to identify back months that are cheaper than the front by at least 10 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).
Let’s start with the Skew Tab to examine the month-to-month and line-by-line vols.
We can see how elevated the front is to the back and how the front has a more parabolic skew. In English, the option market reflects greater risk in Mar than Apr overall, but specifically even greater risk to the tails (both sides).
The elevated front vol is not due to earnings as the firm last reported on 2-19-2013. In fact, if we look back on that day on the Skew Tab, after the earnings report was released, we can see that the skews laid right on top of each other. I have included the OCR skew from 2-19-2013, below.
So, again, this vol diff that has opened up well after the fact from earnings, making it quite compelling. Let’s 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 a reasonable Y-O-Y return with the stock going from $33.91 to now ~$37.50. What is more noteworthy is the climb from $29 in early Jun to $40 in Feb. Then we see a significant dip in equity price after earnings and then just recently (the last four sessions) a small recovery.
Finally, let's look to the Options Tab (below).
Across the top we can see Mar vol is priced to 42.51% and Apr is priced to 30.82%. It’s that vol diff that has triggered the scan. Given the recent move down off of earnings and then small rise of late and the complete reversal in the skew levels, this is a very compelling skew opportunity. One worth watching, IMHO.
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