optionvol-NBC-Bay-Area

TIVO is trading $12.67, up 2.0% with IV30™ up 1.0%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

TiVo Inc. (TiVo) a developer and provider of software and technology that enables the search, navigation, and access of content across sources, including linear television, on-demand television, and broadband video.

I found this stock using a real-time custom scan. This one hunts for elevated vols. TIVO does have earnings due out in the next few days, so the elevated vol isn’t a surprise, but it’s the trend and the level to which it has elevated that caught my eye… and I believe it will catch your eye once you get a look. We are well into annual high territory for IV30™.

The news it turns out, is simple: There is another patent infringement lawsuit going to trial and potentially settling in the Jun expiration cycle.  This time, it's TiVO vs Google (Mobile Mobility).  The prior cases TiVo has fought have all gone in their favor (DISH, AT&T and Verizon) totaling around $1 billion in damages oin to TiVo (Source: Deadline New York -- http://www.deadline.com/2012/12/tivo-google-motorola-mobility-patent-lawsuit/).

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percentile GTE 80
Average Option Volume GTE 1,200


The goal with this scan is to identify short-term implied vol (IV30™) that is elevated to its own annual history (at least in the 80th 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 one-year TIVO 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 we can see a nice Y-O-Y return with the stock rising from $9.58 to now over $12.50. TIVO has such a long history it’s almost impossible to know where to begin. Perhaps the best (and shortest) place is just a summary. This company invented a technology that was earth shattering at the time – well ahead of any competitors and equally ahead of the rest of the world in terms of “what to do with it.” They are example 1A of how being the first to market is not necessarily the ideal strategy. To make a long story short, TIVO has been embroiled in numerous lawsuits (patent infringement ‘n stuff).

But let’s look to today – the vol in particular. I have included the one-year vol chart below (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Check out the rise in IV30™ (the red curve). On 4-18-2013 it was 40.63% and today it is nearly twice that level (in less than a month). This isn’t just about another earnings report. And how do I know that (or think that)? Check out the vol levels for each of the last four earnings cycles (the blue “E” icons), they reached a maximum of 58.76% and that was in May of last year. At 81% today – something is coming… and it’s big.

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



Across the top we can see the monthly vols are priced to 60.55% for May, 81.20% for Jun and 70.28% for Jun. It’s that Jun vol that is driving IV30™. If this trend continues, the implied could reach nearly 90% by the time earnings come out. Watch this one… closely…

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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

TSLA is trading $84.52, up 1.5% with IV30™ down 7.4%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Tesla Motors, Inc. is an electric vehicles and components manufacturer. The Company manufactures electric vehicles and electric vehicle powertrain components.

I just wrote about TSLA six days ago (May 9th). Here is that post:

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

In all fairness, that one is a more compelling argument for the long run. This article surrounds the immediate-term; namely the next 2.5 trading days. This is a calendar spread note - and yes, I know how close we are to expiration, but you gotta see this vol in May.

One quick update before we get going... After I wrote the post on May 9th, I actually walked into a TSLA dealership and spoke to a salesman.  He was a shareholder (or so he said).  I have no idea if what he said was true, or if it is already common knowledge, but according to him the firm sold 2,600 cars last year, and this year they are going to break 20,000.  The cheapest model is $70,000 and the most expensive is $113,00.  They are at full capacity -- which according to him was 500 cars per week -- and every car made is to order so production = sales.

Further, at this point TSLA has one version -- one car -- in nine colors (or whatever). They are introducing a new model and... a right hand sided version of the current model (yeah, that would mean Europe).  He also said the cars have ~470 HP -- or essentially, they are electric Lamborghinis with 300 miles to the battery charge which costs ~$9 when on absolute empty to recharge (in 8 hours).

Now onto the article at hand...

Let's start with 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 the absolutely awesome price appreciation.  At some pint during this year, TSLA was a $25 stock.  It isn't anymore...

But anyway, this is a quick time spread note, so let's look at the Skew Tab.



I mean, it's pretty easy to see -- the red curve is well above the yellow curve (May is well above Jun).

Finally, let's turn to the Options Tab, below.



Easy enough -- look at the top of the Tab.  May vol is priced to 123.62% while Jun is priced to 82.63%.  That parabolic shape in the May skew is apparent in the OTM call vol pricing.  The May 95 calls (for example), are priced to 135.5% vol or $0.55 bid.  Whoa...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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

SNE is trading $20.91, up 10.7% with IV30™ up 16.0%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

SONY CORPORATION mainly involves the electronics, game, entertainment and financial operations. Consumer Products Service (CPS) segment offers liquid crystal display (LCD) televisions, cameras, audio and video equipment, personal computers (PCs), personal navigation systems, game consoles and software. Professional Device Solution (PDS) segment offers audio, videos and monitors for broadcast and commercial use, image sensors and other semiconductors, optical pickups, batteries, data recording media and systems.

This is a timely article given what I just posted back on May 7th (i.e. a week ago exactly):
Are Options Used to Cheat on Takeovers Using Insider information? Yeah, I think so... But Let me Prove it.

Back to that later.

For now, here's the news driving SNE stock (the headline):

---
Source: Yahoo! Finance: Sony Stock Soars As Hedge Funder Dan Loeb (Politely) Demands Change
---

The "change" is a spin-of of Sony's entertainment business. "Loeb said the proposed spin-off of a unit that is home to artists such as Beyonce and Adele and produced movie franchises like "Iron Man" and "Spider-Man" could add another 60 percent to Sony's stock price." (Source: Reuters).

But, the news isn't the news, the news is the trading before the news. SNE averages 8,331 contracts traded a day (over the last three-months) with 5,175 calls and 3,155 puts.



Yesterday, the company saw over 43,000 options trade. I have included the options montage from yesterday below.



I've highlighted the Jun 19 calls and the Jun 17 puts (see the green numbers -- those are volumes on the day). Basically, ~10,000 of those calls were purchased for ~$0.80 and 9,000 of those puts were sold @ ~ $0.25. So that's a $0.55 debit to own ~9,000 Jun 17/19 risk reversals sell puts/buy calls. And then... today happened.

I have included the options montage from today, below.



We can see the risk reversal is now worth ($2.50 - $0.15) = $2.35. So, that would be a $2.35 - $0.55 = $1.80 gain x 9,000 contracts = $1,620,000 gain on an initial $495,000 bet; aka a 330% gain in half a day.

I get asked often if I think "every time" this type of situation comes up if it's insider information used for ill-gotten gains. My answer remains consistent; if you take out known events (earnings, FDA "stuff", etc), and you see 10x average option volume (or whatever) that yields 300%+ one-days gains (or whatever) then yes, basically "every time" it's a cheater. Now is it possible that some astute traders see this unusual volume and piggy-back (i.e. copy the order flow)? Yes, it is. And that is legal. But that doesn't detract from the reality that the initial catalyst was illegal trading.

Now the words "every", "always", "never", etc are generally not true. So I won't say every time (mostly b/c I don't want to respond to 3,000 comments) -- but you get the idea... I hope...

The idea is... "Cheater."

Now, there is a huge caveat to this one -- the meeting with management did happen over the weekend... Not sure why there was a delay in the reaction... Full disclosure...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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

NFLX is trading $226.35, up 4.0% with IV30™ up 2.1%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------


I found this stock using a real-time custom scan I built that one hunts for calendar spreads between the front two monthly expiries. But this one also has a compelling overall vol story to it... very compelling as the stock breaches new annual highs and is up more than 300% in the last nine-months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200

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



We can see the vol divergence between the May options (expiring in five trading days) and the Jun options. I also note the parabolic shape in the May options, meaning the the vol diff grows as we move to the OTM options. While this vol diff is interesting, there’s more to this than that…

The one-year NFLX 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).



First, the stock chart is awesome. A firm which total stunned Hollywood traded as high as $300, then collapsed to ~$50 from new entrants (competition). But then the turnaround started… Ladies and gentlemen, welcome to one of the most important content creators in the industry. The stock is trading over 400% of its prior low value in less than one-year and has breached an annual high in stock price today.

But, it’s the vol that caught my eye, not the stock rise… Or, really, better said, it’s the vol in relation to this stock rise. Let’s turn to the one-year IV30™ chart below.



Simply said, the vol is trading right at annual lows (~41% as of this writing). While the firm did just report earnings on 4-22-2013, that vol is really low relative to the historical realized levels. Here are a few of the HV measures:

HV20™: 85.46%
HV30™: 75.21%
HV180™: 74.48%

Check out that HV180™ number – that’s 180 trading days, so ~9 months. With the explosive move in this stock over the last nine (ish) moths (~320% growth) and the level of the historical realized vols in the short- and long-terms, I just don’ get this level of the implied.

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



Across the top we can see the monthly vols are priced to 52.86% and 41.67%. It’s that vol diff that triggered the calendar spread scan. A 40% vol in NFLX given the last year feels… low… right? Ya know, or not…

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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

BYD is trading $14.08, up 7.4% with IV30™ down 2.2%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Boyd Gaming Corporation (Boyd Gaming), incorporated in June 1988, is a multi-jurisdictional gaming company. The Company is an operator of 16 wholly owned gaming entertainment properties and one controlling interest in a limited liability company.

This is both a vol and stock story in a firm that is smashing through multi-year highs but is still gigantically away from levels reached in 2008 when it traded above $50 (not a typo).

Let's start with 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 that abrupt stock price pop of late. It's hard to believe, but in Nov of last year (so half a year ago) this was a $4.75 stock. As of this writing it is up ~200% in those six months and up 63% in the last three weeks. Having said all of that, this was once a $50 stock, so back in Nov it was down 90% from those levels. Talk about choosing a time-frame to judge stock performance, right?...

Let's turn to an isolated IV30™ chart over one-year, below.



We can see from the blue "E" icon that earnings were recently released, and we can see from the chart above that the equity market liked the results. What I note is first the vol crush after earnings (which is normal), but then we can see this second leg down in vol, or in English, the red curve goes down, then stops for a day, and then continues to plummet. Putting numbers to it, IV30™ dropped to 65.87% on close after earnings were reported (BMO). But with the IV30™ now trading at 46.91%, the vol has dropped nearly 30% after the earnings vol crush as the stock has continued its rise.

Another interesting vol phenomenon is taking place in the vol diff between expiries. Let's turn to the Skew tab, below.



We can see that May vol is priced well above Jun vol, which is a little odd given that earnings have been out (and digested) for so long. My best guess is that the stock appreciation of late has left that front month gamma expensive.

Finally, let's turn to the Options Tab.



Across the top we can see the monthly vols are priced to 56.78% for May and 47.72% for Jun. Again, my best guess is the continued stock appreciation has left the risk in May elevated to the back months even though earnings are over. This will be an interesting one to watch -- is that Jun (or Sep) vol too low given how abruptly the stock has been moving? Kinda feels that way... ya know, or not...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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

TSLA is trading $73.32, up 31.4% with IV30™ down 7.8% off of earnings. The LIVEVOL® Pro Summary is below.



Tesla Motors, Inc. is an electric vehicles and components manufacturer. The Company manufactures electric vehicles and electric vehicle powertrain components. It produces electric cars, from sports cars to mass-market vehicles.

This is a vol note off of a spectacular earnings report (or so says the equity market) for TSLA. There is a compelling phenomenon regarding the implied vol hidden in the wildness that is the stock move and in my opinion signals a paradigm shift for the firm.  This is a new company, starting today. Here's a news snippet from the earnings report:

---
Tesla Motors (TSLA) stock was up 22% in midday trading, after opening up nearly 26% to a new high, driven by better-than-expected Q1 results reported late Wednesday.

The luxury electric car maker delivered its first-ever profit and tripled analyst expectations. Tesla's shares already were up 65% this year going into the Q1 report.

"We exceeded our own targets for deliveries, significantly expanded gross margin and improved execution throughout the company.

"... Importantly, we achieved profitability despite the benefit of a one-time accounting gain related to the DOE (Department of Energy loan repayment) warrant," Tesla CEO Elon Musk said in a Q1 shareholder letter.

Tesla reported earnings per share minus items of 12 cents, triple what analysts expected. That compares with a 76-cent loss in the year-earlier quarter. Revenue jumped to $561.8 million from $30.2 million in the year-earlier quarter, before Model S production began. Analysts had expected $496.2 million. Tesla had pre-announced at the end of Q1 that sales had topped 4,750 units, ahead of its outlook, and that it would hit profitability. The company said Wednesday that it produced more than 5,000 vehicles and counted 4,900 in its revenue figure.

Source: Investors.com via Yahoo! Finance Tesla Motors Rallies On EPS Smash, But What's Next?, written by DONNA HOWELL.
---

Well there you go... 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).



We can see an awesome price appreciation for TSLA over the last two-years from $28.33 to now over $70. More myopically, since Jan 2 of this year, the stock has more than doubled. As we can see in the chart, the stock has smashed through all-time stock price highs. But this is actually a vol note, so let's take a look at the two-year IV30™ chart in isolation.



Here's what I see... Earnings rises into each earnings event (the blue "E" icon) and then crushes down after the news - that's normal behavior and repeats hypnotically for essentially every stock in the world that trades options. But take a closer look at the vol crush today (after earnings just came out). What you'll see is, no crush at all. There's certainly a small dip, but nothing like the prior cycles. In fact, we'll see in a bit that Jun vol (and all forward months) has some incredibly unusual behavior after this earnings news. As of this writing, TSLA IV30™ is in the 86th percentile (annual) -- that is, it's sill quite elevated even though earnings just came out.

Let's turn to the Options Tab for the most interesting part of this vol story.



We can see that while May vol is down 18.3 vol points (see the small green numbers across the top in parenthesis for day change), Jun vol is up 1.2 vol points... yeah, earnings are out, yet the second month shows higher vol... as does Sep, Dec, Jan '14 and Jan '15. Yeah, across the board outside of the front month, the option market reflects greater risk in TSLA stock from the short-term to the multi-year long term.

This is called a paradigm shift (well, that's what I call it) -- this company is now seen as a riskier entity. That's not bad news, in fact, for TSLA it's based on extraordinarily good news (earnings results). But TSLA is now a different company... and in this case, good for them... next level please...

This is trade analysis, not a recommendation.

Follow @OphirGottlieb

Tweet


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.

FIO is trading $14.09, down 21.72% with IV30™ up 36.4%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Fusion-io Inc (Fusion) is a provider of datacenter solutions that accelerate databases, virtualization, cloud computing, big data, and the applications that help drive business from the smallest e-tailers to some of the largest data centers, social media leaders, and Fortune Global 500 businesses.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. This is an interesting one b/c the stock has gapped down on what seems to be a total surprise that the founder and CEO has stepped down effective immediately along with the company’s Chief Marketing Officer to “to pursue entrepreneurial investing activities.” But, no, that’s not the most interesting part…

What’s interesting is that with the stock down 22%, and a vol pop of 36%, the IV30™ is still just in the 39th percentile (annual). So this is a “depressed elevated vol” note… Let that roll around on your tongue for a second…

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

The goal with this scan is to identify names with rising IV30™ that also have 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).

The one-year FIO 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 an annual high of $32.63 and now a new annual low of below $14 (intra-day) in the span of just seven months. If you check out that blue “E” icon (the most recent one), that’s the last earnings release. The stock rose from ~$15 to ~$20 in the few days surrounding the release. So, the CEO is leaving the firm after a “good” earnings report. So all is well, right?...

But, this is also a vol note, so let’s look to the one-year IV30™ chart, below.



We can see how the IV30™ moves in a hypnotic rhythm to earnings (as do all stocks). But more interesting is that with this incredibly surprising news, the IV30™ has popped, but only to the mid 60% level. And why do I find that weird?... Because either this news is a non-event in the sense that this really is just a CEO jumping on a start-up idea (that likely got funding today or whatever) and the company is doing fine (i.e. this is not a reflection of what’s happening at FIO), so the stock price should be essentially unchanged… Or, this is absolutely a reflection of some “bad stuff” going on at the firm and a 22% drop is just the start of what could be a free fall to even lower new lows. That means the vol is too low.

Or… both of those are wrong and the equity market has priced this news basically perfectly, and the elevated risk (as reflected by rising vol) is appropriately “middle of the road.” I dunno… I feel like the prior rather than the latter…

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



Across the top we can see May vol is priced to 72.87% (up a huge 24.6 vol points today) and Jun is priced to 61.32% (up 14.4 vol points – also huge). Again, this would make sense that the font is more elevated than the back since the news / reality of this change will start to be realized sooner rather than later… or… will it?...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

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