optionvol-NBC-Bay-Area

APD is trading $96.72, up 0.2% with IV30™ up small. The LIVEVOL® Pro Summary is below.




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Air Products and Chemicals, Inc. has a portfolio of products, services, and solutions that include atmospheric gases, process and specialty gases, performance materials, equipment, and services. It is a supplier of hydrogen and helium and operates in markets, such as semiconductor materials, refinery hydrogen and natural gas liquefaction.

This is both a vol and a stock note as earnings approach. APD has breached an annual high in stock price today as well as an annual high in IV30™ and there is still about two weeks to go before earnings are announced. This is a tricky one b/c having said all that, it's just a 23% vol company... And that has implications...

Let's start with the Charts Tab (one-year) 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 Y-O-Y the stock is up from $78.61, so ~a 25% rise.  Nice...  Looking more myopically to the current period, we can see that the price level reached today (the intra-day high) has breached an annual high.  Even more notable, this stock level hasn't been realized since 2008 for APD -- so we're looking at a 5-year high (give or take).

Then there's the vol... Let's turn to the one-year IV30™ chart, below.



While we saw a stock price multi-year high i the first chart, we can see more clearly here that the stock has breached an annual high in the implied as well.  Earnings are due out 7-23-213 BMO, but still, we have a week and a half before that date and we already see annual highs in vol coinciding with a -year high in stock price.  Hmm...

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



Across the top we can see Jul vol is priced to 21.66% and Aug vol is priced to 24.08%.  That vol difference is due to the earnings event.  Here's a point worth observing, outside all of these relative comparisons.  This is a 24% (or whatever) vol stock that has now reached a five-year high in price and an annual high in volatility well ahead of earnings.  Does this feel like a 24% vol "moment in time" for the stock?  I dunno... Maybe it does... In any case, it wouldn't surprise me if the IV30™ hit the 27%-30% range even if the stock keeps rising. So here we see a rising stock and rising vol... There is no "normal."

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This is trade analysis, not a recommendation.

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CZR is trading $15.42, up 9.1% with IV30™ down 6.0%. The LIVEVOL® Pro Summary is below.



Caesars Entertainment Corporation provides casino entertainment services. Its casino entertainment facilities include land-based casinos, riverboat or dockside casinos, managed casinos, combination greyhound racetrack and casino, combination thoroughbred racetrack and casino, and harness racetrack and casino, hotel and convention space, restaurants, and non-gaming entertainment facilities.

This is a vol note, specifically a depressed vol note on a stock that has been ripping of late. Let's start with 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 is very impressive with the stock closing at $10.31 one-year ago, yielding a ~50% return in 12-months.  I also note that this was a $4.50 stock just eight (ish) months ago.

But, if we look more myopically, we can see an interesting trend. CZR closed at $12.25 on 6-24-2014 and now 17 days later the stock is trading at $15.42 or a 26% rise in about two-weeks.

But this is a vol story as well, so let's look at the one-year IV30™ chart in isolation, below.



We can see the ebbs and flows in the vol into and out of earnings -- all normal stuff.  But what caught my eye is the recent dip in the implied as the stock has been moving abruptly higher.  The current level of the IV30™ is right at an annual low.  Interesting...

The firm does have earnings due out in the Aug expiry, so there is a vol diff month-to-month and since IV30™ is a blended / weighted average, it does reflect a part of that upcoming earnings event.  That makes the low vol even more odd.

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



Across the top we can see the monthly vols are priced to 57.36% for Jul and 64.04% for Aug.  The 52 wk range in IV30™ for CZR is [61.27%, 121.59%], so even looking at Aug vol -- that seems kinda low for a stock that has moved so much recently and has an earnings release.  Right?  Ya know.. or not... In any case, that Aug (and IV30™) number will rise as we approach that earnings date unless there is some pre-earnings guidance or other unexpected disclosure.

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.

VXEEM spot is quoting $26.56%, down small 7.7% on the day. The LIVEVOL® Pro Summary is below.



VXEEM is the CBOE EMERGING MARKETS ETF VOLATILITY Index. In English, it's the VIX of of the Emerging Markets. An incredible reversal and spot difference has opened up between the VXEEM and VIX that was brought to my attention by Doris Frankel of Reuters. I did some digging and there is some funky goin' on here. Let's take a look together.

First, let's start with the one-year VXEEM and VIX spot chart, below.  The red line is the VXEEM and the yellow line is the VIX.



This graph has two parts.
(1) Checkout the difference in the spot moves between VIX and VXEEM from one-year ago (7-9-2012) to 12-28-2012.
We can see in that time-frame the VIX climbed 26% while the VXEEM dropped 16%.  That's a 42 percentage point difference in the two measures with the option market reflecting substantially elevated risk in the S&P 500 (the VIX) while substantially reduced risk in the emerging markets (VXEEM).

(2) Yesterday that one-year change shows the VIX down 18% with VXEEM up 5%, so a 23 percentage point difference in the totally opposite direction.  Said differently, since 12-28-2012 to 7-8-2013, the VIX has dropped 35% and the VXEEM has risen 25%.  An incredible 60 percentage point reversal.

So, as of right now, the option market reflects a substantial change in the paradigm between the US markets (S&P 500) and the emerging markets.  The next question is, "well, has there been a paradigm shift?  Have the emerging markets realized greater volatility than the US in that time frame?"  The answer is... sort of...

Check out the one-year HV180™ charts for the VIX and VXEEM, below. The yellow line is the VIX HV180™ and the purple line is the VXEEM HV180™.



Quick Note: HV180™ is the historical (aka realized) movement in the spot price over the last 180 trading days -- or about nine-months.

The VIX (yellow line) shows much higher realized volatility than the VXEEM -- which is a little weird given that the VXEEM currently sits at 26.56% and the VIX sits at 14.41%.  Then we see an abrupt rise in the VIX HV180™ (the yellow line goes up quickly) around April of this year while the VXEEM HV180™ (purple line) kind of sits still.

Most recently, the VXEEM HV180™ has popped while the VIX HV180™ has not.  Perhaps the recent move in VXEEM realized volatility has created this paradigm shift -- i.e. making the merging markets look more risky than the S&P 500 on a relative annual comparison... But still, there's no doubting it -- the purple line is lower than the yellow line.  Or, in option speak, the realized volatility of the VXEEM is lower than the realized volatility of the VIX.

So what?... Well, why are the spots showing such an abrupt reversal?  What's going on in the emerging markets that is so different now?

For the record, VXEEM covers:
BRAZIL
CHILE
CHINA
COLOMBIA
CZECH REPUBLIC
EGYPT
HUNGARY
INDIA
INDONESIA
KOREA
MALAYSIA
MEXICO
MOROCCO
PERU
PHILIPPINES
POLAND
RUSSIA
SOUTH AFRICA
TAIWAN
THAILAND
TURKEY

Per the MSCI website.

Keep an eye on this relationship -- for you vol traders (or portfolio diversifiers by region), a reversal of this magnitude is worth noting.

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.

OKE is trading $40.99, up 2.5% with IV30™ exploding up 19.8%. The LIVEVOL® Pro Summary is below.



ONEOK, Inc., is a diversified energy company. The Company’s segments include ONEOK Partners, Natural Gas Distribution and Energy Services. As of December 31, 2012, the Company was the sole general partner and own 43.4 % of ONEOK Partners, L.P. ONEOK Partners is engaged in the gathering, processing, storage and transportation of natural gas in the United States.

This is another elevated vol note on an energy company as the stock is plummeting. I found this stock using a real-time custom scan. This one hunts for elevated vols.

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

The one-year OKE 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 nice climb from one-year ago to the end of Apr. Since then, however, the stock performance has been poor, dropping from $52.09 (4-24-2013) to now $40.91 in two and a half months. Note that large gap down off of earnings on 5-1-2013.

Let’s turn to the one-year IV30™ chart in isolation, below.



As the stock has hit a new annual low just months after reaching an annual high, the implied has been ripping up. On 5-23-2013 the IV30™ was 20.08%. Now, just six weeks later the implied is at 37.20% (it has risen as I am writing the blog) or an 85% rise. The level reached today on this spike up is an annual high. So, as discussed prior, we are looking at a stock that has both breached an annual low in stock price today and an annual high in IV30™.

The Skew Tab also reveals some interesting volatility phenomena.



Two things pop out in this picture:
(1) Both of the front months show an upside skew. In English, the option market reflects greater upside risk than downside risk in the next two option expiries. This would be considered “backwards” skew.

(2) Note the volatility difference between Jul and Aug to the upside. A substantial vol diff exists between the two months to the OTM calls while the ATM options are in fact priced higher in Aug than Jul. Interesting…

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



Across the top we can see the monthly vols are priced to 34.49% for Jul and 37.84% for Aug. So, Aug ATM vols are higher than Jul, but Jul OTM calls are priced higher than Aug (with respect to volatility). The option market reflects a rather abrupt risk in the near-term to the upside for OKE – even as the stock hits a new annual low.

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.

AU is trading $12.55, down 9.39% with IV30™ spiking up 11.7%. The LIVEVOL® Pro Summary is below.



AngloGold Ashanti Limited (AngloGold Ashanti) is a gold mining company with a portfolio of assets and differing orebody types in key gold producing regions. The Company also produces silver, uranium oxide and sulfuric acid as by-products.

I found this stock using a real-time custom scan. This one hunts for elevated vols. What we will also see in this name is a stock price that has now breached annual low.


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

The one-year AU 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, well, it’s been pretty bad. One year ago this was a $34.21 stock, and today we see it’s sub-teenager. Not good…

While the stock has been plummeting, the vol of late has been exploding. Let’s turn to a two-year IV30™ chart, below.



We can see the recent rise in the implied has pushed the vol well into multi-year high territory. Over just the last three weeks the IV30™ is up ~50%. Yikes… During the last three months (ish) the stock is down from over $20 – so down ~40%.

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



Across the top we can see the monthly vols are priced to 58.52% for Jul and 56.60% for Aug. There is a monotonic decrease in vol from the front to the back expiries, reflecting greater risk in the near-term than the medium- to long-term. While this is certainly in part a phenomenon surrounding the commodity price of gold, there is some firm specific risk here… that exploding vol is worth noting.

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.

ATHN closed Monday at $85.02, up 0.34% with IV30™ spiking up 23.4%. The LIVEVOL® Pro Summary is below.



athenahealth, Inc. (athenahealth), is a business services company, which provides ongoing billing, clinical-related, and other related services to its customers. The Company provides these services with the use of athenaNet, an Internet-based practice management application.

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

The six-month ATHN 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 a fairly abrupt rise in price from the start of the year through the middle of March from ~$75 to ~$98. During that same time period, we can see the implied dipping (the bottom of the chart – the red line). We’re starting to see the opposite phenomenon now. Check out the recent stock drop in ATHN and the vol pop today.

Let’s look more myopically at the IV30™ in an isolated six-month chart, below.



On 5-22-2013 the IV30™ closed at 28.88%, today it closed at 47.38% or a 64% rise in just over a month. The company has earnings due out on 7-18-2013 (AMC), so the implied vol should continue to rise. The 52 wk range in IV30™ for ATHN is [24.64%, 54.39%]. At this pace, it’s reasonable to assume that ATHN could break an annual high in IV30™ ahead of the approaching earnings report.

Note than on 5-3-2013 the stock gapped down on guidance / earnings. So, there is precedence here for large stock moves off of the earnings release. The IV30™ going into that release was just 41% -- we can see the impact that stock move has had on the implied as we approach this next earnings date.

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



Across the top we can see that Jul is priced 51.58% and Aug is priced to 41.83%. Again, it would not surprise me to see ATHN breach an annual high in IV30™, perhaps even as high as 60% as 7-18-2013 approaches.

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.

CFN closed Friday at $36.85, down 0.7% with IV30™ up 2.4%. The LIVEVOL® Pro Summary is below.



CareFusion Corporation (CareFusion) is a global medical technology company. The Company operates in two segments: Medical Systems and Procedural Solutions. The Medical Systems segment is organized around its medical equipment businesses.

This is a vol and more myopically, a skew note. Specifically elevated vol (at annual highs) and upside leaning skew. Let's jump right into it 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 an impressive price appreciation with the stock rising from $24.86 one-year ago to now ~50% higher. But the vol is the story here -- and it's really compelling. Let's turn to a one-year IV30™ chart in isolation, below.



Checkout that explosion in vol when the implied rose from 18.01% on 5-22-2013 to now 42.85. That's a 138% rise in a month. The catalyst was a news story that revealed CFN may be in talks to purchase the medical division of the British engineering company Smiths Group (Source: Reuters; Smiths Group confirms approach for medical unit; Reporting by Paul Sandle; editing by Kate Holton

What's interesting is that CFN would be the acquirer yet the skew shape has changed as though the are the acquiree. I've included the Skew tab from 5-16-2013 andthe fom Friday's close (6-28-2013), below

5-16-2013


6-28-2013


Note how the skew on 5-16-213 was downward sloping to the OTM calls (or really, upward sloping to the OTM puts). This would be considered "normal" skew. To learn more about skew, what it is and why it exists, you can read this post:
Understanding Option Skew -- What it is and Why it Exists

Now look to the skew as of Friday's close. The shape as turned parabolic... or said differently, now the OTM calls show elevated risk relative to the ATM options just like the OTM puts. This reflects greater two-tailed risk to shares -- i.e up and down side risk. Hmmm...

Finally, let's turn to the Options Tab.



Across the top we can see that Jul is priced to 44.52% and Aug is priced to 39.34%. In fact, the decrease in vol to further out expiries is monotonic. The option market reflects a new high in annual risk, and it reflects the most risk in this expiration cycle.

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.