Brisk option flow ahead of earnings in chipmaker MEMC today, with a 52wk high for 30day IV (90%) and a 52wk low in share price. /egap WFR shows traders expect a reaction well beyond what was seen last cycle when shares were little changed. Current IV Term structure (try /term WFR) implies a 15% standard deviation, or a range of about 2.80 to 3.80 for shares.
About the Author (Author Profile)
Henry Schwartz is the president of Trade Alert LLC, a provider of real-time options analysis tools to leading Wall Street firms. His systems analyze hundreds of thousands of transactions per second to help professionals identify and interpret market activity in real time, supporting informed trading decisions and intelligent idea generation. He has held institutional trading and management roles with Bank of America, Bear Stearns, Salomon Brothers and the Hull Group, and made markets on the CBOE and AMEX floors in the US, and EUREX and MONEP overseas. Prior to founding Trade Alert, he led the electronic market-making group at Bank of America coincident with the launch of the International Securities Exchange. He received his bachelor’s degree in Economics from the University of California, San Diego and his MBA from NYU’s Stern School of Business.