Steep and Rich best describes the implied vols in McMoRan Exploration today- with ATMIV near 110% and a 25delta risk reversal near 20points wide- near the steepest level of the year for MMR. With front end IV nearly 50points above long-term (try /term MMR to see), and the 4day $14 straddle near 14% of spot, it is clear that traders are pricing in much more risk than normal for the stock and expect a significant move this week. Shares are difficult to borrow- with the Aug combo trading about a dime under water. Try our newe command /borrow mmr to see the bid and offer borrow cost over time.
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.