WhatsTrading Options Recap — 08/17/2012
It’s expiration Friday and the S&P 500 (SPX) has traded in a 3-point range!!! With less than an hour left to trade, the S&P is up 1.24 points. CBOE Volatility Index (.VIX), which tracks the expected volatility priced into SPX options, is at five-year lows. The sharp decline in volatility is being seen across other equity markets as well. Hong Kong’s Hang Seng and Tokyo’s Nikkei both gained .8 percent. Spain’s IBEX was a big mover, gaining nearly 2 percent, but the major indexes in France, Germany and the UK, were little changed Friday. Crude oil edged up .40 to $96 per barrel and gold is flat around $1619 an ounce. On the economic front, the UofMichigan reported this morning that its index of Consumer Sentiment was up to 73.6 in August, up from 72.3 and better than the 72.2 that was expected. The market showed little reaction to the data. The Dow Jones Industrial Average added 17 points on the day and the NASDAQ is up 10.5.
Overall volume in the options market is respectable today due to the expiration. 8.1 million calls and 6 million puts. Yet, the projected volume of 16 million is only slightly greater than the levels seen throughout the first half of the month and significantly below the average volume of 24 million in August of last year. A lot has changed since VIX hit 48 on August 8, 2011. It’s now at five-year lows. Falling volume and volatility often go hand-and-hand, until another catalyst emerges to reverse the trend. Until then, more rangebound action can be expected and, this environment, it seems to make sense to look for opportunities by compartmentalizing markets into asset classes and sectors. As the old adage goes, there’s always a bull market somewhere!
Have a great weekend and see you in Chicago!
Notable Flow
BZH – Bearish activity detected in Beazer Homes USA Inc with 7855 puts trading, or 5x the recent avg daily put volume in the name. Shares near $2.98 (0.07) with ATMIV lifting by 1.29 point and 53% of todays put premium trading offer side. (Trade-Alert) 12:51
CLSN – Bearish activity detected in Celsion Corp with 8250 puts trading, or 12x the recent avg daily put volume in the name. Shares near $4.3 (0.45) with ATMIV lifting by 1.08 point and 63% of todays put premium trading offer side. (Trade-Alert) 11:51
THLD – Bearish activity detected in Threshold Pharmaceuticals Inc with 6090 puts trading, or 234x the recent avg daily put volume in the name. Shares near $7.52 (-0.16) with ATMIV lifting by 1.35 point and 60% of todays put premium trading offer side. (Trade-Alert) 10:51
High options volume is being seen in FB, BAC, XLF, GM, GRPN, ORCL, MRVL, XLP, MCP, IYR
Movers
ANN 34.35 +6.21 +22.1% 14.92 Post-Earnings
CKP 8.60 +1.49 +21.0% 6.62
MRVL 10.56 -1.72 -14.0% 6.35 Post-Earnings
OPLK 16.25 +1.99 +14.0% 7.60 Post-Earnings
IO 6.75 -1.02 -13.1% 3.77
LPHI 2.08 -0.30 -12.6% 5.72
PSTI 4.18 -0.57 -12.0% 2.06
ATV 3.47 +0.36 +11.8% 3.36
MCP 9.92 -1.24 -11.1% 1.37
ARO 12.20 -1.46 -10.7% 1.18 Post-Earnings
Shakers (Implied volatility Movers)
Symbol IV[30d] IVChg IVChg% SkewAdjChg Last Change
VQ 64.1% +17.0 +36.1% N/A $10.83 -0.15
MRVL 35.7% -17.3 -32.7% -18.8 $10.56 -1.72 Post-Earnings
BRCD 29.8% -13.9 -31.9% -14.5 $5.75 +0.12 Post-Earnings
GPS 25.5% -10.0 -28.1% -7.9 $36.14 +1.80 Post-Earnings
FL 21.1% -7.8 -27.1% -8.4 $35.21 +0.72 Post-Earnings
ARR 18.1% +3.8 +26.6% -0.1 $7.32 -0.09
ANN 26.4% -9.0 -25.5% N/A $34.26 +6.12 Post-Earnings
AVGO 26.9% -9.1 -25.3% -10.8 $36.69 -0.22 Post-Earnings
ARO 42.7% -9.7 -18.6% -13.5 $12.20 -1.46 Post-Earnings
IQNT 32.5% +4.7 +16.9% +1.9 $11.66 -0.04
52-Week Highs
172 new highs: .HGX .OEX .VSTRP .XEO AAPL ACAS ACXM ADP AEGN AGU AHS ALJ AMG ANN AON APH ASFI ASPS AVD AWR AYI BBCN BGS BKD BRLI BWS CBE CBL CDNS CEB CF CHH CHS CINF CLGX CLSN CNI CNO CNQR CONN CPB CPWR CRBC CRUS CSJ CSM CVA CVBF CXW CYMI CYNO CYT DENN DFS DOX DSW DVY EBAY ELT EMN EXP FBHS FFIC FICO FL FLT FRAN FXEN GGC GIB GIL GOOG GPS GPX HD HEP HGR HRS HSNI IHS IR ITB ITW IVV IVW KALU KCAP KIM KORS LEN LL LMT LPX LSE LYB MDC MDT MENT MHO MMM MTX MWA MX NCT NEU NGG NNN NOC NSM NYT OCN OEF OILT OKSB OMC PCYC PDCO PEP PHG PHM POL PRI PSTI PSX RPT RTH RWT SAFT SBS SDY SEMG SHEN SIM SIRO SJM SMBL SNPS SPNC SPY SRDX SRZ SSP STAN STI STX STZ SVXY SWI SXC SXL TCAP TDG TJX TOL TYC UTEK VIAB VIG VOO VOX VRSN VYM WAC WDC WOR WRI WY XHB XL XLK XNPT XOM
52-week Lows
44 new lows: .BVZ .GVZ .VIX .VXEEM .VXEWZ ANGI ANGO BALT BV CERP CHGS CREG DM DOG DXD ERY FB GOK GRPN ITMN LOCM LPHI MCP MIDZ MKTS PSQ QID RNDY RSW SDOW SDS SH SIJ SNMX SPXS SPXU SQQQ SRTY TZA UVXY VIIX VIXY VLCCF VXX
Top Equity Blocks
7.65m SMFG 6.25 +0.15 +2.5% 11:43:29 – Average Price Trade
5.29m MRVL 10.45 -1.83 -14.9% 13:18:40
2.25m SPY 141.95 +0.10 +0.1% 14:48:53 – Average Price Trade
2.00m IWM 81.18 +0.57 +0.7% 15:23:17 – Average Price Trade
1.50m EWG 21.11 +0.08 +0.4% 12:24:29 – Burst
1.49m EEM 40.41 -0.26 -0.6% 12:58:44 – Burst
1.49m EEM 40.40 -0.27 -0.7% 12:52:18 – Burst
1.49m EEM 40.39 -0.28 -0.7% 12:31:00 – Burst
1.46m BAC 7.99 +0.06 +0.8% 09:59:13
Category: Market Update
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About the Author (Author Profile)
Frederic Ruffy is a well-known trader, writer, and strategist who has spent years educating investors and creating intelligent, insightful, unbiased market observations that are frequently cited by the Wall Street Journal and other financial publications. As senior analyst, Fred provides frequent and regular notes and daily updates for activity of interest.
