Tuesday’s Options Alerts
The markets started the day sharply lower after news
of an American Airlines flight bound for the Dominican Republic crashed soon
after takeoff. However, stocks began to shed early losses as investors believed
that the cause of the crash was not related to terrorist activities. The Dow
(
$INDU |
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PowerRating)
and S&P
(
$SPX |
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PowerRating) ended the day slightly lower while the Nasdaq
(
$COMPQ |
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PowerRating)
ended slightly higher. Today the VIX
(
$VIX.X |
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PowerRating) gapped sharply higher
on the open, went a little higher, and then spent the day working its way down to close near its lows of the day. This
intraday shift in sentiment suggests that fear is
dropping as investors are ruling out that today’s plane crash was due to
terrorists activity. Today the VIX triggered a CVR
I buy signal, and also a CVR 2 sell signal. The VXN
(
$VXN.X |
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Chart |
News |
PowerRating) exhibited similar action as the VIX today as it too gapped higher at the open and
worked its way slightly higher before spending the rest of the day working its way back down to close near its lows for the day. This intraday shift in sentiment suggests that
fear is also subsiding. The VXN did not trigger any CVR signals for the
day.
Points of Significance:
Airline stocks such as Delta
(
DAL |
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PowerRating),
Continental
(
CAL |
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PowerRating), and AMR
(
AMR |
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PowerRating) were weak today as news of the plane
crash rekindled fears in flying. Delta lost over 10% as it broke its 20-day
moving average today on four times its average daily volume. Options volume was heavy as it
traded almost five times its average daily contract volume. AMR dropped over
nine percent on four times its average volume. Options volume was heavy as it
traded over six times its average daily contract volume. AMR’s implied
volatility is also approaching its high side. Ciena
(
CIEN |
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Chart |
News |
PowerRating) gapped higher on
double its average trading
volume after they announced that its fourth quarter earnings could exceed
analyst’s consensus forecast and that it was laying off 10% of its workforce.
Ciena’s options volume was heavy as it traded over triple its average daily
contract volume. ServiceMaster
(
SVM |
Quote |
Chart |
News |
PowerRating) is trying to rally out of a
pullback. ServiceMaster’s implied volatility is approaching the low end of its
scale.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 31.26 | + 2.50 | CVR I BUY |
2.04 % Under | Not At Extreme |
| VXN | 58.99 | + 0.40 | NONE | 1.34 % Under |
Not At Extreme |
Abnormal Options Volume With Price Movement
– Abnormal options volume (calls and puts) with stock price movement
| Name | Symbol | Net % Change |
Volume | Avg. Volume |
| Dynegy | DYN | + 14.31 | 23765 | 5213 |
| Delta Airlines |
DAL | – 10.46 |
4045 | 1290 |
| Ciena | CIEN | + 9.66 |
65168 | 19298 |
| Continental Airlines |
CAL | – 9.09 |
911 | 394 |
| AMR | AMR | – 9.04 | 6015 | 938 |
| Extreme Networks |
EXTR | + 7.37 |
12333 | 5941 |
Stocks With Biggest Spikes in Implied
Volatility – Stocks with biggest increases or decreases in implied
volatility compared to previous day.
Spike Up
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| AMR | AMR | 75.1 | 59.4 | 76.1 | 32.3 |
| Compania Anonima | VNT | 82.1 | 65.8 | 76.7 | 48 |
| Clayton Homes | CMH | 47.6 | 39 | 44.2 | 34.4 |
| Delta Airlines | DAL | 71.6 | 60.4 | 77.1 | 31.2 |
| Jefferson-Pilot | JP | 29.4 | 25.2 | 28 | 22.8 |
| Alaska Air Group | ALK | 54.1 | 47 | 72.2 | 28.1 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| ServiceMaster | SVM | 23.2 | 33.1 | 37.7 | 21.5 |
| Orion Power Holdings |
ORN | 20.9 | 28.2 | 69.8 | 20.2 |
| Newport News Shipbuilding |
NNS | 16.4 | 20.7 | 30.7 | 15.1 |
| CMS Energy | CMS | 30.6 | 38.1 | 47.7 | 27.6 |
| Xcel Energy | XEL | 26.2 | 22.8 | 31.6 | 23 |
| Sierra Pacific Resources |
SRP | 32.9 | 38.6 | 49 | 34.1 |
Please use stops on every trade!