Monday’s Options Alerts
The major market averages put in a strong rally on
this day after Thanksgiving. However, stocks rallied across the board on
extremely light volume. The VIX
(
$VIX.X |
Quote |
Chart |
News |
PowerRating) opened at the high of its range
and closed near its lows of the day. The VIX spent the entire day working its
way lower. This intraday shift in sentiment tells us that fear is on the decline,
as investors are feeling optimistic about this holiday season. A CVR
VI sell was triggered
today. The VXN
(
$VXN.X |
Quote |
Chart |
News |
PowerRating) exhibited the same behavior as the VIX, as it too opened
near its high and closed near the lows of the day. The VXN’s intraday action also
suggests that fear is on the decline. No CVR signals were triggered by the VXN either.
Once again, both volatility indices
still suggest that we are in overbought territory. However, overbought can
become even more overbought, therefore don’t fight the tape.
Points of Significance:
Despite the majority of stocks trading on
lackluster volume today, Daimler Benz
(
DCX |
Quote |
Chart |
News |
PowerRating) gapped up and jumped almost 6%
higher on heavy volume. DCX options traded over seven
times its average contract volume. There is heavy activity in the January 40 and
50 calls. Shire Pharmaceuticals
(
SHPGY |
Quote |
Chart |
News |
PowerRating) had a huge outside bar key
reversal today on five times its average daily trading volume. Options on Shire
traded five times its average contract volume. There is heavy activity in the
December 35 puts. NiSource
(
NI |
Quote |
Chart |
News |
PowerRating) is continuing to pull back from lows today.
It also broke above its 20-day moving average. Nisource’s implied volatility is
approaching new lows.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 24.79 | – 0.53 | CVR VI SELL |
9.52 % Under | Not At Extreme |
| VXN | 50.82 | -1.86 | NONE | 7.28 % 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 |
| Daimler Chrysler | DCX | + 5.72 | 4698 | 606 |
| Petroleo Brasileiro |
PBR | + 3.95 |
2660 | 200 |
| Novartis Ag |
NVS | – 3.40 |
606 | 117 |
| Agile Software |
AGIL | – 3.25 |
1358 | 427 |
| Shire Pharmaceuticals |
SHPGY | – 3.12 | 1358 | 427 |
| Flextronics Int’l |
FLEX | + 2.53 |
4885 | 2010 |
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 |
| Financial SPDRs | XLF | 27.8 | 22.9 | 41 | 20.4 |
| Telefonos de Chile | CTC | 38.6 | 32 | 50.4 | 26.2 |
| Sara Lee |
SLE | 25.7 | 21.7 | 29 | 22.4 |
| Marshall Industries | MI | 21.1 | 18.7 | 33.3 | 19.1 |
| UST Inc. | UST | 28.6 | 26 | 33.7 | 25.8 |
| Worldcom | WCOM | 53.3 | 48.9 | 60.3 | 48.3 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Compania Anonima | VNT | 50.5 | 62 | 76.7 | 48 |
| PDI Inc. | PDII | 84.2 | 97.6 | 101 | 57 |
| Anheuser Busch |
BUD | 22.6 | 25.5 | 30.7 | 24 |
| O’Reilly Automotive | ORLY | 46.1 | 52 | 60.8 | 35.6 |
| Consolidated Edision | ED | 20.9 | 23.5 | 23.8 | 17.8 |
| NiSource | NI | 28.8 | 32 | 34.6 | 28.3 |
Please use stops on every trade!