Friday’s Options Alerts…
The Dow and
S&P 500 stocks continued their declines today, however the tech laden Nasdaq
managed to close slightly in the black. Today the VIX
opened in upper half of its range and closed in the lower half. This signifies
that fear is subsiding. The VIX
hit a new five day high today and closed below its open, this gives us a
CVR I buy signal. The VXN
exhibited the opposite behavior of the VIX
as it opened near the bottom half of the range and closed in the upper half. This
intra-day shift in sentiment suggest that fear is still mounting. However
the five day RSI of the VXN
is getting to overbought levels which means that the market is oversold
and could start rising. Keep an eye out for a downtick in the RSI which would
trigger a CVR II buy signal.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 37.36 | UP .13 | CVR I LONG |
4.88 % Above | Not at Extreme |
| VXN | 70.69 | UP 3.58 |
NONE | 7.51 % Above |
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 |
| Titan Corporation |
TTN | – 17.31 | 8281 | 2128 |
| Express Scripts |
ESRX | – 16.11 |
3013 | 338 |
| ISS Group | ISSX | + 15.46 | 1681 | 646 |
| UAL Corp. |
UAL | – 10.68 |
2534 | 908 |
| McData Corporation |
MCDTA | – 10.29 | 1132 | 387 |
| Symantec | SYMC | + 10.06 |
17353 | 4118 |
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 |
| Heller Financial | HF | 26.5 | 10.2 | 48.4 | 9.2 |
| PictureTel | PCTL | 68.3 | 52.7 | 152.9 | 52.3 |
| Express Scripts | ESRX | 77.4 | 63.5 | 71 | 38.9 |
| Exxon Mobil |
XOM | 33.1 | 27.7 | 36.2 | 20.4 |
| Dime Bancorp Inc. | DME | 40.1 | 34 | 38.2 | 21.2 |
| Sylvan Learning System |
SLVN | 72.6 | 62.7 | 66.9 | 41.3 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| TD Waterhouse Group | TWE | 23.8 | 40.5 | 66.3 | 46.9 |
| Sonus Networks |
SONS | 123.13 | 151.9 | 130.9 | 85.3 |
| Skywest | SKYW | 82.6 | 100.6 | 79.8 | 45.3 |
| Ralston Purina |
RAL | 16.9 | 20.1 | 49 | 14.7 |
| Hospitality Properties |
HPT | 35.5 | 42.1 | 38.1 | 20 |
Wrap Up
Tech stocks and the broader markets diverged
today as pessimistic earnings from McDonalds
and General
Motors dragged the broader indices down. Express
Scripts, Dime
Bancorp, and Skywest
all hit new highs in implied volatilities. Express
Scripts imploded on over 14 times its average volume today. Dime
Bancorp dropped below its 200 day moving average today on three times its
average volume. Skywest
broke through its 20 day moving average today on almost double its average
volume and has filled the gap from October 1st.
Please use stops on every trade!