Friday’s Options Alerts…
Despite the rising jobless claims number, stocks
rallied sharply for the second day of the new year. Tech stocks were
especially strong as they helped lift the Nasdaq back above the psychological
2,000 level. Semiconductor stocks were especially strong as investors are
betting on a recovery in the chip industry. The VIX
(
$VIX.X |
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Chart |
News |
PowerRating) opened near the highs of its range and closed
almost on its lows for the day. The intra-day shift in sentiment
suggests that fear is continuing to head back down. No more CVR signals were triggered today. The VXN
(
$VXN.X |
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PowerRating)
opened right on its highs and closed near its
lows. This intra-day shift in sentiment also
suggests that fear is again declining. The VXN did not trigger any CVR
signals either. Following yesterday’s CVR I buy signals, the markets pushed
sharply higher. Look for more follow through.
Points of Significance:
Peregrine Systems
(
PRGN |
Quote |
Chart |
News |
PowerRating) tumbled almost 36% today
on over 16 times its average trading volume. The company warned today that it
would report a loss instead of a profit for its third quarter. Analysts
were expecting a .10/share profit, but now the company expects to report
a loss of seven to eight cents. Shares of Peregrine are trading at a level not
seen since May of 1999. There is heavy volume on the at-the-money January and
March puts.
Fair Isacc
(
FIC |
Quote |
Chart |
News |
PowerRating) fell over 22% on over 10
times its average volume. The shares have now broken below the .618 retracement
level from the October low to the December high. The stock dropped after a Robertson Stephens analyst
said the shares were “aggressively valued.” There is somewhat heavy volume in the April 35 and 40 puts. Its implied
volatility is low.
Newport Corp.
(
NEWP |
Quote |
Chart |
News |
PowerRating) broke out of a two-month base today on over double its average volume. Its options traded almost
five times its average volume. There is heavy volume in the February 22.50 calls.
Solutia
(
SOI |
Quote |
Chart |
News |
PowerRating) lost over 28% on over 24 times
its average volume. Its implied volatility is now at a new high, thus making its
options very pricey. Focus on short volatility strategies such as ratio spreads,
short straddles, and short strangles.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 22.83 | DOWN 1.09 | NONE | 1.64 % Below | Not At Extreme |
| VXN | 47.07 | DOWN 0.98 |
NONE | 3.49 % Below |
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 |
| Peregrine Systems | PRGN | – 36.11 | 18029 | 1210 |
| Fair Isaac | FIC | – 22.98 | 2054 | 151 |
| Advanced Micro Devices | AMD | + 18.18 | 21156 | 9959 |
| WebMethods | WEBM | + 16.47 | 684 | 304 |
| Newport Corp. | NEWP | + 15.30 | 2188 | 452 |
| Aether Systems | AETH | + 15.01 | 1252 | 611 |
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 |
| Solutia | SOI | 87.2 | 46.8 | 43.5 | 32 |
| Intermune Inc. | ITMN | 72.1 | 60 | 70.9 | 55.6 |
| Pepsi Bottling Group | PBG | 33.8 | 28.6 | 37.6 | 29.3 |
| Tyco International | TYC | 42.7 | 36.5 | 53.3 | 48.7 |
| Dime Bancorp Inc. | DME | 33.7 | 28.9 | 38.5 | 21.2 |
| Allergan | AGN | 38.8 | 33.3 | 48.7 | 34.5 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Telefonos de Chile | CTC | 27.9 | 33 | 50.4 | 26.2 |
| National City Corp. |
NCC | 21.5 | 24.7 | 36.2 | 20.2 |
| Sealed Air | SEE | 40.3 | 46.1 | 56 | 38.1 |
| Semtech | SMTC | 63.4 | 71.5 | 95.3 | 56.9 |
| New York Community Bancorp |
NYCB | 41.6 | 46.4 | 57.2 | 30.7 |
| Cross Timbers Oil |
XTO | 51.8 | 57.6 | 62.6 | 52.6 |
Please use stops on every trade!