INTC News Not Helping Slumping Volatility Levels
Just as we saw most of the
session yesterday, the Dow slumps, while the Nasdaq bides its time.
The Philip Morris
(
MO |
Quote |
Chart |
News |
PowerRating) ruling in
California last night has been the downward pull on the Dow, but Nasdaq traders
have been focused on the Intel
(
INTC |
Quote |
Chart |
News |
PowerRating)
dog and pony show. Will they warn (unlikely, as we said yesterday)? What kind of
future outlook and inventory issues will be addressed? Overall, traders here are
confident the answers to those questions will be positive and thus, the rally in
related issues such as Applied Materials
(
AMAT |
Quote |
Chart |
News |
PowerRating),
Micron
(
MU |
Quote |
Chart |
News |
PowerRating) and National
Semiconductor
(
NSM |
Quote |
Chart |
News |
PowerRating).
Without the worry that is normally associated with such potentially market
moving events, the volatility levels continue to decline. The average Nasdaq
issue is down more than 50% from risk levels in early April and there are plenty
of firms hurting from that rapid contraction of premiums.
The following are the highest volatility option classes ranked in descending
order:
| Symbol
|
Call MIV
|
Put MIV
|
Average MIV
|
| NUFO
|
116.1
|
111.1
|
113.6
|
| ARBA
|
105.1
|
122.1
|
113.6
|
| AGIL
|
111.7
|
111
|
111.35
|
| NUAN
|
103.2
|
117.6
|
110.4
|
| AMCC
|
107.3
|
113.4
|
110.35
|
| SCMR
|
107.3
|
109.9
|
108.6
|
| RBAK
|
106.1
|
110.3
|
108.2
|
| HAND
|
103.6
|
112.4
|
108
|
| CMRC
|
111.5
|
102.8
|
107.15
|
| PMCS
|
101.6
|
109.7
|
105.65
|
| DIGL
|
100.6
|
110.7
|
105.65
|
| ITWO
|
105.3
|
105.1
|
105.2
|
| NTAP
|
102.3
|
105.1
|
103.7
|
| EXDS
|
104.6
|
101.9
|
103.25
|
| AKAM
|
98.7
|
106.6
|
102.65
|
| JNPR
|
98.3
|
104.7
|
101.5
|
Our
readings in Research in Motion
(
RIMM |
Quote |
Chart |
News |
PowerRating)
options was skewed by a 9100-lot spread that traded on the AMEX at 10:34 (ET).
The market makers bought 9100 of the September 30 calls for $10, which was $4.47
over parity, and sold 9100 September 50 calls for $3.10, all of which was
extrinsic (premium over parity). In all likelihood, the institutional customer
was buying back the short September 50s and rolling down to something that
offered more protection. Outside of that, there was little going on in RIMM.
Volume
Volume
Call Vol
Put Vol
Heaviest
$ weighted put volume classes:
| Symbol
|
Call Volume
|
Put
Volume
|
$W
Call Vol
|
$W
Put Vol
|
| SPX
|
13,703
|
21,529
|
404,477
|
455,765
|
| MNX
|
7,975
|
10,757
|
55,015
|
172,348
|
| NDX
|
990
|
1,383
|
39,712
|
96,544
|
| OEX
|
4,400
|
8,838
|
33,200
|
38,451
|
| JNPR
|
7,840
|
3,346
|
16,545
|
30,864
|
| JDSU
|
3,729
|
2,027
|
6,221
|
26,389
|
| DJX
|
4,608
|
9,528
|
10,141
|
25,631
|
| GLW
|
1,699
|
2,242
|
2,871
|
19,405
|
(1010WallStreet.com has licensed
the use of Hamzei Analytics proprietary options analytics)