Monday’s Option Alerts
A barrage of good economic data sparked a modest rally. Industrial
production for February rose 0.4 %, more than the expected 0.2 %.
This was the biggest jump in output since June of 2000. Capacity utilization
came in at 74.8%, better than the expected 74.4%. The Michigan sentiment index
rose from 90.7 to 95, analysts were expecting a reading of 92.8, the highest
since December 2000. Lastly, Producer Price Index for February rose by an
expected 0.2 % and was unchanged at the core rate. Today’s data does point to an
end to the recession in manufacturing. For more information on today’s action, please refer to
the market
recap.
The VIX
(
$VIX.X |
Quote |
Chart |
News |
PowerRating)
opened in the top third of its range and closed right on its lows. This shift in
intraday sentiment suggests that fear is dropping. No CVR signals were triggered today. The VXN
(
$VXN.X |
Quote |
Chart |
News |
PowerRating) opened
near its highs and closed on its lows This shift in intraday sentiment also
suggests that fear is dropping. No CVR signals were triggered by the VXN either.
Volatility dropped today as the economic news pointed to a recovery in the
manufacturing sector. Not even negative news from Oracle and Merck instilled
fear in the market. However remain cautious as the VIX is again at its summer
lows.
Points of Significance:
DOW component and drug maker Merck
(
MRK |
Quote |
Chart |
News |
PowerRating)
dropped almost 6% on over triple its average volume. The shares were hammered
after Merck pulled its application for the use of Arcoxia, a drug used to treat
inflammatory conditions of the spine. There is heavy activity in the April 60
puts.
Overture Services
(
OVER |
Quote |
Chart |
News |
PowerRating) dropped
11% on double its average volume. The shares are reversing course now after
recently breaking out of a pennant. Its implied volatility is low, which could
warrant put buying.
PanAm Satellite
(
SPOT |
Quote |
Chart |
News |
PowerRating) rose
almost 6% on over double its average volume. On the weekly chart, the stock is
breaking out of a pennant. There is heavy activity in the April 22.50 and 25
calls. Its implied volatility is also low which could warrant call buying.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 20.77 | DOWN 1.25 |
NONE | 0% Below | Not at Extreme |
| VXN | 43.26 | UP 0.25 |
NONE | 1.12 % 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 |
| ESS Technology |
ESST | – 14.84 |
3178 | 781 |
| Overture Services |
OVER | – 11.55 |
6198 | 2285 |
| FLIR Systems |
FLIR | – 10.73 |
3608 | 458 |
| Pharmacia Corpl |
PHA | + 6.69 |
12154 | 3896 |
| Pan AmSat |
SPOT | + 5.81 |
5139 | 452 |
| Merck | MRK | – 5.81 |
38794 | 7405 |
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 |
| Parker Hannifin |
PH | 32.5 | 26.6 | 40.1 | 26.3 |
| American Electric Power |
AEP | 20 | 16.7 | 30.6 | 18.7 |
| Sara Lee |
SLE | 24.3 | 20.6 | 29 | 21.4 |
| AT&T Canada |
ATTC | 41 | 35 | 70.2 | 12.2 |
| ESS Technology |
ESST | 79.2 | 68.5 | 89 | 71.1 |
| Tech Data |
TECD | 57.2 | 51.1 | 63.9 | 44.1 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Imperial Chemical |
ICI | 83.6 | 107.7 | 100.1 | 33.9 |
| Regions Financial |
RGBK | 16.2 | 20.1 | 29 | 21.4 |
| Davita Inc. |
DVA | 28 | 32.5 | 61.3 | 30.4 |
| Energy Sector SPDRs |
XLE | 20.7 | 23.9 | 32.7 | 22.5 |
| Huntington Bancshares |
HBAN | 25.4 | 29.3 | 28.3 | 27.3 |
| Covance | CVD | 37.3 | 42.7 | 60.3 | 43.5 |
Please use stops on every trade!