Monday’s Option Alerts

  • April 25, 2003
  • Chris Tyler

Since we last left off,
investors have pared down their holdings. The
green pastures have been neatly trimmed down to price supports in the SPY, while
the DIAs are still trying to bloom underneath the the weight of the March and
April highs. Volume though relatively heavy the past two sessions, hasn’t
matched up to the enthusiastic bids found on the way up.

The VIX has barely budged, and has given the
10-Day moving average the opportunity to play catch up. This action has our
volatility index not looking as stretched as it has during the past two weeks.
I’ll say it again because I think it’s worth repeating, especially since we have
seen some very nice percentage retracements in many products, and that is: risk to reward has been skewed in favor of trading
the market action with some exceptional value, courtesy of the “implieds”.
Straddles, strangles, gamma trading your favorite product, and possibly outright
option positions, in the context of a well defined stop loss methodology,
continue to rule the day.

Points of Significance:

Volatility
Index		 Close Net
Change		 Signals/Direction %
Above/Below 10 Day Moving Average		 Significance
VIX 23.89 Up
.60		      
CVR 2 SELL		 4.36%
Below 		 Not
At Extreme
VXN 33.70 Up
.02		        
CVR 2,6 SELL		 5.92%
Below
Not At Extreme

 

Abnormal Options Volume — This list
includes both percentage movers that are normally associated with an increase in
options activity, as well as stocks that have unusually high activity and / or
technical situations,
reflecting increased speculation of a potential price move.

Name Symbol Net
% Change		 Volume Avg.
Volume
Intuit 
INTU		        -4% 14409 4129
Synopsys
SNPS		        -3% 3713 875
Amdocs
DOX		        -1% 3141 480

 

Stocks With Spikes in Implied
Volatility — Stocks with Increases and Decreases in implied
volatility compared to previous day. Candidates are then screened qualitatively.
These lists represent those issues that carry a blend of liquidity and/or
technical setups that might deserve further notice. 

Spike Up

Name Symbol IV Previous
IV		 High
IV		 Low
IV
Lennar
LEN		 80 54 65 33.3
Manhattan
Associates
MANH		 60 54.5 115 58.4

Spike Down

Name Symbol IV Previous
IV		 High
IV		 Low
IV
Zoran
ZRAN		 51 61 99 59.4
Mentor
Graphics
MENT		 55.5 63.3 127 56

Please use stops on every trade!