Monday’s Options Alerts…

  • January 11, 2002
  • TradingMarkets Editors

Greenspan’s cautious remarks about health of the
economy dragged the major market averages lower. Mr. Greenspan commented that
the U.S. economy faces “significant risks in the near term.” Ford’s
announcement of a 10% workforce reduction also weighed on the market. For more information
on today’s action, please
refer to the market
recap. The VIX
(
$VIX.X |
Quote |
Chart |
News |
PowerRating) opened and closed in the lower half of its
range.
This intra-day shift in sentiment
suggests that fear is increasing. No new CVR signals were triggered today. The VXN
(
$VXN.X |
Quote |
Chart |
News |
PowerRating)
opened near its highs and closed near the lows of the day. This intra-day shift in sentiment also
suggests that fear is declining. The VXN did not trigger any CVR signals today.

Points of Significance:

Cree Inc.
(
CREE |
Quote |
Chart |
News |
PowerRating) dropped 23% on over eight
times its average volume. The stock was hit hard as it reported earnings of
eight cents per share versus analysts expectations of nine cents per share.
Revenues of $41 million fell short of the expected $43.5 million estimate. The
shares have now fallen below their .50 retracement level from the October low to
the January high. There is heavy activity in the January 25 calls, January 25
puts, and January 30 puts. Its implied volatility is somewhat low, which could
make it suitable for option purchases.

Microtune
(
TUNE |
Quote |
Chart |
News |
PowerRating) dropped 10% on average
volume. No specific news was cited. Microtune’s options traded over double its
average volume today. There is heavy activity in the January 25 puts. Its
implied volatility is low. Look for long volatility strategies such as
backspreads and outright option purchases.

IGEN International
(
IGEN |
Quote |
Chart |
News |
PowerRating) gained 10% on
almost 22 times its average volume. Late Thursday a jury awarded the company
$505 million in damages in a breach of contract case against Roche Diagnostics.
IGEN shares are at a level not seen since April of 1998. IGEN’s options traded
over four times its average volume. Its implied volatility is quite high. Look
for short volatility strategies.

Tyco International
(
TYC |
Quote |
Chart |
News |
PowerRating) dropped five percent
on over double its average volume. The company denied rumors that they are
interested in buying Honeywell International
(
HON |
Quote |
Chart |
News |
PowerRating). It options traded over
double their average volume.

Volatility
Index		 Close Net
Change		 Signals/Direction %
Above/Below 10 Day Moving Average		 Significance
VIX 23.98 UP
0.85		 NONE 4.49
% Above		 Not At Extreme
VXN 48.44 DOWN
0.22		 NONE 1.83% 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
Cree CREE – 23 5146 1923
Microtune
Inc.		 TUNE – 10.93 881 327
IGEN International IGEN + 10.65 12736 2753
Sanmina SANM – 8.84 11817 2286
Genta Incorporated GNTA – 8.57 2012 986
Tyco
International		 TYC – 4.95 45462 19435

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
Textron TXT 50.4 31.3 51.7 27.9
Telefonos
de Mexico		 TMX 34.9 25.5 40.3 17.1
Tyco Int’l TYCO 44.5 35.9 53.3 28.7
C.R.Bard BCR 52 43.5 53.2 28
99 Cents Only Stores NDN 47.4 39.8 50.2 40.9
Istar
Financial		 SFI 20.1 17.8 27.8 20.3

Spike Down

Name Symbol IV Previous
IV		 High
IV		 Low
IV
IGEN
International		 IGEN 65.8 112.8 99.9 69.4
Dal-Tile
International		 DTL 24.1 35.2 32.3 27.1
Niagara
Mohawk Power		 NWK 20.8 25.9 36.2 21.6
Expedia
Inc.		 EXPE 47.8 57.2 100.2 49.7
Keyspan KSE 20.7 24.3 31.7 22.1
Universal
Health Services		 UHS 38.4 43.5 54.3 40.9

Please use stops on every trade!