Monday’s Options Alerts…
The markets overcame early-morning weakness and
rallied for the third straight day. Despite the unemployment rate rising to a
six-year high, the rate of job losses is slowing. For more information, please
refer to the market
recap. The VIX
(
$VIX.X |
Quote |
Chart |
News |
PowerRating) opened near the mid-point of its range and closed
near its lows of the day. The intra-day shift in sentiment
suggests that fear is continuing to head back down. No CVR signals were triggered today.
Once again, the VIX has returned to its summer lows. This low VIX reading does
suggest that complacency is setting in, as everyone is optimistic about this
year’s economic recovery. Therefore, caution is advised, as we could be near
a top. The VXN
(
$VXN.X |
Quote |
Chart |
News |
PowerRating)
opened and closed in the lower half of its range. This intra-day shift in sentiment also
suggests that fear is still declining . The VXN did not trigger any CVR
signals either.
Points of Significance:
Finisar
(
FNSR |
Quote |
Chart |
News |
PowerRating) gained over 13% today on
double its average trading volume. The company was upgraded from
“hold” to “buy” today as Credit Suisse First Boston noted
that the demand for networking equipment is holding steady and that Finisar is
building a solid backlog. Its options traded over three times its average
volume. Finisar’s implied volatility as compared to historical volatility is
somewhat low.
Travelocity.com
(
TVLY |
Quote |
Chart |
News |
PowerRating) fell over 11% on over
four times its average volume. The company lowered its fourth quarter
revenue outlook, citing lower-than-expected airline ticket sales. Travelocity did
manage to find some support at its .382 retracement
level from its November 12 low to its December 31 high. Its options traded
almost three times its average volume. Implied volatility is also low.
Implied volatilities for Halliburton
(
HAL |
Quote |
Chart |
News |
PowerRating) and
Fair Isaac
(
FIC |
Quote |
Chart |
News |
PowerRating) are at a new high. Look for short volatility strategies,
such as ratio spreads, straddles, and strangles.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 22.02 | DOWN 0.81 | NONE | 4.51 % Below | Not At Extreme |
| VXN | 46.86 | DOWN 0.21 |
NONE | 3.34 % 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 |
| Red Hat | RHAT | + 16.19 | 2892 | 1145 |
| WebMethods | WEBM | + 15.93 | 1290 | 309 |
| Finisar Corp. | FNSR | + 13.26 | 3792 | 1243 |
| Manhattan Associates | MANH | + 11.21 | 296 | 118 |
| Travelocity.com | TVLY | – 11.11 | 932 | 316 |
| BEA Systems | BEAS | + 10.88 | 20673 | 5242 |
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 |
| Halliburton | HAL | 110.8 | 91.8 | 89.9 | 45.2 |
| Solutia | SOI | 70.1 | 83.6 | 43.5 | 32 |
| Archer Daniels Midland | ADM | 33.3 | 28.8 | 43.5 | 32 |
| Roslyn | RSLN | 38.4 | 33.3 | 41.2 | 25.4 |
| Telefonos De Chile | CTC | 33.2 | 28.8 | 50.4 | 26.2 |
| Fair Isaac | FIC | 64.8 | 56.5 | 51.3 | 44 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Sovereign Bancorp | SOV | 32.6 | 38.2 | 40.3 | 33.9 |
| Modis Prof. Services |
MPS | 50.7 | 57.9 | 71.6 | 57 |
| Constellation Brands |
STZ | 30.3 | 34.69 | 49.9 | 32.4 |
| Lear | LEA | 33.7 | 38.1 | 53 | 30.4 |
| Aquila | ILA | 48.4 | 53.4 | 54.1 | 39.6 |
| Calpine | CPN | 68 | 75.6 | 119.5 | 53.3 |
Please use stops on every trade!