Thursday’s Options Alerts

  • April 9, 2003
  • Chris Tyler

After the latest euphoric bid
in the market, due to the emotional response of investors cheering on  the toppling of Saddam’s statue,
 the ETFs got a grip on reality, and
maybe gravity as well, and decided to head towards
lower supports in Wednesday’s trade.
 Today’s action thankfully brought
about some intraday volatility, although the 1 level volatility bands were still hard
pressed to trigger. With the indices reversing course though, the markets
finished down between 1 and 2 percentage points, and into an area of support
that just might hold a bull on all fours, at least temporarily.  

Signals are now triggering in the VIX and VXN as
we close out the session at the first level of price supports in the ETFs. More
significant levels are about a percentage point lower, but today’s action off
this uppermost range of support, along with intraday technical setups in the
form of 1,2,3 have our little “delta neutral strategy” taking in some
of our short stock near closing prices. So far this has produced essentially
breakeven results, but with the first hedge now off the table, tomorrow should
provide our first opportunity to realize some gains, with still seven trading
days left to play the position. With the hammer off the volatility bands in the
VIX, I would love to push the envelop so to speak, but a little bit of the
prudent man at work, along with respecting price and volume first will always
keep us spread, and ahead.

Points of Significance:

Volatility
Index		 Close Net
Change		 Signals/Direction %
Above/Below 10 Day Moving Average		 Significance
VIX 30.91 Up
1.32		      
CVR 1,2,5,6 SELL		 2.92%
Below 		Not
At Extreme
VXN 41.45 Up
.53		        
CVR 2,6 SELL		 1.85%
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
Yahoo 
ADI		        -4% 67980 21700
Electronic Data Systems
EDS		        -2% 9202 2446
Cheesecake Factory
CAKE		        -1% 1934 385

 

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
Accredo
Health
ACDO		 73.2 65 72 44.2

Spike Down

Name Symbol IV Previous
IV		 High
IV		 Low
IV
Altria
MO		 65.2 71.5 69.6 20.1

Please use stops on every trade!