Tuesday’s Options Alerts
The stock market started the week with a bang
as
major market averages rallied sharply across the board. The biggest news of the
day was the formal announcement of Amgen
(
AMGN |
Quote |
Chart |
News |
PowerRating) acquiring Immunex in a $16
billion cash and stock deal. Other biotech issues were strong today, as many were
being added to the Nasdaq 100 index
(
$NDX.X |
Quote |
Chart |
News |
PowerRating). Among them are Imclone Systems
(
IMCL |
Quote |
Chart |
News |
PowerRating), Protein Design Labs
(
PDLI |
Quote |
Chart |
News |
PowerRating) and Sepracor
(
SEPR |
Quote |
Chart |
News |
PowerRating). The VIX
(
$VIX.X |
Quote |
Chart |
News |
PowerRating) opened
at the high of the day and closed in the lower half of its range. Once again,
this intraday shift in sentiment
suggests that fear is decreasing. The VIX did not trigger any CVR signals
today. The VXN
(
$VXN.X |
Quote |
Chart |
News |
PowerRating) also opened at its high, but closed near the lows
of the day. This intraday shift in sentiment is also telling us that fear is
decreasing. The VXN did not trigger any CVR signals either. Both volatility
indices headed lower today as investors digested and welcomed the news on this
“Merger Monday.”
Points of Significance:
Sirius Satellite Radio
(
SIRI |
Quote |
Chart |
News |
PowerRating) shot up almost
25% today, moving up in sympathy with the upgrade of XM Satellite Radio
(
XMSR |
Quote |
Chart |
News |
PowerRating).
SIRI did manage to pierce above its .382 retracement level from its May 17 high to its November
7 low, but closed beneath it. There is heavy volume in
the January 7.50 calls. Nuance Communications
(
NUAN |
Quote |
Chart |
News |
PowerRating) fell over 18% today on
11 times its average trading volume. The company announced that their CFO Graham
Smith will resign effective Jan. 4, 2002. Entrust
Technologies
(
ENTU |
Quote |
Chart |
News |
PowerRating) jumped 11% today to close at a multi-month high. No
news was cited. However, its options did trade almost three times its average
volume. There is heavy activity in the January 10 calls. Visionics
(
VSNX |
Quote |
Chart |
News |
PowerRating)
is pulling back from recent highs. Its implied volatility is also at a new high.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 25.43 | DOWN .54 | CVR V BUY | 0.004 % Below | Not At Extreme |
| VXN | 51.07 | DOWN 1.72 |
NONE | 1.96 % 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 |
| Sirius Satellite Radio | SIRI | + 24.59 | 2595 | 360 |
| Nuance Communications | NUAN | – 18.36 | 847 | 147 |
| Immunex | IMNX | + 13.42 | 22124 | 6962 |
| Entrust Technologies | ENTU | + 11.41 | 648 | 221 |
| Geron | GERN | + 11.17 | 898 | 265 |
| Qwest Communications | Q | + 9.00 | 7913 | 3303 |
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 |
| Visionics | VSNX | 137.1 | 115 | 119 | 96.5 |
| Smurit-Stone Container | SSCC | 51.4 | 43.3 | 69.1 | 34 |
| AK Steel | AKS | 63.1 | 53.8 | 60.5 | 39.8 |
| Pepsi Bottling Group | PBG | 34.5 | 29.8 | 37.6 | 29.7 |
| Mirant | MIR | 104.2 | 90.1 | 80.7 | 48.9 |
| Raytheon | RTN | 41.8 | 36.3 | 53.3 | 36.9 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Immunex | IMNX | 44.8 | 74.1 | 78.9 | 57.3 |
| Progress Energy |
PGN | 20 | 26 | 26.7 | 17.9 |
| Pharmacyclics | PCYC | 108 | 135.7 | 155.4 | 71.2 |
| Niagara Mohawk |
NMK | 21.3 | 25.8 | 36.2 | 20.6 |
| Northeast Utilities |
NU | 25.7 | 31 | 30.8 | 24.3 |
| Sherwin Williams |
SHW | 34.4 | 40.7 | 40.4 | 25.7 |
Please use stops on every trade!