Tuesday’s Options Alerts…
Major
indices started off in the red this morning but closed solidly in the black.
Despite lower earnings from two key Dow components, the Dow ($INDU),
S&P 500 ($SPX),
and the Nasdaq ($COMPQ)
rallied and closed strongly. Today the VIX ($VIX.X)
opened in upper half of its range and closed near its lows for the day. It also
broke below its 10 day moving average, which suggests that some complacency is
beginning to set in. This intra-day shift in sentiment once again suggests that
fear is continuing to subside. In addition, the VIX is approaching oversold
territory which says that the market is beginning to get overbought. The VXN($VXN.X)
exhibited similar behavior as the VIX ($VIX.X)
as it too opened in the upper half of the range and closed today’s low. Just
like the VIX, this intra-day shift in sentiment also suggest that fear is
subsiding.
Points of Significance:
Enron Corporation’s (ENE)
implied volatility is at a new high. The stock is continuing to break down after
a pullback from lows. It headed lower today on six times its average volume.
Broadwing’s (BRW)
implied volatility is also at a new high. The stock headed slightly lower today
on almost double its average volume. Manhattan Associates (MANH)
gapped up on over double its average volume and broke above its 200 day moving
average today. It is also approaching its .618 retracement level at 31.02.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 33.11 | DOWN 2.73 | NONE | 6.63 % below | Not at Extreme |
| VXN | 67.36 | DOWN 1.92 |
NONE | 1.34 % 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 |
| Enron Corporation |
ENE | – 20.72 | 50202 | 13175 |
| Manhattan Associates |
MANH | + 19.03 |
1114 | 146 |
| Legato Systems | LGTO | + 15.65 | 511 | 246 |
| Terayon Communications |
TERN | + 14.09 |
2831 | 782 |
| Concurrent Computer |
CCUR | + 12.15 | 654 | 278 |
| Arch Coal, Inc. |
ACI | + 9.80 |
811 | 207 |
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 |
| Independence Community Bank |
ICBC | 66.2 | 48.1 | 73.4 | 26.3 |
| Broadwing | BRW | 102 | 82.1 | 93.4 | 49.5 |
| Enron | ENE | 94.3 | 77.4 | 74 | 38.5 |
| ImClone Systems |
IMCL | 62.4 | 51.7 | 108.3 | 52 |
| ServiceMaster | SVM | 31.9 | 26.7 | 42.4 | 21.5 |
| NBTY Inc. |
NBTY | 91.1 | 76.9 | 95.6 | 52.1 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Crompton Corporation | CK | 38.8 | 48.1 | 61.8 | 35.9 |
| Spectrasite | SITE | 99.5 | 120.1 | 150.4 | 84.4 |
| Mead Corp. | MEA | 40.2 | 48.5 | 55.6 | 27.8 |
| AT&T Canada |
ATTC | 13 | 15.6 | 41 | 10.3 |
| Manpower Inc. |
MAN | 40.8 | 48.4 | 49.7 | 27.7 |
| AK Steel | AKS | 50.4 | 59.4 | 60.5 | 39.8 |
Please use stops on every trade!