Wednesday’s Options Alerts
Stocks broke a three day win streak and finished
modestly lower on this last trading day of the the year 2001. The VIX
(
$VIX.X |
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PowerRating) opened
in the lower third of its range and closed near its highs for the day. The intra-day shift in sentiment
suggests that fear is creeping back up. No new CVR signals were triggered
today. After hitting four-month lows last week, the VIX is now starting to work off
its overbought condition. The VXN
(
$VXN.X |
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PowerRating) opened near the midpoint of
its range and closed near its high of the day. This intra-day shift in sentiment also
suggest that that fear is returning. The VXN triggered both a CVR
II and VI sell signals today. The VXN also appears to be starting to
work off the overbought condition.
Points of Significance:
ImClone Systems
(
IMCL |
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PowerRating) lost over 15% today
on over eight times its average trading volume. ImClone shares were hit sharply
as the FDA refused to accept the company’s application to sell its highly anticipated
colon cancer drug, Erbitux.
IDT Corporation
(
IDT |
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PowerRating) started the day higher,
but then reversed course to close at its lows. There is somewhat heavy volume in the January
20 puts.
Hanover Compressor
(
HC |
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PowerRating) broke down from a base
today on triple its average volume. Its implied volatility has gone to a new
high. Also implied volatilities for Ultramar Diamond Shamrock
(
UDS |
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PowerRating),
Financial SPDRs
(
XLF |
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PowerRating), Alvarion
(
ALVR |
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PowerRating), and Dal-Tile
(
DTL |
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PowerRating) have
gone to new lows. Start to look for long volatility strategies.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
Significance |
| VIX | 23.29 | UP 0.79 | NONE | 0.009 % Below | Not At Extreme |
| VXN | 47.17 | UP 1.41 |
CVR II, VI SELL |
4.22 % 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 |
| ImClone Systems | IMCL | – 15.90 | 21541 | 5668 |
| PMC-Sierra | PMCS | – 6.67 | 19750 | 6888 |
| Lumenis LTD | LUME | + 6.02 | 1575 | 279 |
| Hollywood Entertainment |
HLYW | – 5.36 | 3924 | 321 |
| IDT Corp. | IDT | – 3.55 | 1019 | 154 |
| Arris Group | ARRS | + 3.49 | 420 | 109 |
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 |
| Host Marriott Corp. | HMT | 55 | 41.7 | 78.6 | 30.5 |
| Plum Creek Timber | PCL | 25.1 | 20.2 | 45 | 21.5 |
| Allied Capital | ALD | 21.8 | 17.8 | 30 | 21.8 |
| Manpower Inc. | MAN | 35.2 | 29.4 | 49.7 | 27.7 |
| Hanover Compressor | HC | 70 | 59.7 | 58 | 43.8 |
| Sequenom | SQNM | 94.5 | 83 | 103.2 | 68.6 |
Spike Down
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| Ultramar Diamond Shamrock |
UDS | 6.5 | 10.1 | 35.8 | 19.4 |
| Financial Sector SPDRs |
XLF | 19.6 | 23.9 | 41 | 20.7 |
| Alvarion | ALVR | 114.4 | 137.5 | 139.7 | 117.2 |
| Edision International |
EIX | 38.4 | 45.8 | 77.5 | 42.4 |
| Expedia | EXPE | 53.9 | 62.7 | 100.2 | 49.7 |
| Dal-Tile International |
DTL | 25 | 27.9 | 32.3 | 27.1 |
Please use stops on every trade!