Wednesday’s Options Alerts
Following
yesterday’s CVR
I signal, the markets posted a modest rally today. The VIX opened near the
top of today’s range and closed near the bottom of the range. This intra-day
shift in sentiment signifies that fear is continuing to subside in the market.
Likewise, the VXN also exhibited the same behavior as it too opened at the upper
half of its range only to close near the bottom.
| Volatility Index |
Close | Net Change |
Signals/Direction | % Above/Below 10 Day Moving Average |
| VIX | 37.36 | DOWN 2.14 | NONE | 0.89 % Above |
| VXN | 66..01 | DOWN 2.23 |
NONE | 0.59 % Under |
Abnormal Options Volume With Price Movement
– Abnormal options volume (calls and puts) with stock price movement
| Name | Symbol | Net % Change |
Volume | Avg. Volume |
| Broadwing | BRW | – 24.98 | 2877 | 888 |
| Cooper Industries |
CBE | – 10.40 |
24052 | 6167 |
| SeaChange Int’l | SEAC | + 10.36 | 244 | 77 |
| Charles Schwab |
SCH | + 10.00 |
4494 | 1880 |
| Express Scripts | ESRX | – 9.89 | 1945 | 203 |
| Titan Corporation |
TTN | + 9.35 |
7368 | 1471 |
Stocks With Biggest Spikes in Implied
Volatility – Stocks with biggest increases or decreases in implied
volatility compared to previous day.
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| United Therapeutics | UTHR | 52.9 | 105.6 | 136.1 | 67.8 |
| ImClone Systems |
IMCL | 49.6 | 77.1 | 112.0 | 52.0 |
| Cooper Industries | CBE | 91.4 | 69.3 | 67.8 | 31.1 |
| TV Azteca | TZA | 64.2 | 85.3 | 94.7 | 55.7 |
| Heller Financial CL A | HF | 11.3 | 14.7 | 48.4 | 9.2 |
| TD Waterhouse |
TWE | 32.2 | 41.0 | 66.3 | 46.9 |
Sectors With Biggest Spikes in Implied
Volatility – Sectors with the biggest increases or decreases in implied
volatility compared to previous day.
| Name | Symbol | IV | Previous IV |
High IV |
Low IV |
| S&P Retail Index | RLX | 32.4 | 36.9 | 36.9 | 22.1 |
| AMEX Consumer Index |
CMR | 22.3 | 25 | 30.2 | 14.6 |
| Morgan Stanley Cyclical Index |
CYC | 35 | 38.3 | 36.3 | 20 |
| AMEX Oil Index |
XOI | 29.1 | 31.6 | 30.3 | 19.3 |
| AMEX Hong Kong Index |
HKO | 34.5 | 37.4 | 43.8 | 22.2 |
Best of luck with your trading. Please use protective stops on every trade.