Wednesday’s Options Alerts

  • March 11, 2003
  • Chris Tyler

Like impetuous school children
the VIX and VXN are going along for the ride…albeit grudgingly. As
the ETFs logged a distribution day in today’s session, as well as the second day
in a row of selling which translates into the breaking of recent price supports
for two of the three (SPYs and DIAs) proxies, our two sentiment indicators have
picked up and moved away from trading range supports. Thus far that’s as
“extreme” as it gets as the two gauges of fear have still failed to
confirm the move below price supports in the equity indices. Stubborn, aren’t
they?

Will they, or won’t they? I personally believe
that these two indices are poised to follow, which when they do, should coincide
nicely with an oversold condition from which to spread from. We’re not there
yet, and so far with only a CVR I Buy in the VXN, the signals, or lack thereof,
also suggest sitting tight. The October Lows are a nice target from which to
frame spread entries, as both the DIAs and SPYs are within 5% of these levels.
With volume picking up in today’s session, the ingredients necessary for a solid
reversal entry are starting to appear. As we approach “supports”,
remember its price, volume, and being able to see the whites of their eyes, in
conjunction with spreads, that ultimately dictate the appropriate time to
execute, and not the “number” itself.

Points of Significance:

Volatility
Index		 Close Net
Change		 Signals/Direction %
Above/Below 10 Day Moving Average		 Significance
VIX 38.24 Up
+.39		       
NONE		 6.26%
Above 		Not
at Extreme
VXN 47.36 Up + .33       
CVR I		 2.59% Above 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
Genentech 
DNA		        
-6%		 10924 1861
Intuit
INTU		        +1% 10,485 2408
Advance PCS
ADVP		        -1% 5218 1479

 

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
Apollo
Group
APOL		 34 31 58 31.6
Silicon
Laboratories
SLAB		 66.7 60 103 58.3

 

Spike Down

None Today.

Please use stops on every trade!