Wednesday’s Options Alerts…

• October 23, 2001
• TradingMarkets Editors

Following
yesterday’s rally, stocks were slightly lower today after receiving confirmation
that two postal workers died from anthrax. The Dow ($INDU.X)
and S&P S&P 500 ($SPX.X)
were in the red the majority of the day while the Nasdaq ($COMPQ)
spent most of the day in the black only to head lower during the final hour of
trading. Today the VIX ($VIX.X)
opened and closed in the top half of its range for the day. There was no
significant intraday shift in sentiment today. However the VIX is still near
oversold levels, which means that the market is getting close to being
overbought. On the other hand, the VXN ($VXN.X)
exhibited the opposite behavior as it opened at the top of today’s range and
closed near the bottom. Today marks the third day in a row as that the VXN has
opened near the top, only to close near the bottom of its range. Once again this
intraday shift in sentiment continues to suggest that fear is continuing to
subside. On another note, the VXN broke below its 10 day moving average which is
further evidence that fear is subsiding at least for Nasdaq stocks.

Points of Significance:

Silicon Laboratories (SLAB)
gapped up on over four times its average daily volume. Pharmacia (PHA)
gapped down below its 50-and 20-day moving averages on four times its average
daily volume. It also traded over 10 times its average contract volume. H&R
Block (HRB)
continues to head lower today; the stock dropped $2.92 on triple its average
volume. Its implied volatility is also at a new high. Cincinnati Financial’s (CINF)
implied volatility is approaching its high side. Cincinnati is trading in a head
& shoulders top and it broke its 200-day moving average today.

 

Volatility Index	Close	Net Change	Signals/Direction	% Above/Below 10 Day Moving Average	Significance
VIX	33.19	UP .08	NONE	5.66 % Below	Not at Extreme
VXN	63.73	DOWN 3.63	NONE	3.76 % 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
FreeMarkets	FMKT	– 25.78	3125	461
Silicon Laboratories	SLAB	+ 13.73	723	209
Administaff	ASF	+ 12.64	391	146
Pharmacia	PHA	-10.21	26626	2463
Cubist Pharmaceuticals	CBST	– 8.88	1667	588
Block (HR) Inc.	HRB	– 8.17	6453	2520

 

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
Block (HR) Inc.	HRB	56.3	48.9	43.4	27.5
Cincinnati Financial	CINF	32.6	28.4	35.6	24.4
Cardinal Health	CAH	35	30.7	41.2	25.8
Royal Caribbean Cruise	RCL	108.7	96	92.6	38.4
Eclipsys Corporation	ECLP	76.5	676	103.5	57.1
Avaya Inc.	AV	55.3	49.2	77.4	51.3

Spike Down

Name	Symbol	IV	Previous IV	High IV	Low IV
Zion Bancorp	ZION	30.8	39.5	42.6	21
C H Robinson Worldwide	CHRW	32.6	39.3	53.1	25.6
Telefonos de Chile	CTC	30.2	35.9	50.4	26.2
SEI Investment Companies	SEIC	54.8	64.5	90.1	40.9
Energy SPDR	XLE	25.6	30.1	32.7	17.2
AT&T Canada	ATTC	12.6	14.7	41	10.3

 

Please use stops on every trade!