From my last post we were staring down the barrel of a potentially shattering event in Japan. What I took from that was the serious rally in Treasuries was going to be short lived if (a big if but I thought) the events in Japan were blown out of proportion. The media helped us out there and thankfully things did not get worse then they already were. So the current meltdown I can live with is in implied volatility. Let’s take a look at how that spreads out over an AlphaVision Landscape.
The view I chose here is 1 Week Change in Stock and Option Implied Volatility pricing. Height is the change in 1 Week 30 Day Implied Volatility. Note you do not see many buildings sticking up. By and large there was a collapse in this measure. The next landscape data point (color) is change in price. Any name in red sticking up has higher implied volatility and lower prices than last week.
At Aqumin we call this a ‘parking lot’ because it is so one sided. When a name like Centerpoint Energy Inc (CNP) sticks out I take notice. The implied volatility held up and the stock is up, which is pretty rare in the 3000+ optionable names you see in the landscape. Maybe the little rally in CNP has some legs…
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