Friday, April 29, 2011

$BIIB Aqumin Midday Update 04/29/2011

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

Midday View BIIB 04292011

Focus: Healthcare

BIIB is down .26% for the day. The Healthcare sector for the S&P 500 has outperformed earnings estimates easily for this cycle. BIIB is up 34% for the month but only surprised on the upside by 1.3% in Earnings per Share.

Use the EPS Surprise View in AV for Bloomberg to identify stocks with similar moves.

Thursday, April 28, 2011

Aqumin Volatility Newsletter 04/28/2011 - $SC0 $CRDN

The big bounce yesterday in Silver, which seems to be on a lot of minds, made me want to look at some of the Commodity ETF’’s to find a story that might not have caught the attention of everyone yet. The crazy metal frenzy should show up in a somewhat predictable way. I thought it would be instructive to view how the market is pricing volatility for some of the more popular Commodity ETF’s to see what pops out. Next to follow is a look at a post earnings stock to see if there are any opportunities in the current volatility pricing for that name.

The views created were out of AlphaVision for Bloomberg using the 2300 actively traded options universe.

ETF Focus

First looking at the AlphaVision Landscape detail you notice the Commodity BICS Industry group is mostly flat and green. That means the Proshares Ultra Silver Fund (AGQ) was leading the group (43 points) in 30 Day Implied Volatility running higher than the 60 Day Trailing Historical Volatility (Dark Green) and was pretty much flat for the week as far as where it started and where it ended stock price-wise. The ProShares Ultrashort Silver ZSL was a close second. The march higher in Silver is pushing implied volatilities way above their 60 Day Historical and it looks like the market is expecting bigger moves. This is speculative paper jumping into the mix in a big way.

ETFs4-28-11

Let’s contrast that with the ProShares UltraShort DJ-UBS Oil ETF (SCO) which sits at the opposite end of the spectrum and has been grinding down steadily since the beginning of the year as Oil has steadily wound up. The Implied Volatilities are much more in line with the 60 Day Historical and provide a better value for a pure long option play in the Oil arena. A big reason for this is volume. The ZSL trades 15k contracts (the hot name) per day and the SCO trades a little more than 500. If you can grab some contracts in the SCO, this might be the play for some cheaper options to play the Commodity Craze.

Equity Focus

Using the same view in AV for Bloomberg let’s look at a different segment of the Equity Market in Miscellaneous Manufacturing. In the selected name the 30 Day Implied Volatility is much less than the trailing 60 Day Historical. Like the ETF’s just mentioned, relatively flat for the week even though there was an up and back move to get there.

Equities4-28-11

When you look at Ceradyne Inc. (CRDN) the name had the biggest differential in 30 Implied Volatility and 60 Day Historical Volatility. Since a relatively solid earnings report the CRDN has pulled back some now might make a better candidate for a vertical or ratio call spread that is long the more at money option to pick up the volatility movement. The shorter term historical volatilities are starting to pull the 60 day Historical Volatility down (chart on the right) which makes that type of spread a better candidate to fit the current action.

Tuesday, April 26, 2011

$QPSA Aqumin Opening Update 04/25/2011

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

Opening View QPSA 04262011

Focus: INTERNET

QPSA is UP 5.7% this morning at 11:21 am ET on no news. QPSA 30 Day Implied Volatility is up 21.45 pts for the Week. QPSA is up 49% in price for the last week and leads the Internet SubSector.

Use the One Week Change in Stock and Option Volatility View in the View Library in AV Pro to follow the morning activity and throughout the day.

Monday, April 25, 2011

$UTEK Aqumin Midday Update 04/25/2011

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

Midday View UTEK 04252011

Focus: Semiconductors

UTEK is up 11.7% for the day on news of analysts’ upgrades. UTEK’s 30 Day Implied Volatility is trading 70% of the trailing 30 day Historical Volatility.

Use the Option Volatility Outpacing Stock Volatility View in AV Pro to identify stocks with similar implied volatility moves.

Thursday, April 21, 2011

$UNH Aqumin Opening Update 04/21/2011

 

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

Opening View UNH 04212011

Focus: Healthcare Services

UNH is UP 9.7% this morning at 9:44 am ET on reported earnings above expectations. UHN Jun 20 delta puts are trading 27% over trailing 30 Day Historical Volatility. The Healthcare SubSector was number #3 in performance this morning.

Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day.

Wednesday, April 20, 2011

Aqumin Volatility Newsletter 4/20/11 $AMZN and $VXX

There are strange days and there are stranger days. S&P cuts the outlook to negative for US sovereign debt and the VXX tanks 4.8%. Either the market does not put much stock in the ratings any more or the Federal Government now has to do something. Most likely it is a bit of both but either way it is not a positive outlook. At some point the bond market will decide on the appropriate level of spending. This short report will look at interesting volatility buying opportunities because even if the market yawns on bad news, I would rather look for cheaper options to buy.

ETF FOCUS

The nice thing about options on ETF’s is you can dial the strategy for literally any securities segment. Using AlphaVision you see all ETF’s that trade options in one, easy updating 3D chart. What I like most is you can see both action, note the drop in Aqumin’s AlphaVision Landscape in the VXX below, and non-action like the FAS and the FAZ (very flat which means little movement on Tuesday). The red color and the order (row in the back) here mean these names are close to their 30 Day Implied Volatility lows of the year and relative to the rest of the traded ETF’s, lowest of the group.

ETFs 

THE Direxion Daily Financial Bull 3x ETF (FAS) and the Direxion Daily Financial Bear 3x ETF (FAZ) are both trading near lows for the year in 30 Day Implied Volatility even with the US Treasuries’ negative outlook. Buying longer dated premium in these fast moving ETF’s would provide a nice hedge (at a nice entry point) for whatever may come.

Also of note is the iShares FTSE/Xinhua China 25 Index (FXI) in the dead back of the back. More on this name after the equity focus.

EQUITY FOCUS

The Google crash was a bit of an eye opener in Internet stocks. It is hard to believe GOOG is considered “old tech” but here is an Aqumin Landscape to show why. The set up in our 3D chart has green towers showing stocks trading farther away from 1 year highs in 30 Day Implied Volatility. The green means the volatility is relatively cold (low) (all though REDF is bit of a data outlier with short trading history) the red (high) means the volatility is relatively hot. Most of the Hot Names are in the Chinese Internet area with both the stocks and implied volatility flying. The building heights are the relative values of the moves on Tuesday (note GOOG still moving but cheaper implied volatility). You can contrast this with the FXI above where the Chinese Blue Chip type stocks are hitting Implied Volatility lows (a lower risk way to enter that market with not a single Chinese Internet stock in the index).

Equities

After a bit of clicking in the landscape I saw Amazon trading well off of its highs and still sports a pretty high P/E multiple. Outside of both GOOG and AMZN, paper is definitely bidding up the volatility in the hotter Chinese Internet names and drifting away from a couple of older Internet players. I will stick with buying the cheaper options in both GOOG and AMZN for now since it does not take much to make one of these names move.

Tuesday, April 19, 2011

$PWRD Aqumin Opening Update 04/19/2011

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

opening view PWRD 04192011

Focus: Internet

PWRD is UP 6.3% this morning at 10:00 am ET. PWRD is up solidly, trading almost an entire day’s option volume in the first 30 minutes after the open. The Internet SubSector was number #2 in performance this morning.

Use the Abnormal Option Volume View in the View Library in AV Pro to follow the morning activity and throughout the day.

Monday, April 18, 2011

$CYH Aqumin Opening Update 04/18/2011

 

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

Focus: HEALTHCARE SERVICES

opening View CYH 04182011

CYH is down 8.0 % this morning at 10:41 am ET. CYH shows the largest relative move of any Healthcare Services Stock at 2x 1 Standard Deviation. CYH is already trading 1.3x it Average Daily Option Volume.

Use the Abnormal Option Volume View in the View Library in AV Pro to follow the morning activity and throughout the day.

Friday, April 15, 2011

$AGO Aqumin Midday Update 04/15/2011

 

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

Mid Day View AGO 04152011

Focus: Insurance

AGO is up 24.5% for the day on news of a $1 Billion settlement with BAC. Today’s move in AGO is 6x 1 Standard Deviation and the name is trading 9x normal daily option volume.

Use the Abnormal Option Volume View in AV Pro to identify stocks with similar implied volatility moves.

Thursday, April 14, 2011

$GDOT Aqumin Opening Update 04/14/2011

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

opening View GDOT 04142011

Focus: Commercial Services

GDOT is down 1.0 % this morning at 9:41 am ET. GDOT shows the most 25 Delta Skew in the 2nd Expiration Month of any stock in the Commercial Services SubSector. The 25 Delta Skew is 10.29 pts. in GDOT.

Use the Largest Skew View in the View Library in AV Pro to follow the morning activity and throughout the day.

Wednesday, April 13, 2011

Aqumin Volatility Newsletter 04/13/2011 - $SCO $AMR

I am changing up the format a bit for the Aqumin Blog. This newsletter format picks up more of the activity I see using AlphaVision. My focus will be on interesting ETF’s and Equities based on market activity that normally would not make the cut of most active Option Classes but have noteworthy action. Having additional color (pardon the pun) in some of these names should help investors looking to use options for hedging or initiating a position. Essentially, I want to identify groups that are out of favor (or very in) to see if there is any interesting option pricing with the underlying moves. From 15 years of floor trading I noticed securities don’t run in one direction forever and AlphaVision is great at bringing names into focus that are normally off of the radar.

ETF Focus

I used the simple Opening View in AlphaVision on April 12th. This gives me a sense of what the underlying ETF’s are doing at any given point in time. In the screenshot below you notice a few green spiky buildings in the corner of the Commodity Fund SubSector. The SCO, the ProShares UltraShort DJ-UBS Crude Oil ETF, was up nearly 6% as oil prices sank.

4-13-11 ETF Price

Now let’s look at the options on the SCO in the Option Landscape. The big spiky options are expiring in April so I will leave them out for this discussion. Mostly you see stubby white buildings in the May expiration cycle. The Mid Point implied volatility (60.78%) is tracking about 11% over the 30 Day Historical Volatility. To me this means there is really no active selling of options in these levered, inverse Commodity ETF’s (DNO and GLL are showing similar patterns) and you have to pay up a little to own options in these names right now. Even with the little pop, the call sellers are not there yet.

4-13-2011 ETF Options

Equity Focus

The big gainer yesterday was the Airlines. With names like UAL, AMR, LCC, DAL and ZNH rallying on the hope of lower oil prices. Most of these names are down 25%-40% since the beginning of the year as the market fears the crude oil price hikes are going to erode profitability. The landscape below shows them far and away rallying and the force of the pop looks like a bounce off of the bottom for these names. The dark green buildings are showing big moves next to the #2 Performing SubSector, Cosmetics/Personal Care.

4-13-11 Airlines Price

If you are looking at an opportunistic entry point for the Airlines, let’s take a look at the options.

4-13-11 Airlines Options

For the name I have selected, AMR, you notice the Option Landscape is greener than the ETF Option Landscape above. This means the option implied volatility (59.49%) is priced at a higher premium to the 30 Day Historical Volatility. With the Airlines in a total funk the underlying movement slows down making the options more expensive on a relative basis. For investors looking at the 3 month decline in the Airlines stock prices as an opportunity, the more expensive puts look like a better play for the long side and lower equity entry points. Most of the big Airlines report in the middle of the May Expiration cycle.

Tuesday, April 12, 2011

$ZHN Aqumin Opening Update 04/12/2011

 

This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.

opening view ZNH 04122011

Focus: Airlines

ZNH is up 7.3% this morning at 10:15 am ET am most airlines are rallying on falling oil prices. Airlines are the #1 performing SubSector this morning.

Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day.

Thursday, April 7, 2011

$LEN Aqumin Midday Update 04/07/2011

 

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

midday view LEN 04072011

Focus: Home Builders

LEN is up .87% for the day. The Home Builders are the #1 performing SubSector today. LEN is the homebuilder with Implied Volatility closest to its IV30 low of the year.

Use the Cheap Implied Volatility View in AV Pro to identify stocks with similar implied volatility moves.

Wednesday, April 6, 2011

$EBIX Aqumin Midday Update 04/06/2011

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

mid day view Ebix 04062011

Focus: SOFTWARE

EBIX is down 4.5% for the day and is one of the worst performers in the Software subsector today. EBIX At the Money Implied Volatility is up 6.2 points today.

Use the 1st Month IV and Stock Price Change View in AV Pro to identify stocks with similar implied volatility moves.

Tuesday, April 5, 2011

So Texas Instruments buys National Semi, who knew?

After a one week hiatus I am back with another observation through my 3D prism. One thing that is getting some press, besides the NSM takeover, is the lack of participation of Technology Stocks in our little rally. While there is plenty of bad news (Libya, Oil, Japan, etc.) and good news (corporate profits, reduced Federal spending…well maybe) which has been extreme over the last three years I find the end of the old school Technology stock interesting.

Drumming up trading ideas for TheStreet.com’s Options Profits has been good for keeping my nose to the market grindstone. One of the best things about AlphaVision is mixing and matching scale and time. Also, I like quoting in Implied Volatility as it gives a better sense of what is going on in the options for a particular name. For instance, in the Aqumin Landscape (www.aqumin.com) below the height of each building is the last One Month Price Change. The Sectors on the right are up the most on average over the last month and the Sectors on the left are up the least (note Tech as a Sector is dead last). The Funds Sector (for ETF’S) is right in the middle. Now let’s look at color and there is a sea of red. That means the 30 Day Implied Volatility is down for the last week in most of the market and in almost every ETF that trades over 200 contracts per day (the Funds Sector in the foreground). My eye was drawn to check out the ETF’s because there simply was almost nothing with increasing 30 Day Implied Volatility over the last week.

4-5-2011 10-57-38 AM What are the two ETF’s with positive implied volatility changes right in front? #1 is the ProShares UltraShort Yen (YCS) at 2.6 and #2 is the Semiconductor HLDRS (SMH) at .88. The YCS is a different story for me right now and a further volatility investigation might be worthwhile. But the SMH looks interesting as it is down 4.2% for the month and the implied volatility has held up in the overall crush. The 30 Day Implied Volatility in the SMH actually has popped a bit off of the near term bottom. Maybe there are some other larger bottom fishers out there buying options who think that at least part of the Technology Sector is at a spot to dip a toe in. Texas Instruments already did.

Monday, April 4, 2011

$VHC Aqumin Midday Update 04/04/2011

This midday view helps identify stocks that are gapping up or down and might present opportunities for the next day’s open.

Midday View VHC 04042011

Focus: COMMUNICATIONS

VHC is up 77.5% for the month and leads the Communication Sector in Price Performance. VHC’s 1 Week change in 30 Day Implied Volatility is over 18 pts.

Use the 1 Month Change in Price View in AV Pro to identify stocks with similar implied volatility moves.