Thursday, May 26, 2011

$CSC Aqumin Opening Update 05/26/2011

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

Opening View CSC 05262011

Focus: Information Technology

CSC is down 16.5% this morning at 10:55 am ET on poor earnings news. CSC 30 Day Put Implied Volatility is down 4.1 pts. for the day. CSC is the largest declining stock in the IT Sector this morning for names with actively traded options.

Use the One Day Change in IV30 puts and Real Time Price Change View in the View Library in AV for Bloomberg to follow the morning activity and throughout the day

Thursday, May 12, 2011

$KWK Aqumin Midday Update 05/12/2011

 

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

Midday Update KWK 05122011

Focus: Energy

KWK is down .06% for the day. KWK is the only Energy stock up 4 days in a row (before today’s close) and trading 1.2x 3 month Daily Value. KWK’s 2nd month implied volatility is in the bottom of the range.

Use the Daily Value Momentum View in AV for Bloomberg to identify stocks with similar moves.

Wednesday, May 11, 2011

Aqumin Volatility Newsletter 05/11/2011 - $SLV $SCO $FCX

A lot of the trading story right now is centered on the Commodities with the Silver bust among the most spectacular of the crumbles. For this update I want to examine volatility and market capitalization. For the most part the bigger market caps command smaller implied volatilities because of the more stable nature of the underlying. Let’s take a look a couple of the bigger standouts.

The views created were out of AlphaVision for Bloomberg using the top 2300 actively traded option classes.

ETF Focus SLV, SCO

For the ETF’s what I mentioned two weeks ago was the higher implied volatilities of the metals, namely the ZSL, SLV and AGQ, as Silver was going straight up. Normally as names wind higher, the implied volatility compresses to some degree but that was not the case with those three and we had a serious correction as the option prices indicated. The landscape is arranged where the rows are organized by Market Cap from left to right and they decrease as you move to the back. The SLV is now the 6th (front row, 6th from the left) biggest Market Cap ETF among the actively traded ETF’s so there has been big inflows in there. The dark green color indicates a 30 Day Implied Volatility of over 40 and you can see it is a standout among the large market cap ETF’s. It might be time to make a short Vega bet in the SLV since the correction looks to be sticking a bit. As a side note, I had noted two weeks ago the SCO might be a good volatility play in commodities since it was driven near into the hole and only one direction seemed assured. Since then implied volatilities have near doubled.

5-11-2011 ETFs

Stock Focus FCX

Using the same view as above but looking for interesting stocks instead I noticed the dark green, Big Cap Materials name FCX (Freeport McMoRan). First the name is in the top 10 of Market Cap but also is showing the highest 30 Day Implied Volatility of any of the Big Cap Materials names. No doubt this is a spillover from the Commodities moves. The stock is flat since October even with the prices of the metals sky high. With the more expensive volatilities and near flat performance over the last 6 months this might be a decent candidate to buy write at this point.

5-11-2011 Equities

Tuesday, May 10, 2011

$DK Aqumin Midday Update 05/10/2011

 

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

Midday Update DK 05102011

Focus: Energy

DK is UP 3.3% for the day. DK is leading the Energy sector in 14 day RSI this morning (aside from ICO which is being taken over). DK is making a 52 week high today and is up 2 days in a row. Implied Volatility in the 2nd month options is in the middle of the range for the last 3 months.

Use the Overbought Oversold View in AV for Bloomberg to identify stocks with similar moves.

Monday, May 2, 2011

$NBL Aqumin Midday Update 05/02/2011

 

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

Midday Update NBL 05022011

Focus: Energy

NBL is down 1.5% for the day. NBL is leading the Energy sector with a Put/Call ratio at 39 this morning. 3491 contracts have traded in NBL as of 11:55 am ET.

Use the Put/Call Ratio View in AV for Bloomberg to identify stocks with similar moves.