Aqumin Blog

Aqumin Volatility Newsletter 02/06/2012 - $GMCR, $JPM, $BK, $C, $MS

2012-02-07T07:31:00.001-08:00

Something is Brewing

Welcome to the world of nonchalance. The Greeks are having issues with debt and they cut 15,000 employees. That is bad? I guess those Greek passport officials will only get 2 months of paid vacation per year. Perish the thought! Either way, as I have articulated here in the Aqumin Newsletter, Euro issues have subsided as a main catalyst for market activity. They are there but more like a cold sore now and not a big infection. Look at the dispersion of activity today.

I have below the IV30-HV60 AlphaVision™ Volatility Landscape. The building height is 1 week total return. This gives a view of trend. Trade generation is usually about identifying trend which is why I like 1 week change activity. The skinny, tall building you see in GMCR. A positive earnings report no doubt generated a big short covering rally (GMCR has about 21% of Float short) so maybe a few hedge funds are starting to get nervous. The red color indicates that IV30 (30 Day Implied Volatility) is trading at a 10 pt.+ discount to HV30 (30 Day Historical Volatility). GMCR is trading at a 72 pt. discount. That is a little skewed from the big move up but this name still has some oomph in it.

Also note the group of Money Center banks enjoying the same implied volatility discounts. JPM, C, MS and BK all are trading at levels like the financial crisis is receding. To me that is just a reason to buy juice. For GMCR, a former darling of the momentum set, history can repeat as they drive this name higher. Combined with the large short interest I would not stand in the way. With the public just barely in the market, the old go go growth names can really start to do some damage on the upside if John Q gets back in the action. GMCR is a name to watch for any kind of long gamma position out to March. Safer money is buying premium (basically just calls) in the big banks. Either way market volatility is starting to look attractive because stocks are moving up as fast as they were moving down. Look at all this action without any public participation. Imagine what happens when the folks get that quarterly statement from their T-bills. The shorts, as they say, could feel the squeeze. Watch the big momentum names as the damn will generally burst there first.

Aqumin Volatility Newsletter 01/31/2012 - $NBG, $SPY, $XLF

2012-01-31T07:32:00.001-08:00

Is Greece done with its slide?

For 2012 the US equity market is up a little over 4.6% as measured by the SPY (S&P 500 ETF). After 2011 maybe the market should just stop here, call it a winner, and move on. But that is not the way it works. A quiet mover (besides AAPL of course) is the Financials. The XLF (Financial Select SPDR ETF) is up over 7% this year. Any serious market watcher knows how heavy the Financials weigh in the big indexes. For the SPY to really break out, the Financials need to help and they are finally pulling their weight. Take a look at this AlphaVision™ for Bloomberg landscape below.

I am using the IV30 less HV60 Landscape here. Building height is 1 Week Total Return. Imagine my surprise when the #1 Financial stock for the week in Total Return was….National Bank of Greece (NBG)! Also note the red color which has the forward 30 Day Implied Volatility (IV30) trading below the trailing 60 Day Historical Volatility (HV60). Readers of this newsletter would have seen this Landscape very different in mid-October; it was basically all green as the implied volatilities were bid way up due to looming Greek default. That was the landscape of impending doom (see from my Volatility Fatigue post of 10/05/2011 and the 2^nd landscape below). The market outlook this morning in this landscape looks more balanced (normal) now.

Today’s more balanced IV30-HV60 Landscape.

All green IV30-HV60 Landscape of Impending Doom- Very High Implied Volatilities in early October.

Aqumin Volatility Newsletter 01/24/2012 $SHLD

2012-01-25T08:47:00.001-08:00

Putting up a SHLD against the shorts

Shorting stocks is as old as stocks themselves. I even think the US had an SEC commissioner who shorted stocks during the 1929 Crash and then outlawed hitting downticks after the Crash. The problem for short sellers is not that stocks go up (which is bad for them for sure) but that the stock is called away at inopportune times as they are forced to “cover” the position. That action causes some disruption as forced buying ensues and pushes up the market price of the stock. As a whole, keeping a theme from last week, the market continues to move sideways as the implied volatilities start to wither away in the front month. When a heavily shorted stock has a sudden burst it draws attention.

The screen shot below is my active AlphaVision™ for Bloomberg landscape measuring 1 week total return and short term historical and implied volatilities. A spike in the name means the 1 week total return is near the top for that sector. A red color means the short term realized volatility (HV10) is blowing through the short term implied volatility (IV10). SHLD (Sears Holding Inc) stands out as one of the stocks that display market behavior nearly opposite of most of the other active names that trade.

A little further look into SHLD has the name coming off of a recent $30 low. The huge run up to near $50 in a short time outstripping the implied volatility makes the name a bit more interesting. The Sears story is about a decline in the ability of the company to grow sales (the problem is really declining sales) from its huge base and the shorts piled in. Because of the short interest in the name the recent run-up looks like some shorts were “squeezed” to cover positions. No doubt when the “squeeze” starts to cool the implied volatilities will come down with the stock price. Keep an eye out for another pop or small drift lower as the current rise might be temporary and some short calls spreads might work rather nicely.

Author Note: Stocks with high short interest are very volatile and pose great risks. Seek advice from a registered investment professional before initiating any transactions.

Aqumin Volatility Newsletter 1/18/2012 - $AA, $VZ

2012-01-18T08:53:00.001-08:00

Is the end finally in sight?

The 2^nd half of 2011 saw tremendous changes in implied volatility as the market digested the fallout for possible European sovereign debt default. While that issue is not really solved, the Euro Banks have a reprieve by tapping the ECB facility to exchange their bonds for Euros in the short term. At last that will keep the system from freezing up which it was on course to do. Looking at the market in short term implied volatility is helpful in determining how successful the ECB’s actions are.

Take a look at the Aqumin Time Series Landscapes below. The Dow Jones Industrial Average (Dow) stocks are arranged by 10 Day Implied Volatility (IV10). The most recent day is on the right and just prior to the 2008 Financial Crisis is on the left. The 30 rows listed are the closing print of 10 Day Implied Volatility for each day which is denoted by the height and color. Note all of the red buildings just prior to the 8/19/2011 mark. That is showing IV10 closer to 15% (which is the dark red limit). Short term implied volatility did a bad job of predicting the crisis as the subsequent volatility spikes show.

If you look a little farther back on this Time Series Landscape you notice that as volatility comes down it tends to stay that way for a bit. The short term IV10 does a better job of predicting recent lulls than potential pops. That makes sense since paper sells shorter term options when there is no real trouble on the immediate horizon. Look at where I selected VZ and note that IV10 is starting to point way down again. There is some level now where the market is accepting the Euro situation. That is playing out and translates to lower short term volatilities. Looks like there might be a little room to run.

Aqumin Volatility Newsletter 01/13/2012 - $AGO, $MBI, $JEF, $JASO

2012-01-13T12:23:00.000-08:00

S&P Downgrades France - Market Doesn’t Care

A couple of posts ago I commented on the resiliency and new found life of some of the financial stocks. What I think is interesting now about the S&P downgrade of France is that it seems a bit late. The market reaction today to the news was a big flop as I see the S&P 500 up a few ticks since it came out. France, with all of the EU dithering is now getting downgraded? Wow, talk about timing. The EU is a mess and somehow I think the USA is propping it up which is helping our markets overall. Either way the risk outlook, from a historical volatility view has declined a bit in some Financials so let’s take a look in AlphaVision™. S&P prescience on upgrades and downgrades notwithstanding.

My favorite activity view for intraday snapshots (see below) is the HV10 less HV30 view in AlphaVision™ for Bloomberg. Building height here is 1 week total return to give me an impression of where a stock is and the velocity of how it got there. Red stocks have declining short term underlying volatility and green stocks rising short term volatility. Note in the Financial Sector on the left, there is only one dark green stock, MBI. That means the near term movement has been sharp but overall the name is only up 3.6% for the week. Sort of like a tempest in a teapot and coming off of news. Two names registering very steep (dark red) declines in underlying volatility are JEF and AGO. JEF is the brokerage that supposedly was ready to go under a la MF Global but instead became one of the better performers this week. AGO was almost out of business a couple years ago but has since put on a nice recovery.

The story for me looking at the landscape in Financials is that the part of the industry that was near death and very volatile has settled down considerably and continues to do so. Note the green spikes on the far right in the technology sector. That is the dead cat bounce for most of the Chinese Solar plays trading in the low single digits and an area I would still avoid. I like to see that the AGO’s, JEF’S have declining historical volatility and steady movement from the bottom. Makes me think that S&P is running with a Euro story that has already been in the newspaper for a few months and is quite stale where the more interesting evolving story in the US financial stocks is finally starting to get brighter. When S&P starts upgrading US financials it is probably time to trim the positions. Until then tossing in some longer dated calls in these names is not such a bad idea.

Aqumin Volatility Newsletter 01/03/2011 - $CHK, $EDO, $FCX, $VALE

2012-01-04T07:39:00.001-08:00

GoGo Metals

Well it was off to the races in 2012. Euro Debt? Who cares? US Treasury debt? That is a non-factor. Economic slowdown? Not with our Fed Chairman holding on to the wheel. Wall Street threw a party today but it was interesting to see really how stocks reacted. No doubt there was some money going back to work after 2011 closed its books. I will use an active AlphaVision™ view to break down the market action.

The view here was created by Aqumin’s VP of Solutions, Jason Javarone. Essentially it turns all 3000 names into a giant real time VWAP (value weighted average price) view. What this view conveys is momentum. If a stock is sticking up it is trading above its current, daily VWAP and if it is green it is up on the day. This way it is easy to tell where a stock is relative to its own movement at any point in time and relative to other stocks in the sector and broader market in general.

I chose this view because I thought the end of the day action looked interesting. The dark green stocks are up over 5% for the day. In the first view above I highlighted a gold stock with heavy activity, EGO (El Dorado Gold Corp.). Note how solidly bid all the Gold stocks were near the end of the day.

In the view above, I panned out to look at the broader market. Materials, Steel, Gold, Silver and Oil and Gas all finished the day very big. These are the stocks of global recovery and since most of them are down 50-60% from their highs in 2011 a little bottom fishing is going on. VALE, FCX and CHK all caught a pretty solid bid today, and with implied volatilities mostly lower these might be good candidates for call purchases in February and beyond. If we don’t actually implode via the EU, the market is already placing bets on what will lead equities back out on the first trading day of 2012. I think it is worth hopping a ride on this train.

Aqumin Volatility Newsletter 12/28/11 - $AM $AGQ

2011-12-29T07:58:00.001-08:00

Season’s Greetings

With this the last post of the Aqumin Volatility Newsletter for 2011 I thought it would be appropriate to start by thanking my growing readership. You should be seeing more from Aqumin in 2012 as our 3D quote space starts to take off. My hope is that you found the broad market and dynamic scanning useful for trading in 2011.

Now for today, with worries about tomorrow’s Sovereign Bond offerings shaking things up, investors are taking a breather. The low liquidity is bouncing the market around as these Euro nerves cannot quite go away (even though we have seen huge drops in Implied Volatility over the last month). To end the year I will go to one of my favorite landscapes to identify unusual underlying activity, HV10 less HV30.

The data screening technique using the 3d landscape is one of the best features of using a product like AlphaVision for Bloomberg. Just set up your data space and let the landscape uncover items of interest. Color and order for this landscape are just HV10 (trailing 10 Day Historical Volatility) less HV30 (trailing 30 Day Historical Volatility). A dark green building has very active near term movement and a red building has very small near term movement. I have set that up against 1 week total return for height to see if the stock is just a one direction train or big daily moves up and down but net close to flat for the week. I have two names selected below, AM and AGQ.

AGQ is the levered bullish Silver ETF. The data print was actually bad here on the height (AGQ is not down 60% in a week) so I will pass on it. But note for many of the metals the declining price and underlying volatility. It feels like money is bailing from these metals-type names at the end of the year in a steady, sustained fashion. American Greetings (AM) just reported lower earnings and margins and they have pounded the name down on a drop. The other big drop was in SHLD (which I wrote up for TheStreet’s Options Profits). The funny thing about AM is that recent articles in the WSJ had reports of great paper sales which I guess is coming after the Nov 25^th closing period for AM. Maybe this is a time to scoop up some of this stock for a nifty buy write candidate. Might make a nice present come February.

Best Wishes on 2012 and Happy New Year!

Aqumin Volatility Newsletter 12/21/2011 - $COF

2011-12-22T07:28:00.001-08:00

What happened to the juice?

I don’t mean OJ. I mean the juice in the options. That is what we used to call the “extrinsic” value in options. Essentially that was the premium in the options above the “intrinsic” (or parity) value of the option itself. There have been sharp declines in implied volatility (we have been showing those) in the markets and I think we finally hit a “spot”. The “spot” is where the market does not really care about Europe anymore because the ECB pulled a Bernanke and flooded the banks with liquidity. Here is how it plays out in AlphaVision™.

First we go to our Landscape of IV30 less HV60. Followers of this column know that has been the go to landscape for inflection points in the turbulent 4^th quarter of 2011. The landscape below is an utter surprise since it is almost entirely red. That means the current IV30 is below the HV60 for nearly every stock in the S&P 500. There is no question now that liquidity providers are forecasting lower implied volatility going forward even with the VIX at lows for the Q4 in 2011. Also note that while implied volatilities are dropping, stocks are going up (taller buildings on the top of the landscape). The pop in stock prices this week has met with a nice drop in implied volatility.

Now for the big surprise which is the volatility crush in the Financials (see below). I am detailing the sector below because that group has been the out and out loser for most of 2011. In the Aqumin Blog of 12/07/2011, I detailed a rising from the ashes of financial insurance stocks. For stocks in the S&P 500 only Financials, Telecoms and Energy don’t have any names with a trailing HV60 trading below the current IV30. The two most volatile sectors have cooled down to the icy point. So where does that leave us?

Well it makes me want to buy financials. And to find what I want to buy I flip over the landscape (below) and only a few names were down for the last week.

Generally when volatility gets so low (no more juice!) the market is taking out one side of movement. COF (Capital One Financial) is down for the week but had a nice move up today (12/21/2011). Maybe the ECB rescue is what the market needed and we start to go higher in the boring world of lower realized volatilities. A little punch of liquidity while the politicians try to get things going, one can hope.

Aqumin Volatility Newsletter 12/14/2011 - $PFE, $MRK, $TEVA, $LLY

2011-12-14T09:09:00.001-08:00

Steady Drugs

Right now the equity market seems to be discounting European News to some degree. Overall volatility levels are dropping (still nasty little swings though) for the most part and that trend has been steady since I have been chronicling it here in the Aqumin Newsletter. The market seems to want to fight upwards. On that note I wanted to mention some names that have been clawing their way up this morning.

First off I use my daily VWAP (Value Weighted Average Price) Landscape to look for smaller movement trends. Just to see if anything is jumping. Basically, a green stock on the top of the landscape means the stock is trading above its intraday VWAP and is up on the day. The position is the Market Cap (as well as size of footprint). Essentially it is showing some strength in an overall weak market like we have this morning.

Note all of the Big Pharma Names popping up. When most of the other Big Cap names were drifting lower the MRK’s, LLY’s and PFE’s had a little juice to keep it going. The next Landscape is the HV30-HV10 look at underlying volatility. What this measures is the difference in realized underlying volatility over the last 30 days versus the last 10. Note the names were just about flat for the week (closer to the landscape horizon) and red (declining short term realized volatilities). What we have is a nice slow roll till the end of the year. I think this sets up nicely for some controlled put selling (spreads) on these low P/E names using the Jan cycle. A few fund managers might have to dress things up toward the end of the quarter and these names weathered the crisis like few others. Take a look.

Aqumin Volatility Newsletter 12/07/20011 - $AGO, $MBI, $RDN, $MTG

2011-12-07T10:33:00.001-08:00

Some Financials are springing back to life

As the market sits for the 4^th month waiting for big things to come out of Europe (this time the day is Friday) there have been some solid trends that give some hope that the end is drawing near. As I normally do with this newsletter I am following broader volatility trends with price movement. The two go together like Starsky and Hutch. Are the moves accompanied by declines or gains in volatility? This helps in determining the quality of the move (and maybe some froth). If the names move higher on increasing volatility, to me that means folks are reaching for the options and going to the market for protection, or just a good old fashion “surprise” on the underlying movement. For the former I use the AlphaVision™ Landscape in total for broad trend and for the latter I look if there is any intra Sector activity. So what do we have this morning?

First, I will start with the IV30 less HV60 Volatility Landscape. This has probably been my most useful view the last 4 month so. Why? Because the market has been moving in lockstep and sell offs and rallies have been accompanied by wide swings in volatility. The IV30 (forward looking day 30 Implied Volatility) less HV60 (backward looking 60 Day Implied Volatility) give a window into how liquidity providers are pricing the near term month against a backdrop of last 2 month’s average movement. You see mostly red in the landscape below (red means the IV30 is less than the HV60). That has been a trend for at least a month. What you notice in the foreground for Health Care are a bunch of Dark Green stocks. These are just Biotechs and trade like this normally (they don’t do much until an FDA announcement, so the options tend to be priced higher). The big difference I have seen is the amount of Dark Red (IV30-HV60 < 10 points) names. That is increasing by a good bunch. Over all the trend of cooling is picking up steam.

Note the zoom in on the Financials below. One reason I like creating these landscapes with a movement component is to judge the quality of the move. As I started clicking around I noticed all the Financial Insurers are having a bit of resurgence from S&P ratings - do they still matter? It sure looks like the market thinks so. Also note that the group pretty much is dominating the IV30 and movement area for the Financials the last week. I think the long term prospects are pretty good for this industry (could it have gotten worse over the last 3 years) mostly as the survivors start to bounce off the bottom (AGO was the big driver but decent follow through from MTG, MBI, RDN) and start to generate money again (some might get a boost also from settlements). Given the nice levels of IV30 you can create some long delta positions just below the market if you missed the first leg of the bounce or fade the euphoria in a controlled way (read spreads) above the market. Either way some things appear to be looking better even if it was the most battered part of the market not so long ago.

Aqumin Volatility Newsletter 11/30/2011 - $AGQ, $ZSL

2011-11-30T07:39:00.001-08:00

Is the market cooling down?

With Aqumin being based in Houston, I thought it would be worth mentioning that the WSJ this morning reported that the USA is a net exporter now of petroleum products for the first time in 62 years. I think that is a big deal, especially when the country is looking for symbols to pull everyone out of this anti-capitalist fog. If we could just tackle the budget issues with the same ingenuity that we now use to look for and find oil with we would be off to the races again. One can dream… The good Petrol news is one more long term reason to be bullish for sure, but unfortunately we are saddled with the volatile here and now in Europe, despite the best efforts of our native Oil and Gas Industry to right the ship. Some interesting things are starting to take shape in terms of short term underlying volatilities so let’s see how they play out in the AlphaVision™ Landscape.

One of my favorite AlphaVision™ for Bloomberg Landscapes (below) is the HV10 less HV30. Simply put this landscape reconciles the previous 10 Day Historical Volatility (HV10) with the previous 30 Day Historical Volatility (HV30) of the underlying. The landscape answers the question is the stock or ETF moving more or less over the last 10 days than the previous 30. In a volatile market environment this is important when you want to manage, say, how many calls you write against an equity portfolio. Also, I like to use this to point a direction at the broader market indexes. Are we cooling down (red) or heating up (green)? Red stocks have the HV10 less than HV30 with dark red names trailing by at least 15 points or more. As you can see below there is a lot of red and this would indicate (and confirm of late) the decline in broader market implied volatilities.

Besides the broad stroke in color, the building height is just 1 week total return for the context of a big move. Note a lot of the accelerating (green) buildings are taller or shorter to indicate extreme movement in either direction. There were only two dark green buildings in the ETF group trading over our soft screen of 15 points or more (remember the breakthrough screening technique with AV is to display above and below screened values to let the data show through). Funny enough they were the AGQ (ProShares Ultra Silver) and ZSL (ProShares Ultra Short Silver). The AGQ was sold down particularly hard (see close up below) showing HV10-HV30 at 30+ points.

From the perspective of any real moves by the big central banks (read inflation) the recent lows for the silver names seem a bit overdone. What you can ride is the accelerating underlying volatilities for more short term contracts in the AGQ (that has more bang for the buck) for a snap back. When you stretch the rubber band they tend to snap and I think the short term implied volatilities in AGQ are no exception.

Authors note: Leveraged ETF’s are volatile underlying securities and traders should use caution and spread type activities when looking at their related option products. Contact your investment advisor before initiating such trades.

Quoted market data comes of age

2011-11-22T12:12:00.001-08:00

Short history-

Market data has been around as long as there has been a market. The Egyptians were using wet clay blocks to quote wheat future prices thousands of years ago. The big uptick in disseminated market quotes was the printed newspaper as soon as they invented the printing press. You could read about your daily tulip bulb prices in the Dutch Gazette in the early 1600’s. Things pretty much stayed that way until the telegraph and the advent of the electronic ticker in the 1800’s. From the outside investors’ point of view this was really the first access to the market intraday and “reading the tape” became part of the investing lexicon. Television screens came along in the guise of the Quotron terminal and now market data had a blinky, real time feel. That Quotron was still around on exchange floors until 2000 or so even when the PC (real time quotes, charts and spreadsheets) had near completely taken over for trading screens. While the markets change very fast, you will notice how slow quoted market technology changes.

Market Data Structure-

What has changed very fast over the last 20 years or so is speed of access to exchange ticker plants. It was not the quote per se but the access to it. The electronic pipes are there for everyone but some data infrastructures are bigger than others and that gives a microsecond lead in getting a quote. The Algo (programmed, automatic execution) and High Frequency Traders (HFT) now drive a large part of that order flow. And there is a continued race for speed which I will assume will end when all HFT’s can receive quotes at the speed of light. It will go back to being better instead of just faster. The problem with all of this technology is that the exchange liquidity has become fractured. As a result, we see more volatility and less concentrated liquidity except in a few markets. If market data tools are going to evolve they have to quote more information than just an uptick or a downtick.

Besides speed to market, the biggest evolution in the last 10 years is the proliferation of indexes and ETF’s and ETN’S. In general, these securities pull together like instruments to make market access easier for the trading public. The flip side of course is the markets will start to move closer together because the ETF managers have to buy and sell like securities in bulk to keep up with demand for their products. You want to trade the S&P 500? There are probably 2 dozen+ different ways to go about it- long, short, leverage, inverse leverage, you name it. The reality is that there are only the 500 names and product demand makes them mover ever closer together. If you want to find an edge, you want to see what is not moving with the market these days. Traders need their quotes to tell them more than position, they need relative position.

What is a 3d market quote?

With the advent of the various market factors of speed, fractured liquidity and increasing correlations the idea of a market quote in context makes more sense. These factors have always been in play over the last 20 years to some degree but now, as they act together, the impact feels greater in an upswing in market volatility. What is the context of a move in an individual name with the swirl of market forces around it? What is a 3D market quote?

First to describe a 3D market quote you need to understand what that represents. Below is an Aqumin Landscape using Bloomberg Data (any data point in Bloomberg is available to configure the space) to describe several real time market data points acting at once. Obviously you notice the “city blocks” with the “buildings” in each block. Each block is a user defined grouping like a GICS Sector and each building is a security which in this case is an equity or ETF. The next thing you notice is the Heads Up Display (HUD) to convey the actual market quote in the black boxes on top of the Landscape. The next, new landscape features are building colors, heights, sizes and positions. These landscape functions provide the relative relationships of the quoted data within the entire market place. You can pan, zoom and rotate in a fully interactive space. I will go into this in detail.

Height: Price to VWAP -1 this is just a simple metric that shows when a name is trading above or below the Real Time VWAP during the trading day. If the building is up above the horizon (plate), the name is trading over VWAP. If the name is close to the plates (horizon) it is about to flip VWAP position. If the name is under the plate, it is trading below VWAP. This is a relative position comparing one name with all others.

Color: Percentage Change in Price a simple representation of if the stock is up or down on the day. Green is up, white is flat and red is down on the day. You can add or change colors to create more granularity of the view. Also note that any deep (red or green in this case) color represents an ‘alert’ that the name has passed a certain threshold. This is a relative position comparing one name with all the others.

Order: Market Capitalization the relative size of each building is comparable with other buildings on one plate. Bigger buildings have bigger market caps and smaller buildings have smaller market caps. Also notice the position of each building. They shuffle and re-order in real time to push the bigger ones to one corner and the smaller ones to another corner. This is like having a quote screen with 1500 names constantly resorting for what you want to look for.

Now click on a name that catches your eye and what happens?

Since the space is interactive, you pull up a Bloomberg Chart when you click on a name and you now get a sense of what you are looking at. You have a last tick representation of a real time chart relative to all the other names. In the case above WAG (Walgreens Inc) was down on the day most (redder) for any name in Consumer Staples but not trading at the lowest level relative to its VWAP. Essentially it is starting to bounce a bit like the chart suggests. Since it is not Dark Red (an alert limit) the landscape is simply telling you that it is approaching that level. An Aqumin landscape view like this is built for momentum traders to help identify inflections prior to an alert. The 3D quoting space simply sets up an opportunity that would be near impossible to screen for. This makes the quote screen work for the trader since you just look at it and can sense unique action.

Broad quoting of volatility data

Having one view would be useful and that is how most (if not all) quote screens are set up. When you have an interactive space, you can change it on the fly and look for something else. In the sample below I want to look at a broad view of volatility data. We use the same setup for Sector plates but now we want to quote the difference in 30 Day Implied Volatility (IV30) versus the trailing 60 Day Historical Volatility (HV60). Now I use building height to show 1 week Total Return for a context layer to the volatility differentials. If a building is red, the forward IV30 is trading at a discount to the prior HV60. If a building is green, the name is trading at forward premium. So what do you do with this?

In this case of about two weeks ago the market was signaling lower volatilities moving forward based on IV30. The absolute level of current IV30 is sufficient to price the moves forward. Even with the market going south from the Euro Issues on the week of November 14^th the VIX actually declined. In this case the Aqumin Landscape was a predictive indicator when looking at Broad Quoting Relationships offered in the view. The idea here is not just reading a chart but looking at many charts at once to come to conclusions about market volatility behind the broad indicators. The movement behind the movement is now possible with better a better way to view the market.

Looking for opportunities

What we have now is a new way to make decisions with the market data we already have access to. The uses moving forward are really two fold for this type of quoting technology:

1. Find the chart or name that looks interesting out of the sea of market action. That name should come to the user.

2. Use the aggregate of quotes in context to make assessments on the relative market indexes (like the VIX) or ETF’s based on the underlying group of securities that make up the larger bucket.

As traders we are always looking for edge. The high speed area of the market is in a high stakes race for technological superiority that most of us just watch. By reorganizing market data in visual space traders can wait and look at the wreckage to see if anything is worth doing. Much better to wait for opportunity then get run over in race beforehand.

Aqumin Volatility Newsletter 11/16/2011 $AAPL, $NLY, $AGNC

2011-11-16T07:48:00.001-08:00

Are Financials still leading the way?

Headline news this morning has the Super committee in Congress already looking to fudge their debt reduction pledges. Maybe they don’t have CNN and are not watching what happens to countries when they don’t get their house in order. Two leaders in as many weeks were brought down by the bond market. Yes, that is right. Not by voters, but a bond market that is flexing its muscles. Sort of like the Arab Spring for Euro Leaders addicted to debt. Congress can change its mind (one can hope) but I think you can see the unease in the equity markets. Let’s look at some individual volatility for the most active Equity and ETF option classes.

First I have a wide view of 30 Day volatility in the AlphaVision for Bloomberg Landscape. Any name in dark green is trading over 40% 30 Day historical volatility (HV30) in the underlying and dark red is under 20%. Building Height is HV30 also to add some granularity to the view. Building footprint is market capitalization. You should see fatter buildings tend toward red in color since higher market cap stocks tend to trade at lower HV30’s. Note the relatively higher HV30 for AAPL in the lower left corner.

I use 40% HV as a soft screen indicator. When the market is more benign most of the bigger market capitalization stocks trade around 20% HV30. 40% HV is a double and good place for me to review broader market activity.

Just zooming in to the Financials and Materials (gold and miners) I see very few stocks with lower HV30’s. Both of those Sectors really show the strain of what is going on right now. Normally I see more red in both those (lower HV30) and I am seeing almost none now. Before I can believe any rally in the overall market, these colors have to change to at least light green. Financials and Gold Miners need to become somewhat boring and that is just not the case. In the Financials, there are just a couple of high yielding REITS (NLY and AGNC with current dividends well over 10%) with lower HV30. These REITS were trading at 40%+ HV 30 at the height of the crisis this summer and have come back a bit. Now that the Fed has signaled lower rates into the future these might be worth a look (I own NLY in an IRA) at a very depressed price (think stock with a collar for now). They are trading cheaply and I think a big part of the reason is the instability in the bond market. The bond market has already shown its willingness to push for change; I just don’t want it to happen on this side of the Atlantic.

Aqumin Volatility Newsletter 11/09/2011 - $EUO, $SMH

2011-11-09T08:20:00.001-08:00

Italian Bonds a bargain at 7%?

As the markets open this morning with things looking lower we cannot seem to get away from the headline news. Italian Bonds cleared the 7% hurdle now so they look to be on a path toward unsustainable interest payments in the future. I think most investors in the debt world are worried about what they are going to get for what they own now. You think the Super Committee is taking note of this as we plunge inexorably toward the same sovereign debt structure as the PIIGS? Great, we can be just like them. The market did seem to signal this so let’s take a look at the AlphaVision™ Landscape for the close on November 8^th, 2011.

Originally I was looking for positions to sell options in. When I open up the AlphaVision™ for Bloomberg Landscape I saw something I don’t normally see. Color in this case is 30 Day Implied Volatility less 60 Day Historical Volatility. All the red you see below are stocks that have December volatility trailing the underlying activity of the last 60 Days. As you can see most of the active option classes are red and I cannot sell too many options into that. But I think this is telling us is that options are pricing forward movement lower than the past two months. 7% yields in Italy or not, the market is pricing lower implied volatilities.

The close up below is of the SMH (Semiconductor HOLDERS ETF) and EUO (ProShares UltraShort Euro ETF) ETF’s. Note how the market is pricing almost the entire ETF complex for a slowdown (read red) in Implied Volatility. The top two that bucked the trend (Dark Green) are the SMH (which I discount because of wide markets) and the EUO for higher volatility looking forward.

The higher EUO volatility differential rightly thinks the Euro mess is still rolling but I think we start to see less effect on US Equities than over the last two months as the real exposures to this mess unfold.

Aqumin Volatility Newsletter 11/01/2011 $FAS,$FAZ,$ERY,$TZA

2011-11-02T09:18:00.001-07:00

Buying PIIGS Sovereign Debt is like what?

One of my own favorite posts lately was “Flaming Cheese”. At that time I was looking for trades as the whole Euro mess started to cool. At this point I have lost count on how many times the market has taken the Implied Volatility straight up only to crush it back down a week or so later. This is easy money, right? Well maybe not that easy. Just ask the guys on the prop trading desk at MF Global. Down goes another firm but the market really did not care much. I think that loading up on European PIIGS Sovereign Debt right now is like selling Implied Volatility at the bottom. Sure you have a chance to win but you can get killed by the swings in the meantime. Let see how the current short term Implied Volatility scene plays out in AlphaVision™.

Below, my AlphaVision™ for Bloomberg Landscape is monitoring 10 Day Implied Volatility (IV10) less 30 Day implied Volatility (IV30). If there is a spike in near term Implied Volatility the building (a stock) is green and my target value of 15 points over registers in dark green. Any name showing a decline registers in red and dark red for 15 points or more to the downside. Building height is One Week Total Return (up is positive) to give the volatility moves a frame of reference. We see a lot of green as the market took the great Greek bait and switch in a “not so positive” way. I left the sector plates clear so you can see the short term moves in Implied Volatility in the 800 or so most active names. That action was nearly all up.

I adjusted the plates to opaque, so we can focus on the dispersion of names on the “up” side of the landscape. There are still plenty up after two good days of selling.

I do like poking around the ETF’s for signals. While most of the market has higher shorter term (read Weeklies and November) implied volatility over the last couple of days, the opposite ends of the spectrum in the ETF’s were interesting once I checked them out. On the big volatility pop I see the TZA (Direxion Daily Small Cap Bear 3x), FAZ (Direxion Daily Financial Bear 3x) and FAS (Direxion Daily Financial Bull 3x). The one strange thing was the FAS showing up 36% for the week which I think is a data error and should be flipped down (more like down from $16+ to $12.56 for the week). With such a big move in that in both IV and absolute terms I am looking at that name to start overreaching on the downside. On the other side the ERY (Direxion Daily Energy Bear 3x) was showing just lower 10 Day Implied Volatility from the IV30. The name is climbing out of the basement so no real surprise the IV10 is drifting lower than the IV30.

Overall my takeaway here is to wait. I don’t see much that is conclusive except the financial ETF’s (and by proxy financials) probably overshoot Implied Volatility levels in the short term on the Greek Referendum news. If the referendum is in January the short term picture should start to fade a bit and it might be better to wait to jump on the decline in IV10. As opposed to MF Global, waiting will get you better prices for the short premium positions so don’t take the bait quite yet.

Aqumin Volatility Newsletter 10/26/2011 $MCD, $GE, $HPQ

2011-10-26T08:09:00.001-07:00

Will Market Volatility cross the “Line of Death”?

With the cash VIX (CBOE Volatility Index) closing below 30 on Monday on a nice rally the question lots of pundits are asking is if we are going to break through to the low 20’s on the “Fear Index”. As for now, 30 seems to be the “Line of Death” (could not help the Gadhafi reference from the mid-80’s) for market volatility as measured by the VIX since the market can’t get past it on the downside. What I would like to do is unpack some of the individual name volatilities that make up a part of the S&P 500 and see if there is a trade or trades that fit the 30 handle inflection on the VIX. Since the VIX seems to bounce off of 30 you want a long Vega trade for the Euro Meltdown threat but also a short Vega trade to help if the Euro scene starts to normalize (we can only hope) and storm through the VIX “Line of Death” like the late, great RR.

For this job I use AlphaVision™ for Excel and Bloomberg Historical Data. I simply load data into Excel and create a Historical Time Series Landscape in the View Manager (just select the date range and hit “Create”). I am going to pick a relatively small data set of the S&P 500 using the Dow 30 stocks and layout the 30 Day Implied Volatility on the close of each day. The hard thing of course is trying to convey movement in static screenshots. Either way the dark red end of day prints show 30 Day Implied Volatility (IV30) below 25%. IV30 is the 30 day forward price of option implied volatility. Notice as you move to today’s date, the very last print, the colors change over time. That is just a different reading of the30 Day Implied Volatility data (dark red <25%, white= 50%, dark green > 75%). Prior to the USA downgrade, much of the Dow 30 traded at 25% IV30 or less as noted by the rows of dark red buildings. A sure sign of lower volatility is well, lower volatility, and about 1/3 of the Dow is getting back to more quiet levels with a bellwether name like MCD down to 20.35%

Let’s tip toe down the Time Series Landscape (below) until we see some green (50% and above IV30). The idea here is to find a name in the Dow that has the ability for IV30 to “jump”. That first name I see is GE and the current IV30 is down to 29%. GE has a substantial financial component and is now nowhere near the 62% IV30 of a few weeks ago. This probably could go a bit lower before GE interests me from a volatility point of view but it is getting close. I like to know, if the volatility hits the fan again, where that GE juice will go (look at the green spike). Let’s call this the buy side of the volatility equation and mark it. GE just reported earnings.

Now we go to the higher end of the IV30 scale (see below) and we find HPQ. The two higher valued IV30 stocks in the Dow are BAC and AA. Neither really fit with what I want here (BAC is out of category, AA is not rich enough). I want to sell some relatively higher priced IV30 to balance the potential GE volatility purchase somewhere else. 45% IV30 is not too bad for HPQ in an off earnings cycle for a 1 month trade. HPQ is down in the basement as far as stock price with a 5.5 P/E so most likely it would be selling put spreads into the weakness we had on Tuesday. The combination of bidding into IV30 softness by buying puts in GE and selling some controlled downside in HPQ would balance the “Line in the Sand” area we see in the VIX. A big move in implied volatility and the combination should be ok. Maybe even squeak out a few bucks.

Authors Note: Selling and buying options in unrelated issues will cause heavier margin requirements and carries substantial risk. Please consult your investment professional.

Aqumin Volatility Newsletter 10/18/2011 $HAL, $SLB, $FTI, $NOV, $WFC, $CME, $RF

2011-10-18T12:32:00.001-07:00

What group is acting like the Financials?

There is lots of talk about correlation in this market. As in much of the traded equity world is moving in the same direction at the same time. Some blame ETF’s, EuroGloom, High Frequency Traders, Bad Policy, etc. but I think it is probably a combination of those things. On any given day since early August there seems to be only one sell or buy button and everyone jams it at the same time. So I thought it would be interesting to look at the frequency of the movement over the last week and draw some conclusions about two disconnected sectors, Energy and the Financials.

The next series of Landscape Snaps from AlphaVision™ for Bloomberg show the S&P 500 with building Height 1 Week Total Return (tall buildings are up on the week). The Color field is 10 Day Historical Volatility (HV10) less 30 Day Historical Volatility (HV30) so stocks moving with higher HV10 will show up in green and lower HV10 in red. I left the Sector plates clear so you can see which stocks are up/down and have a clear sense of the underlying volatility. Also, I arranged the plates in order of Average Total 1 Week return so the Sectors in the lower left have the highest average performance over the last week. As a reference point S (Sprint Communications) pulled up the Telecom group so that would make Energy the solid #2 performers for the week. EP (just taken over) is the reference HV10-HV30 volatility point in the Energy Group.

The Red Buildings on the top of the landscape (detail below) means that past week’s strength in Energy came on declining near term underlying volatilities. Except for a few Oil Services names (HAL, NOV, FTI) on slightly higher underlying volatility for the most part it was up, slower for this group and the #2 position for the week. I like it when a group within a group gets picked on like the Oil Services while the world just lit up for Natural Gas.

If you hop to the back of the Landscape the low end of the scale sticks out for the Financials since it is mostly green. Here the movement has been increasing in the short term, even with what was until yesterday a solid upswing in the market. The relatively weak performance on higher (greener) underlying volatilities generally is not a good sign. Think get me out, faster. The Financials were very much counter to the declining volatilities in the market as a whole and as group I think I am going to stay away for a bit. Possibly the revenue pictures going forward are pulling things down. Either way the action is too one way.

Going back to the Oil Services vs. the Financials thought, I don’t think the picture is as bleak as this pre-opening Landscape Snap looks for the Oil Services. HAL has not produced a quarter like the just recent since 2008 which was a record revenue year. Maybe the slap was too hard and it might be time to take another look. I can’t throw the Oil Services into the same boat as the Financials even though the market movement appears similar. I can dig that.

Aqumin Volatility Report 10/11/2011 - $NFLX, $S, $CLF

2011-10-11T09:00:00.001-07:00

When Momentum Stocks Die

As an owner of stocks I just love the blowout rally that we had on Monday. The problem of course is the 1000 point drops in the Dow Jones Industrial Average just prior to this spike. I would be happy to say the Euro Zone problems are done, I cannot just yet. It looks better on balance over the weekend as Euro TARP is on the table but the general illiquidity is still a bit of a mess. Yesterday’s closing AlphaVision™ Landscape view told an interesting story, so I thought it would be worth describing. I think we saw the death of a once great momentum stock (although it had been quite sick), Netflix.

My quote screen is the view I call the AlphaVision™ Ticker (AV for Bloomberg). Height and Color are the Percent Change in Price and the Building Size is Market Cap. Also, note the chart on the lower right which is my 30 Day Implied Volatility (IV30) measure using Bloomberg Data. You can watch as many names as you want (up to 600K with the new 64 bit AlphaVision™) but here I am looking at the S&P 500. Good Euro News and “Bam!” like Emeril every stock flies. Talk about correlation. Notice that CLF was the best performer yesterday and note the volatility chart in the bottom right (Materials bottoming?). The name is peeling off of recent IV30 highs and that is the kind of momentum I want , if looking for more upward movement in the underlying. With declining IV30, the forward indicator is forecasting less movement. I read that as some of the severe downside is taken out of the mix for this Materials name.

When I taught option trading to newbie floor traders, showing opposite ends of the spectrum was always helpful. AlphaVision™ makes this easy because you just flip to the other side of the Landscape (see below). There lies the very sad NFLX and S. (I will save S for another post.)

Clearly on a day when you just had to breathe to be a gaining equity, NFLX wheezed to another decline. But also note the uptick in IV30 on the chart in the lower right. The market is saying this movement is not quite done. That could screw up some call spread sellers if the IV30 continues to tick up even as the stock continues to decline. In general I would rather initiate a position after the name has shown a reversal in IV30. NFLX had a solid 18 point or so range on Monday after the nice rally in the morning and the IV30 is still on an upward arc, clearly jacked from the reversal. The Death of a Momentum Stock is an ugly thing since long holders quickly run out of reasons to own it and there is no real fundamental basis for the lofty value (see Crash of 2000). As a Momentum Name NFLX looks dead but this does not mean the management can’t pull itself out of the current (self-inflicted) tailspin. I am not ready to catch this falling knife yet.

Aqumin Volatility Newsletter 10/05/2010 $ZSL, $EDZ

2011-10-05T07:53:00.001-07:00

“Juice Fatigue”

Average folks have a singular concept of market volatility. CNBC talks about the VIX (the CBOE Volatility Index) and the “highness” and “lowness”. Without going into too much VIX detail, lower VIX numbers measure relatively benign market conditions (20 or lower) and higher VIX numbers (21 and over) show more volatile market conditions. As I write this morning the cash VIX is 40.89. Quick and dirty we are at least 2x any “normal” market. But what is important for anyone who trades options is how the market is valuing that number. And this is a case where AlphaVision™ with a Bloomberg Terminal helps quite a bit.

First I a select the view with a time frame of interest, which in this case is IV30 less HV60. Here using the forward looking IV30 helps paint a smoother picture. I pick the trailing 60 Day Realized Volatility (HV60) to highlight the last two months. Note all the green in the landscape. Dark Green buildings show IV30-HV60 of at least 10 points. The building heights are 1 Week Total Return so any building standing up was up for the last week. The market is pricing most issues at a steep premium to just recent, and volatile underlying activity. I note the EDZ and ZSL as names up a lot for the week with a very rich IV30 premium to trailing HV60. I will circle back on those in a minute.

The real power of using a Visual Space is you can compare things in a broad way. The Mind’s Eye is a powerful thing. If you recall from my “Flaming Cheese” Newsletter of two weeks ago (same screenshot below) the market looked much different. You can see from the AlphaVision Landscape a Sea of Red as opposed to a Sea of Green today. Same exact market measures but liquidity providers were marking down most implied volatilities sharply. Not so anymore as they are pushing premiums up to account for more movement in the future. I see this sharp flip as pricing in a big move, most probably the Greek Default.

It is very hard for premiums to stay at this relatively high level since we are both at higher underlying volatilities and higher absolute implied volatilities. This creates a gravity pulling premium down but no one really willing to sell options because of the Euro problems. I have always called this “Juice Fatigue” (“juice” being floor slang for option premium) and it happens from time to time in our markets (just not to this extreme) and it is darn hard to make money in an environment like this. Now you know why. So you pick your spots.

Now for a close up on the star performers of the week as both the ZSL (ProShares Ultrashort Silver) and the EDZ (Direxion Emerging Markets Bear 3x) were the top performers on the 800 or so most actively traded names. The big question is do you fade the rally in both of these? Having the short term market leaders as inverse metals and emerging markets ETFs with near the most overvalued premium gives me reason for pause. How long can they keep this up? To take advantage of “Juice Fatigue” you have to be selective. Anything done in these names should be executed via spread only but key outliers are a nice place to start. Keep an eye on both these inverse ETFs and see if both the implied volatility and price sag. Maybe gravity will finally start to work (and the Greeks default and get it over with).

Authors Note: The market is very volatile right now and both of the ZSL and EDZ are 2-3x more volatile than most stocks on average. Exercise extreme caution when trading these names.

Aqumin Volatility Newsletter 09/27/2011, $WAG

2011-09-27T09:37:00.001-07:00

How to find a WAGging dog?

For the last few weeks I have been mentioning Euro Zone issues and some of the specific highlights in market volatility, especially around some of the outliers in the metals (Flaming Cheese, OPA!). More whispers of EuroTARP have filled the air and all the bulls came out storming. But even as I write this today, things are already starting to fade and maybe because the Euros have not really solved anything yet. I want to highlight a more mundane market activity, an earnings announcement, and see if there is something to all of this broad market quoting, especially when you look at relative relationships. And I will throw in a small volatility observation to boot.

AlphaVision at its core is a 3D quoting screen (using market data of course). It does what a normal quote screen does, but as my 4 year old daughter would say it does it “betterer”. How so? Simply, the landscape helps generates ideas. In the AV for Bloomberg Equity Landscape below I have my normal market quote view. This little gem was put together by Jason Javarone, our VP of Solutions and we call it Real Time VWAP Deviation. Essentially you are looking at multiple lines of 1500 different charts at once (for the S&P 1500). There were not many Big Cap stocks down at the time this morning so WAG caught my eye. The building height is [Price to VWAP-1] which just means the buildings sticking up (I have the landscape flipped over) are trading below their Value Weighted Average Price. The Color of the Landscape is Percentage Change in Price (quote “fatness” is Market Capitalization) so the embedded Bloomberg Chart is showing WAG down for the day (red) and trading below WVAP (note the last tick position in the chart). The AlphaVision buildings are just the “last tick” for the data points selected. For whatever reason, the market did not like Walgreens (WAG) earnings even on a very green day.

In the second screenshot below, taken about 20 minutes later, you will notice many more buildings moved to the WAG side of the landscape horizon. The stocks are still up for the day but peeled off of their highs and many were trading below their VWAPS. Just looking at the Consumer Staples plate it is very clear. WAG barely moved. I read this relative activity as the money that moved in for the earnings pop has already left the building (no pun intended) and when the market started to sell off a bit WAG held up. This is good for the name and with Implied Volatilities more toward the higher end of the spectrum, WAG here (with the market action), makes a nice entry point with some short put spread-type trades or In the Money Buy Write. The market dog is not WAGging this one, and for now that is a good thing. Might be worth a look.

Aqumin Volatility Newsletter 09/20/2011 $EUO, $GLL

2011-09-20T07:43:00.001-07:00

“Flaming Cheese”

Back in the 1990’s when I was a floor trader on the CBOE many a celebration was held at Greek Islands on Halsted Street just a hop away from the exchange. As soon as you get there the waiters would fly in with bottles of Retsina and plates of Taramosalata (we called it “Fish Whip” and it is delicious) and Saganaki (“Flaming Cheese”). It was (and still is) a great time with great food swapping stories of big wins or crushing defeats. The Greek Default problems are like my plate of flaming cheese in the old days, once very hot and now starting to cool. Let’s see what the recent cooling off looks like and if there are any tasty bites.

The key here is picking the right time frame to examine. I choose a simple landscape of IV30 (the forward looking 30 Day Implied Volatility) less the HV60 (the backward looking 60 Day Realized Volatility) for Landscape Color and Order with Landscape Height 1 Week Total return. This way I can see if a volatility opportunity is bound to a recent move. The AlphaVision™ Landscape above is mostly a sea of red (around 70% or so) for the most active 800 names that trade options. This means the liquidity providers are forecasting lower volatilities going forward than the last 60 days. No surprise but still it is a substantial part of the market for equity and ETFs. Simply, the forward looking volatility is trading at a discount to the realized volatility of the last 60 days. While that is the trend in red, I want to explore a couple of the names in green (which means forward IV30 is trading at a premium to the HV60 over the last 60 Days). This is the “Hot Cheese” on my plate.

First I zoomed into the ETF’s since I saw so few dark green names. My hard cutoff was 10 points over (IV30-HV60) but as you can see AlphaVision™ screens for all available names. I kept it to stocks just moving up over the last week since I wanted to take sudden drops out of the picture. First up (on the upside) is the EUO (Proshares UltraShort Euro ETF). The market is saying the name is going to move more than it has in the recent past. With the Euro Zone a mess, I cannot disagree. The next name was the GLL (Proshares UltraShort Gold ETF). This name has popped up in different guises in my past blogs. First the GLL was super cheap (volatility-wise that is) then the realized volatility exploded (two + weeks ago) and now the market has gone full circle and is pricing the IV30 at a premium to its last (very volatile) 60 days. This is now in the face of gold not making new highs anymore. While I am sure we have one more spike in gold at some point when Greece finally caves and defaults, it does feel like the big upside is starting to come out of the picture and paper is driving up the price of options in the short term for this inverse gold contract (GLL). Maybe a short term, short put spread-type play is in order here (maybe even a covered call since GLL is so close to its 52 week lows). This is either a trade small or add to watch list situation (you could wait for the spike and fade the move then), but the October cycle looks like an opportunity. But you should understand this contract is priced like this for a reason (meaning risky). If we get more of the same wishy-washy action out of Europe, look for this GLL premium to compress in the short term. Much (but not all) of the “flame” is off of the Euro “cheese” plate for now, except in select locations. OPA!

Author’s Note: Inverse, levered ETF’s need special care for risk and require special margining. Consult your investment advisor before making any such transaction. If you don’t understand it, don’t trade it.

Aqumin Volatility Newsletter 09/13/2011 $INTC, $TSL

2011-09-13T09:05:00.001-07:00

Chips and a Dip

I don’t think I am going to bother mentioning all of the bad Euro News. It just seems to be the same although we did get a small lift from sadness when rumors of Chinese buying Italian Debt surfaced. I can see the Chinese buying Italian cars, clothes and art but their debt is at the bottom of my list. Just one more reminder of how sensitive equities are to whispers of Euro News. I liked it better when we had left Euro trouble in the 20^th Century. Not all things are going horribly in equities so let’s take a look at the changing volatility landscape as of the close Monday.

First, as this is Expiration Week, I thought I would set up an Aqumin Landscape of 10 Day Implied Volatility over 10 Day Historical Volatility for a ratio of short term action coming into the final week of the cycle. A Dark Green Building has the ratio of IV10 TO HV10 2x or higher. The market is pricing significant moves for this week relative to how the name is actually moving. Also in the screenshot below Height is 1 Week Total Return (inverse) so taller buildings are down most for the week. I thought the Semiconductors stood out as the higher short term implied volatility had a reason to be elevated since the group (and on a couple of clicks turns out to be the Solar Semis) tanked this week. A name like TSL (Trina Solar) at >5 P/E seems to be the poster child for the sick sector.

A high profile US government backed bankruptcy in the space did not help the Solar Semis as they got pushed to lows for the year. Although the pricing is tempting in terms of elevated Implied Volatility there are too many overseas ADR’s and flim flam to take any real risk (ok maybe a little) in the group yet. The nice thing about surveying market data in AlphaVision is you can keep looking. Just flip over the landscape and zoom into the other side of the Semi story.

If you take out the Solar Stocks, the Semi’s did quite well in a pretty ugly week. They might have been the best performing Sub Industry if not for the collapse in Solar Chip stocks. While there is not as much short term edge in the volatility pricing as the Solar Semis, there is some decent edge as the market underlying volatility continues to cool (albeit slightly). Maybe this is the bounce in Semiconductors that is for real this year. At least you get some nice short term entry points in the Blue Chip Semi Chips. Have your Chips after the dip, as it were…

Aqumin Volatility Newsletter 09/07/2011 $GLL, $UGL

2011-09-07T07:32:00.001-07:00

Have we seen this before?

Sometimes I yearn for the good old days. I think I am old enough now to look back 15 years or so and fondly remember when a crisis or bubble had a beginning, middle and an end. The USA invented Brady
Bonds for Latin American debt in the 1980’s, fixed that. The Mexican Peso crisis in the mid 1990’s was mostly a collapse in the price of TMX (at the time one of the biggest traders on the CBOE) and Treasury Secretary Rubin (he handled the 1990’s flare ups rather well) rode to the rescue on the currency with guarantees. Brazil had inflation issues but moved to fix them with substantial policy changes. We had a great Biotech Equity Bubble in 1991-1993 when no one would buy a stock that made real money. The Asian Currency crisis in the late 1990’s help set up the current prosperity of today in that region. It was a good lesson that you don’t want to borrow too much in another currency and should make subsequent policy adjustments accordingly. The point for our current market volatility is that still, a year or so in, there are really no substantial policy adjustments in the Euro Zone (PIG austerity?) that market participants are buying. Let’s see how that play’s out in the market’s underlying volatility right now.

One thing I like doing is using simple arithmetic setups with different volatility measures to get a sense of what is happening behind the bigger indicators. In the AlphaVision™ Landscape below running on the Bloomberg Terminal I have set up a landscape using 10 Day Historical Volatility (HV10) minus the 30 Day Historical Volatility (HV30). If a name is moving more over the last 10 days than the last 30 days it will show up in green on the right of each GICS Sector. Building height is the total return for the week (up is negative in this case) when I pulled up this 3D quote screen Tuesday afternoon.

The first thing you notice is the Landscape is mostly red for the 750 or so names that trade 500 call option contracts or more. This means that the HV10 is less than the HV30 for most of the active listed names that trade options. As I commented last week, the crisis is slowing down in terms of Historic or Realized volatility recently but still near the peak of last year. What surprised me was that so few names had accelerating HV10 yesterday and barely a handful had HV10 15pts higher than HV30 (which is a level through observation I like to note). For the ETF group, both the UGL (ProShares Ultra Gold) and the GLL (ProShares UltraShort Gold) had rocketing levels and were leading ETF’S and very near 15pts higher. If I had a hard screen at 15pts, I would have missed these names using traditional screening techniques.

Now what does this mean? With the two levered Gold ETF’s leading the uptick in HV10 money is concentrating in these underlying contracts even more, pushing the Realized Volatility levels around. The gold trade is even more so the on again, off again way to manage risk for the average investor and the underlying volatilities are starting to show it. Euro Crisis solved gold in the tank, Euro Crisis on more of the same and higher with more Realized Volatility. Tough to believe we have turned gold into an early 1990’s Biotech stock but it is starting to trade that way. Almost 20 years later, same crazy activity but different names. Who knew?

Aqumin Volatility Newsletter 08/26/2011 $BAC, $HPQ, $JPM

2011-08-29T07:27:00.001-07:00

“You were always on my mind…..”

Ah the sweet sounds of Willie Nelson. Not so sweet is the mess we have following the S&P Downgrade of US Sovereign Debt. After a one week layoff in posting, although I do look at the market every day, there is plenty to look at in the aftermath of the downgrade. I am going to call this G7 (lump in the USA now) Debt problem, for however long it lasts, the New New Era. As opposed to the New Deal which saw a contraction of credit (after the Crash of 1929) and expansion of fiscal stimulus, we have an expansion of credit and fiscal stimulus. The New Deal was not kind to stocks, but great for government bonds as the real yields plunged to negative numbers (sound familiar?). The difference is after the 2008 Crisis we got lots of credit through TARP and various monetary pops from the Fed. No doubt Fed policy makers learned from The Depression to keep the money taps open. I think the problem now is Europe did not go through the serious bloodletting that the USA did in 2008. Besides the US debt downgrade, not much has changed in the last 3 weeks or so (not that the debt ceiling resolution or other economic news has been that great). Let’s examine 10 Day Realized Volatility during the era of New New to see what we can see.

First here is a short primer on the Financial Crisis of 2008 and 10 Day Realized Volatility. In the Aqumin Time Series Landscape below the Dow Jones Industrials are laid out like standard bar charts side by side to read an actual volatility impression of the market. Time is moving from January of 2008 on the left to today (just out of sight). It is easy to pick out outlier patterns like this. Dark Green bars are over 80% Realized Volatility for the previous 10 Days. White is near 50% and Dark Red is below 20%. The Financial Crisis in 2008 is pretty easy to spot. Note that it was really two, 3 month periods of extended volatility. BAC topped out at about 311% 10 Day Realized Volatility when things got really nasty.

Also note how Realized Volatility collapsed as the financial crisis tailed off. Stocks stopped moving while market participants scratched their heads as to what was going on. The next phase of the New New Era is last summer’s meltdown from Greece and other higher risk nations in the Euro Area.

I have a Money Center bank like JPM topping out around 56.45% for a 10 Day Realized Volatility. If you note the Dark Red area just to the left of the JPM flag, 10 Day Realized Volatility was very low and that Euro Crisis was about a double on average for the 2 month span of higher numbers. The Euro band aid and QE2 seemed to hold things together as volatility in the Dow receded a bit.

Now we get the S&P shocker below which I believe added the US officially to Sovereign Debt pile in people’s minds. Notice the giant spike in 10 Day Realized Volatility as the market literally melted. Stocks might climb a wall of worry but they fall off a cliff in a panic. As of today we are about 50% off of the 10 Day Realized Volatility highs of early August but near the same level as the peak last summer as you look across the DJIA stocks. Just compare the relative levels now with the picture above. I have JPM highlighted at around 47.735 10 Day Realized Volatility. Also note the last few days as most of the building are inching back up. The leader in the corner is HPQ (after trying to get out of the personal computer business and feels a lot like IBM in the early 1990’s) and next comes BAC. BAC now has the Berkshire Hathaway put going, and while I can’t pretend to know how Mr. Buffet operates, that BAC Preferred Stock purchase might be a subtle way of Warren telling the President, “Leave the banks alone, we still need them!”

Now back to Willie’s song, You were always on my mind. The market volatility is coming from policy problems the G7 governments can’t seem to fix, which is how I read this Time Series Landscape. The tools are there but the politics and problems linger and having the USA tossed into the mess brought things from the back of the mind to the sell button. JPM seems to have slowed down a bit and is trading well under the 10 Day Realized Volatility of last summer. I think a little less relative volatility means a more stable outlook and you might want to selectively sell, controlled long bias type option premium in there. HPQ will have a hard time seeing 10 Day Volatility get much higher than it is right now and you can trade that accordingly. BAC has the Buffet put on so it is probably not going out of business even though the market priced it that way 5 days ago.

Sovereign Debt worries are on my mind, so I don’t do anything that big and wait for the next shoe to drop in our New New Era.

Aqumin Volatility Newsletter 08/09/2011 - $CAT, $BAC, $MCD

2011-08-09T07:56:00.001-07:00

Put a Collar on your CAT

As I write this volatility report, I realize the Equity Markets have had what psychologist must dub a Nervous Breakdown. Where things were already on a knife edge and some event comes along and the mind falls apart. I view the S&P downgrade as something like that. There was thin confidence in governments of late and now someone said they need to get their act together. This was a surprise? Imagine if S&P did this in 2006 with Mortgage Backed Securities? Congressmen would have screamed at them for killing the American Homeowners dream. Either way, Sovereign Governments will have to spend less (or better collect revenue) because economies only generate so many dollars. The Politicians should thank S&P for giving them cover to do the
$1 Trillion per year in cuts that is needed. The change in spending alone will give the patient (market) the confidence it needs to get rolling again.

So what did this do to market Implied Volatility? It went through the roof and you don’t need a 3D Landscape to tell you that. When the S&P 500 moves at 5% per day, the VIX is going to soar and stocks are going to move in lockstep. So let’s go back in time to 2 or so weeks ago, prior to the breakdown and perform some hypnotherapy on the Dow and see what we see.

Anyone with a Bloomberg Terminal or a decent downloadable data feed can run AlphaVision™ for Excel. This chart setup is an expanded Time Series unique to Aqumin and provides a new way to chart market data. I have loaded the Dow 30 stocks in rows and measured the relative performance of each name. The Green Spikes are a 45% over performance and the Dark Red spikes are 30% underperformance. The rows are ordered by the relative performance starting from best (to worst). The best was CAT and the worst was BAC.

At this point you say big deal. I can see that in my Dow spreadsheet. Even if you did not know CAT was the Dow leader this year, BAC is not much of a surprise (it does look like capitulation now). However, with Aqumin’s 3D landscapes you can spin the charts around and get a new view below. The view now is definitely not how market participants can look at charts. You can see the last 2 weeks of all the charts at once. CAT is moving back very quickly to the pack even if the story has not changed. That is the market selling everything and possibly the best holdings more to raise cash.

CAT road the global growth story best all year since it sells the trucks that mine everything hungry emerging economies want. Its fall has been stunning (on an absolute basis) and the market is quickly relegating it to look like all the other names in the Dow. The relative performance is almost back to MCD (#2). Things are a little to fresh to just go out and buy the name. But CAT, properly fitted with a 3 month+ out option collar looks like a way to run when the name resumes with a bolt. The outperformer once will be the outperformer again and an option collar adds a trading piece should things get uglier in the short term.

Aqumin Volatility Newsletter 08/04/2011$GLD $GDX $NEM $ABX $NGD $KGC $AEM $BHP $FCX $IAG

2011-08-04T07:27:00.001-07:00

The big Debt Crisis ended with a thud. Now it is up to a committee and the next election to decide if spending 8% or so of GDP on yearly deficit is a good idea. I will leave that for the pundits and voters to decide. What happened in the equity and volatility markets gave a more telling vote. The stocks sold off and VIX increased since my last post from 20.55 to 23.38. The worries are more about the economy and possible recession even with corporate profits (and global growth) currently very strong. Really just bad sentiment and uncertainty that is driving the market and the debt vote did little to change that. Since AlphaVision for Bloomberg has a historical function I thought it would be instructive to compare my last post to the volatility pricing on the close of August 3^rd.

First as a review, last week I looked at 3 month Implied Volatility (IV) relative to 2 year lows (for color and position). If the building is red and at the bottom of each GICS Industry plate, the names are within 10% of 2 years lows (for the 3 month IV) and lowest relative for the group. I use height for 1 Day Price Change to isolate any gaps from the volatility read. I thought the Gold Stock (highlighted) volatility looked too cheap to me last week.

Now take a look at the same landscape this morning.

This is the nice thing about using visual cues in a landscape. The Gold Stock group that I have been following is less red (we were right from last week’s post) so the 3 month Implied Volatility has popped a bit. Also all the Gold Names became more bunched at the bottom from last week too which means they are staying closer to their 3 month Implied Volatility lows relative to the rest of the group (although not as low as before). It appears the market is relegating these names to the bottom of the volatility (less uncertainty about direction which I take to mean gold is not falling off a cliff any time soon) heap even as gold makes new highs.

I also had a broad quoted landscape of the volatility market last week (same view as above but panned out).

Notice there was a lot of red in it. Even going into the Debt Crisis vote plenty of names were trading within 10% of 3 month Implied Volatility 2 year lows. Now look at the close yesterday and what do you see?

Where did all the red go? Save for 10 or so names most of the 3 month Implied Volatility in equity market is well off their 2 year lows and much of it is 50% higher (dark green). After the Debt Vote, the 3 month Implied Volatility is higher in individual names then before which does not make sense to me. Yes we had a slide down but on balance the uncertainties have declined slightly (at least in the US). The Volatility market is not buying it for now so I will sit on the Gold Premium and start looking to sell some of the expanding volatilities in the ETF’s as opportunity and pricing permits. These sentiment driven markets can change in a hurry.

From last week- “the GLD and GDX ETFS’ are trading 19% and 14% of 3 Month Implied Volatility two year lows.”

The print from this week- the GLD and GDX ETFS’ are trading 26% and 20% of 3 Month Implied Volatility two year lows so we got a nice little move up in 3 month IV but not as much as the market overall.

Aqumin Volatility Newsletter 07/26/2011$GLD $GDX $NEM $ABX $NGD $KGC $AEM $BHP $FCX $IAG

2011-07-26T08:00:00.001-07:00

Aqumin just finished a successful run in New York City at the FinTech Innovation Lab sponsored by the New York City Investment Fund and Accenture with some of the larger investment banks (see this link: http://gigaom.com/2011/07/22/fintech-start-ups-wield-data-and-smarts/ or search for Aqumin FinTech Innovation Lab). It was a great opportunity to grow the company and we started pilots in several of the top banks. The idea is you use Aqumin technology to look for things that are not readily apparent and control risk or trade appropriately. The example below with the Gold Stocks is a case in point.

Panning for Gold

The Debt Crisis is getting all the headlines. The last time I checked Uncle Sam still generates enough revenue to cover interest payments. Perception scares the market and in the current climate the debate causes anxiety that is still too fresh in everyone’s memory. Market participants are a little spooked, so gold prices continue to make all time highs. That is headline news. I have a standard view that looks at 3 Month Implied Volatility against the 2 year lows of 3 Month Implied Volatility. Generally I care when that number gets to within 10% of its two year low. The view below is just a snapshot of that result.

The height of each equity building is the one day price change. Note yesterday had some activity but what I wanted was a place where current movement was not affecting implied volatility. A collection of red buildings have longer term 3 Month Implied Volatility trading within 10% of their two year lows. I was mostly interested in a larger group of names (lots of flat, red buildings) to see if any particular sector was in the volatility basement. To my surprise much of the Metals and Mining GICS Industry Names were there. Mainly the Gold Miners and Steel Producers filled the bottom. This surprised me.

When implied volatility gets very low on a longer term basis, the market is usually taking out one side of the equation. Can the price of gold keep going up? Is the Debt Crisis really a Debt Crisis? You would think with all of the near panic these levels in the Gold Stocks would be much higher. Also, I concede a run up in the names automatically pushes the Implied Volatilities down. But a crisis would spur a greater flight to Gold and the longer term implied volatility says no. So what to do? Standard trading practice says when implied volatility is cheap you buy it. In the current case with the Gold Stocks you simple buy volatility as an asset. A combination of Delta Neutral calls and puts in the farther out months generally would do the trick on a few select Gold Stocks. This way you hedge both the “Debt Crisis” and possible slide in Gold should the dollar start to regain value through the miracle of fiscal responsibility. Buying Gold Stock Volatility at near bottom prices means you don’t have to spend much for the privilege.

FYI- the GLD and GDX ETFS’ are trading 19% and 14% of 3 Month Implied Volatility two year lows.

Aqumin Volatility News Letter 07/19/2011 $GOOG $COG $RRC $NBR $PXD $TSO

2011-07-19T13:13:00.001-07:00

Are the Energy Stocks moving like Google or vice versa?

Just when you thought the Aqumin Volatility News Letter disappeared, you get something new in your inbox. The fact is Aqumin has been busy with opening an office in New York City and I have had zero time to monitor the market as we expand the business. I even had to halt my side job for TheStreet’s Option Profits with a solid run (79%+ win rate with all posted in print) there using AlphaVision™. Either way I wanted to take a look at the market again with the “Debt Crisis” going nowhere and Google’s (surprise!) return to big time profits and growth.

Most traders use a variety of cues and alerts to set off a trade or adjust a position. Using AlphaVision™ as a 3D Quoting System just means alerts are broader (you see the larger universe too) and cues are opportunity driven. Simply, you do not know what you are going to get when you pull up a view (which is where I think the edge is). I chose a set up of 30 Day Historical Volatility and 1 Week Price Total Return using Bloomberg Data.

The tall, spiky buildings have 30 Day Historical Volatility of 40% (Dark Green alert color) or more and 10% or more in 1 Week Total Return. Front and center is GOOG on news and earnings pop. Clearly a surprise for the market but what else looks close? That would be the standout Energy GICS Sector Group. Many of those names took off after a takeover in the group. At least for the S&P 500 (in this view) it is clear where the money is pouring into with pretty solid upward momentum (higher overall HV).

To me it looks like the Energy GICS Sector is getting a little ahead of itself, especially when compared to the rest of the S&P 500 and the one off GOOG move. I not saying run in front of the train but writing some out of the money calls or fitting some collars with the run up might not be a bad idea for holders of some of these names who have enjoyed the rally.

I normally would have stopped there with the post. But a secondary observation on how sustainable 40% 30 Day Historical Volatility is for the Energy names would be interesting. The new functionality in AlphaVision™ for Excel (we are shipping now) really helps the drill down after you have had a nice horizontal quote with the standard AV for Bloomberg Landscape. In the screenshot below I dug into all of the GICS Energy Stocks to look at 30 Day Historical Volatility to see if what I am noticing today is significant. Each Time Series Graph (left to right for the past year) shows 30 Day Historical Volatility (HV30) where my cut off is 40% on the upside (Dark Green) and 20% on the downside (Dark Red).

The names in this group don’t get over 40% HV30 very often (except for ANR). Last summer (far left of the 3D chart) when things were melting you notice the Dark Green “Euro Contagion.” Since then only select times when the HV30 pops above 40% for any particular Energy name in the S&P 500. Notice the trough in HV30 around January of this year. How did I come up with 40% on the upside? I just moved the slider bars in the interactive part of AV until I saw a significant level.

Looking at this 3D Time Series and with the run up in the Energy stock prices this is certainly better levels for selling volatility so let’s see how long the movement can last. But as I noted earlier, might be a good time to write some calls against existing positions.

$CRS Aqumin Opening Update 06/20/2011

2011-06-20T07:52:00.001-07:00

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

Focus: Materials

CRS is up 10.84% this morning at 10:42 am ET on acquisition news. CRS 30 Day Put Implied Volatility is up 16 pts. for the day from 39.5% to 55.6% and rising off of short term 30 Day Implied Volatility lows. CRS is the largest gaining Materials stock 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. Order the landscape by Last Trade/Last Price for real time screening on the top 2645 traded option classes without unnecessary alerts.

$CSC Aqumin Opening Update 05/26/2011

2011-05-26T08:00:00.001-07:00

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

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

$KWK Aqumin Midday Update 05/12/2011

2011-05-12T13:08:00.000-07:00

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

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 2^nd 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.

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

2011-05-11T13:20:00.001-07:00

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 6^th(front row, 6^th 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.

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.

$DK Aqumin Midday Update 05/10/2011

2011-05-10T10:32:00.001-07:00

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

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 2^nd 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.

$NBL Aqumin Midday Update 05/02/2011

2011-05-02T08:57:00.001-07:00

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

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.

$BIIB Aqumin Midday Update 04/29/2011

2011-04-29T10:46:00.001-07:00

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

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.

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

2011-04-28T09:38:00.001-07:00

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.

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.

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.

$QPSA Aqumin Opening Update 04/25/2011

2011-04-26T08:33:00.001-07:00

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

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.

$UTEK Aqumin Midday Update 04/25/2011

2011-04-25T11:59:00.001-07:00

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

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.

$UNH Aqumin Opening Update 04/21/2011

2011-04-21T06:52:00.001-07:00

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

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.

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

2011-04-20T13:11:00.001-07:00

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.

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).

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.

$PWRD Aqumin Opening Update 04/19/2011

2011-04-19T07:59:00.001-07:00

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

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.

$CYH Aqumin Opening Update 04/18/2011

2011-04-18T07:45:00.001-07:00

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

Focus: HEALTHCARE SERVICES

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.

$AGO Aqumin Midday Update 04/15/2011

2011-04-15T09:58:00.001-07:00

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

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.

$GDOT Aqumin Opening Update 04/14/2011

2011-04-14T06:49:00.001-07:00

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

Focus: Commercial Services

GDOT is down 1.0 % this morning at 9:41 am ET. GDOT shows the most 25 Delta Skew in the 2^nd 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.

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

2011-04-13T08:21:00.001-07:00

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 12^th. 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.

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.

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.

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

$ZHN Aqumin Opening Update 04/12/2011

2011-04-12T07:21:00.001-07:00

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

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.

$LEN Aqumin Midday Update 04/07/2011

2011-04-07T08:57:00.001-07:00

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

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.

$EBIX Aqumin Midday Update 04/06/2011

2011-04-06T12:32:00.001-07:00

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

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.

So Texas Instruments buys National Semi, who knew?

2011-04-05T08:58:00.001-07:00

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.

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.

$VHC Aqumin Midday Update 04/04/2011

2011-04-04T09:23:00.001-07:00

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

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.

$HIT Aqumin Opening Update 03/30/2011

2011-03-30T07:30:00.001-07:00

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

Focus: Japan & Electrical Components

HIT is up over 7% this morning (10:17 ET) on word that their main production plant will resume full operation next month. Current 2^nd Month Implied Volatility is at a 16% premium to the average of the 2^nd Month Implied Volatility of the last 12 month.

Use the Stock and Option Price Movement View in the View Library in AV Pro to follow the morning activity and throughout the day. Use MidVol Change View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$ETP Aqumin Opening Update 03/29/2011

2011-03-29T06:49:00.001-07:00

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

Focus: Energy

ETP is down 2.5% this morning at 9:44am with just over a 2 Standard Deviation move. ETP is already trading twice its daily average volume.

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

$ACN Aqumin Opening Update 03/25/2011

2011-03-25T07:49:00.001-07:00

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

Focus: Computers

ACN is up 6% this morning on upbeat earnings forecasts at 10:44am. ACN is trading at an 11% premium to it’s 1 year average 60 Day Implied volatility.

Use the Above Average Option Volatility (long term) View in the View Library in AV Pro to follow the morning activity and throughout the day.

$IMAX Aqumin Opening Update 03/24/2011

2011-03-24T08:06:00.001-07:00

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

Focus: Electronics

IMAX is up 12.3% this morning with almost all of the market up at 11:00 am. IMAX is trading at a 20% discount to the it’s 1 year average 60 Day Implied volatility.

Use the Above Average Option Volatility (long term) View in the View Library in AV Pro to follow the morning activity and throughout the day.

A meltdown I can live with….

2011-03-23T09:22:00.001-07:00

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…

$WAG Aqumin Midday Update 03/22/2011

2011-03-22T11:34:00.001-07:00

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

Focus: Earning Reported Today

WAG is down 6.5 % for the day on relatively disappointing same store sales. WAG April Implied Volatility is trading 6 pts. over 30 Day Historical Volatility after the Earning Implied Volatility decrease.

Use the 2^nd Month IV and Stock Price up or down on the day View in AV Pro to identify stocks with similar implied volatility moves.

$GBX Aqumin Opening Update 03/21/2011

2011-03-21T07:23:00.001-07:00

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

Focus: Trucking and Leasing

GBX is up 5.3% this morning with almost all of the market up at 10:15 am. GBX made a 52 week high this morning with Trucking and Leasing leading the market in Average Underlying Price Change.

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

$CIGX Aqumin Midday Update 03/18/2011

2011-03-18T12:27:00.001-07:00

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

Focus: Agriculture

CIGX is UP 12 % for the day on future growth prospects. CIGX is trading at 6 month highs in 30 Day Implied Volatility. 10 Day Historical Volatility is trading a 38 points above 30 Day Historical Volatility.

Use the Dead Money View in AV Pro to identify stocks with similar HV pricing.

$NRP Aqumin Opening Update 03/17/2011

2011-03-17T07:01:00.001-07:00

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

Focus: Coal

NRP is down 6.1% this morning with almost all of the market up at 9:59 am. NRP is the only coal stock down this morning.

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

$BTU Aqumin Opening Update 03/16/2011

2011-03-16T07:07:00.001-07:00

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

Focus: Energy

BTU is up 4.1% this morning with almost all of the market down at 9:59 am. Many of the non-Oil Energy stocks are doing very well as a result of the Japan Tsunami Disaster.

Use the Default EQUITY View in the View Library in AV for Bloomberg to follow the morning activity and throughout the day.

What it takes to bid up a Treasury Bond these days…

2011-03-15T15:04:00.001-07:00

Honestly, the news coming out of Japan feels more like a James
Bond subplot. Except we don’t have Mr. Bond, we have Tokyo Electric Power Co. (who by the end of this might be as famous as Mr. Bond if they can fix this mess) as the potential heroes and the heroic work is done in maddening hyperbole by CNN instead of behind the scenes. Another reason for the market to selloff and we have had some great reasons lately. Since they were selling everything, it pays to look at what they were buying.

Using Aqumin’s AlphaVision landscape draws me to where the action is. Normally when I look for topics for TheStreet.com’s syndicated column (18 in a row again for winners) I like to start with a view in the morning to set up what is happening. The view below is in AV Pro and it simply shows change in price and change in Implied Volatility in the 2nd Expiration Month. A big, green building in the corner shows me that the stock was up today, along with the implied volatility.

For Direxion Daily 30-Yr Treasury Bull 3X Shares (TMF) today was its big day to shine with a gap you don’t see very often. A flight to quality always accompanies destabilizing world events and a James Bond rescue on camera certainly qualifies. There has been a slow rally in Treasuries for the week or so and I can’t help but think this is the last gasp for them. It takes the hint of disaster for the T-Bond to pop and there are only so many of those to go around. Implied Volatility was up just a bit in the TMF to bring the midterm Implied Volatilities in line with recent movement (see the chart in the lower right hand corner) but Implied Volatility is still trading near lows for the past 6 months. Nowhere near a panic. Maybe this is the last gasp for Treasuries for Q1. Let’s see how it ends up.

$TMF Aqumin Opening Update 03/15/2011

2011-03-15T07:54:00.001-07:00

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

Focus: Debt Funds

TMF is up 3.6% this morning with almost all of the market down at 10:42 am. The leveraged Treasury fund is leading all Debt Funds this morning. The At the Money Implied Volatility for the 2^nd month is UP 2.6 pts. April Implied Volatility is trading at a slight discount to the 2 week Historical Volatility for the TMF.

Use the 2^nd Month IV and Stock Price up or down on the day View in the View Library in AV Pro to follow the morning activity and throughout the day.

$CIGX Aqumin Midday Update 03/14/2011

2011-03-14T12:13:00.001-07:00

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

Focus: Agriculture

CIGX is UP 18 % for the day on positive patent news and future growth prospects. CIGX is trading at 2.5x the trailing one year lows in 30 Day Implied Volatility. 30 Day Historical Volatility is at a 3 month high.

Use the Cheap Implied Volatility 30 Day View in AV Pro to identify stocks with similar volatility pricing.

$GMCR Aqumin Opening Update 03/10/2011

2011-03-10T06:50:00.001-08:00

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

Focus: Beverages

GMCR is up 30% this morning with almost all of the market down at 9:42 am. The At the Money Implied Volatility for the 2^nd month is down slightly but the OTM puts have picked up between 3-5 points. GMCR now has a P/E of 74.

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

When expectation turns into sad reality…what to do?

2011-03-09T13:00:00.001-08:00

Sorry for not posting the Aqumin blog last week, I actually took a couple of days off….but there is plenty to notice today.

In the stock market there is nothing sadder than a fall from grace. Names climb higher (P/E ratios too) in the hopes of ever expanding earnings. Sometimes the companies just can’t maintain that level of activity. Shares of Finisar Corp (FNSR) issued diminished expectations for the next quarter and down went the stock.

Picking up this activity in Aqumin’s AlphaVision Landscape in the Abnormal Option Volume View is easy. The FNSR move is 1409% of 1 standard deviation (the tall building) for the name at the closing implied volatility. It is needless to say that this was not priced in to the options and is a good reminder of what can happen on any earnings announcement. The green color indicates volume at least 2 times Average Daily Volume. The Optical Networking area of the Telecom subsector was really on fire today with most of the names moving at least 250% of 1 standard deviation and implied volatility in April up 4 or 5 points depending on the name.

For JDS Uniphase (JDSU), Oclaro Inc. (OCLR) and Oplink Communications (OPLK) earnings don’t come until after the April cycle (check for yourself). Obviously the FNSR announcement has put a damper on the potential continuation of growing earnings in the group. One thing about a pop in implied volatility is that it works for calls and puts. The out of the money calls are expanding with the rise in Implied Volatility as liquidity providers adjust to all the new downside protection they have to sell. These giant moves don’t happen every day and getting back to the lofty levels previously held will be fighting gravity. Maybe letting a few of the upside calls go in a JDSU is not such a bad idea. At least the market is paying you more for them today.

$FNSR $OPLK $JDSU Aqumin Opening Update 03/09/2011

2011-03-09T07:12:00.001-08:00

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

Focus: Telecom

FNSR is down 32% this morning with other Telecoms very weak as of 10:43 ET. The At the Money Implied Volatility for the 2^nd month is up 3.5 pts. with rising implied volatility in the Telecom Subsector.

Use the 2^nd Month IV and Stock Price up or down on the day View in the View Library in AV Pro to follow the morning activity and throughout the day.

$RSH Aqumin Midday Update 03/08/2011

2011-03-08T12:12:00.001-08:00

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

Focus: Retail

RSH is UP 5.2 % for the day on takeover rumors in a Subsector that is the performing in the middle of the market. RSH has a 3.5 pt. change in 2nd month At the Money Implied Volatility. Of note, RSH Implied Volatility in Apr is just 4pts over the trailing 14 Day Historical Volatility.

Use the 14 Day MidVol Outlook View in the option landscape and adjust the height to opt_TotalComposite Volume to identify other stocks exhibiting similar patterns in the View Library in AV Pro.

$DHI Aqumin Opening Update 03/08/2011

2011-03-08T07:49:00.001-08:00

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

Focus: Home Builders

DHI is up 3.7% today and the Homebuilders lead the market on average as of 10:43 ET. The At the Money Implied Volatility is trading 9% over the 14 Day Historical Volatility. Airlines are the #2 Subsector.

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

$USMO Aqumin Opening Update 03/07/2011

2011-03-07T06:10:00.001-08:00

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

Focus: Telecom Services

USMO was down 9.8% last week on news of acquiring another company. UMSO is thinly traded and there are not traded options on this name. Telecom Services was the lowest performing GICS Sector last week on average.

Use the 1 Week Total Return View in the View Library in AV for Bloomberg to follow the morning activity and throughout the day.

$ZN Aqumin Opening Update 03/02/2011

2011-03-02T08:05:00.001-08:00

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

Focus: Oil and Gas

ZN is up 14.8% today (1:28 ET) on a good earnings report with the Mining Stocks the #2 Subsector currently. ZN is thinly traded and Implied Volatility is in the middle of the range for this name. Oil and Gas has moved to the middle of performers today.

Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Use the 60 Day MidVol Outlook View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$NVAX Aqumin Opening Update 03/01/2011

2011-03-01T06:59:00.001-08:00

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

Focus: Biotechnology

NVAX is up over 30% this morning (9:34 AM ET) on news of a government vaccine contract. The Biotechnology stocks are doing moderately better than the broader market this morning, mostly on the strength of NVAX. NVAX 2^ND Month At the Money Implied Volatility is up over 20 points over the past week.

Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Use the MidVol Change View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$PDLI Aqumin Midday Update 02/28/2011

2011-02-28T12:41:00.001-08:00

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

Focus: Biotechnology

PDLI is UP 13.99 % for the day (News and Earning Expectations) in a Subsector that is the performing in the back of the market. PDLI has a 9.6 pt. change in 2nd month At the Money Implied Volatility. Of note, PDLI reached a short term (3 month) high in 30 Day 25 Delta Call Implied Volatility.

Use the 2^nd Month IV and Stock Price up or down on the day View to identify other stocks exhibiting similar patterns in the View Library in AV Pro. Use MidVol Change to assess per strike volatility in the Option Landscape.

$CDE Aqumin Opening Update 02/28/2011

2011-02-28T07:10:00.001-08:00

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

Focus: Mining

CDE is up 9.5% today (1:28 ET) on a good earnings report with the Mining Stocks the #2 Subsector currently. CDE is trading highest for the Miners today. CDE 2^ND Month At the Money Implied Volatility is down 2.8 points today.

$PANL Aqumin Midday Update 02/25/2011

2011-02-25T13:26:00.001-08:00

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

Focus: Electronic Components and Equipment

PANL is UP 5.3 % for the day in the Electronic Component and Equipment Subsector. That Subsector is the 3^rd worst performer of the day. PANL has a 1.3 pt. change in 2nd month At the Money Implied Volatility. Of note, PANL reached a short term (3 month) high in 30 Day 25 Delta Call Implied Volatility today.

$OVTI Aqumin Opening Update 02/25/2011

2011-02-25T10:37:00.001-08:00

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

Focus: Semiconductors

OVTI is up 25% today (1:28 ET) with the Semiconductors the #2 Subsector currently. OVTI is trading highest for the Semiconductors today. OVTI 2^ND Month Implied Volatility is down 9.6 points today. Note the amount of “red” in the AlphaVision Landscape- option implied volatilities are dropping sharply across the market in the 2^nd Month.

Use the 2^nd Month IV and Stock Price up or down on the day View in the View Library in AV Pro to follow the morning activity and throughout the day. Use 14 Day MidVol Outlook View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$UCO $SGY Aqumin Opening Update 02/24/2011

2011-02-24T06:50:00.001-08:00

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

Focus: Commodity Funds

STO is up 9.2% this morning (9:39 ET) with Oil and Gas the #1 Subsector on the open today. UCO opened highest for the Commodity Funds this morning. UCO 30 Day Implied Volatility is close to double its lows for the year (74v vs. 38v).

Use the Cheap Implied Volatility 30 Day View in the View Library in AV Pro to follow the morning activity and throughout the day. Use 14 Day MidVol Outlook View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$SA Aqumin Midday Update 02/23/2011

2011-02-23T13:44:00.001-08:00

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

Focus: Mining

SA is UP 6.5% for the day. SA has a negative skew in the 2^nd month 25 delta Call/Put of -6.6 pts. with the OTM calls trading at a slight premium. The Mining Subsector was the #2 performing Subsector for the day

Use the Largest Skew View to identify other stocks exhibiting similar patterns in the View Library in AV Pro. Use MidVol Change to assess per strike volatility in the Option Landscape.

A Bull market somewhere…

2011-02-23T07:14:00.001-08:00

An old saying goes, “there is always a bull market somewhere.” What is notable for me as a volatility trader is the size and speed of how that new bull market materializes. On a day like the February 22^nd when most of the equity market went to pot what sprouted among the ashes?

For a look at the 3200 or so stocks, indexes and ETF’s that have listed options the market looked a lot like this (see below) on the close. This is a snapshot of an Aqumin Landscape View, Cheap Implied Volatility 30 Day, showing both Percentage Price Change on the Day and the Ratio of 30 Day Implied Volatility to the lows of the year (note the chart of the VXX 30 Day Implied Volatility for the 25 delta call in the lower right chart). Essentially tall, red buildings are very near their 30 Day Implied Volatility lows of the year and had a banner day on February 22^nd. (www.aqumin.com)

What was the standout? That old victim of the perpetual VIX future roll the short term VIX future ETF, the VXX. The solid selloff caused the biggest move that ETF has seen in a longtime; more than a 10% jump in price and option Implied Volatility. The other giant building on the far left of the landscape is the EDZ (Direxion Daily Emerging Markets Bear 3x ETF) in the Asset Allocation Subsector.

The Bull Market for February 22^nd was in Volatility Assets and Inverse Index Funds (well most of it). This jump in these names was just the first shot of two financial products coming off of near 1 year lows in both Price and Volatility on a day when world events took center stage. The real question is whether these are sustainable new mini-bull markets in these products. If the addled Mr. Gadhafi gets the hook like the much more genteel Mr. Mubarak, the bull market in these two names will be short indeed.

$VXX Aqumin Midday Update 02/22/2011

2011-02-22T13:47:00.001-08:00

This midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Equity Funds

VXX is UP 12.35% for the day. VXX is 6% off of its IV30 lows for the year and was the number 1 performing Equity Index Fund for the day

Use the Cheap Implied Volatility 30 Day View to identify other stocks exhibiting similar patterns in the View Library in AV Pro. Use MidVol Change to assess per strike volatility in the Option Landscape.

$GLD Aqumin Opening Update 02/22/2011

2011-02-22T06:52:00.001-08:00

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

Focus: Commodity Funds

GLD is up 1.23% this morning (9:39 ET) with the Commodity Funds the #1 Subsector on the open today. GLD’s 30 Day Implied Volatility is only 7% off of its lows for the year.

$MAKO Aqumin Opening Update 02/18/2011

2011-02-18T07:45:00.001-08:00

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

Focus: Healthcare Products

MAKO is up 7.23% this morning (10:39 ET) with multiple large gainers today. MAKO’s 30 Day Implied Volatility is 8% off of its lows for the year.

$TSLA Aqumin Midday Update 02/17/2011

2011-02-17T13:35:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Auto Manufactures

TSLA is DOWN -4.59% for the day. TSLA 2^nd Month Implied Volatility is up 3.57 pts. and is the largest move in the Auto Manufactures SubSector

Use the Stock and Option Price Movement View to identify other stocks exhibiting similar patterns in the View Library in AV Pro. Use MidVol Change to assess per strike volatility in the Option Landscape.

$CCME Aqumin Opening Update 02/17/2011

2011-02-17T06:46:00.001-08:00

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

Focus: Advertising

CCME is up 14.23% this morning (9:39 ET) with multiple large gainers today. CCME’s 30 Day Implied Volatility was trading at a 58% discount to the 14 day Historical prior to the opening.

Use the Option Volatility Outpacing the Short Term Stock Volatility View in the View Library in AV Pro to follow the morning activity and throughout the day. Use 14 Day MidVol Outlook View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$WNR Aqumin Opening Update 02/16/2011

2011-02-16T07:02:00.001-08:00

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

Focus: Oil & Gas

WNR is up over 6% this morning (9:39 ET) on a moderately strong market opening. 2^nd Month Implied Volatility change is close to flat for the opening.

By: Jason Javarone

$LPHI Aqumin Midday Update 02/15/2011

2011-02-15T12:51:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: INSURANCE

LPHI is DOWN -7.65% for the day and hit a 52 Week low. LPHI 2^nd Month Implied Volatility soared 25.75 pts and is the largest move in the Insurance Subsector

$WYN Aqumin Opening Update 02/15/2011

2011-02-15T07:14:00.001-08:00

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

Focus: Lodging

WYN is up 5.3% this morning (9:39 ET) on a lackluster opening. 2^nd Month Implied Volatility change is flat for the opening. Mining is the number 2 opening Subsector this morning.

Use the Stock and Option Price Movement View in the View Library in AV Pro to follow the morning activity and throughout the day. Use MidVol Change View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$BSQR Aqumin Midday Update 02/14/2011

2011-02-14T13:34:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: SOFTWARE

BSQR is up 10.71% for the day. BSQR 2^nd Month Implied Volatility is up most for the Software Subsector at 5.1 pts. Earnings are expected March 3

$ENOC Aqumin Opening Update 02/14/2011

2011-02-14T06:44:00.001-08:00

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

Focus: Electric

ENOC is down 8.8% this morning (9:39 ET) on a lackluster opening. 1 Week change in 30 Day Implied Volatility is UP 29 pts. and ENOC is down 24.3% for the week.

Use the 1 Week Change in Stock and Option Implied Volatility View in the View Library in AV Pro to follow the morning activity and throughout the day. Use MidVol Change View to assess per strike volatility in the Option Landscape. The landscape was filtered to show all option classes that trade over 200 contracts per day.

$AKAM Aqumin Midday Update 02/11/2011

2011-02-11T13:18:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Internet

AKAM is down -13% for the week. AKAM’s HV10 leapt 22pts over HV30 on the move down this week as a result of poor Earnings Expectations.

Use the Dead Money View to identify other stocks exhibiting similar patterns in the View Library in AV Pro. Use 30 or 60 Day MidVol Outlook to assess per strike volatility in the Option Landscape.

$CCME Aqumin Opening Update 02/11/2011

2011-02-11T06:51:00.001-08:00

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

Focus: ADVERTISING

CCME is down 1.1% this morning (9:46 ET) on a lackluster opening. 1 Week change in 30 Day Implied Volatility is down 77 pts. and CCME is down 4.2% for the week.

$CBOE $NDAQ Aqumin Midday Update 02/10/2011

2011-02-10T12:59:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Div Financial Services

CBOE is up 12.83% for the week with NDAQ up 6.3% for the week. The NDAQ 30 day Implied Volatility is up 7.5% vs. CBOE up 6%.

Use the 1 Week Change in Stock and Option Implied Volatility Pricing View in the View Library in AV Pro to follow this name. Use 14 Day MidVol Outlook to assess per strike volatility in the Option Landscape.

$CSCO $ALU Aqumin Opening Update 02/10/2011

2011-02-10T07:05:00.001-08:00

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

Focus: Telecom

ALU is up 14% this morning bucking the trend of bad news in the Telecom SubSector due to CSCO earnings disappointment. 2nd Month ATM Implied Volatility is DOWN slightly (3 pts.) in ALU.

Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Use MidVol Change View to assess per strike volatility in the Option Landscape. The landscape was not filtered to show all option classes.

Kneejerk Reaction - $PNCL $ZNH

2011-02-09T13:21:00.001-08:00

Of all the interesting market dynamics the one I am becoming fond of is the rising Chinese interest rates. China is growing too fast! Slam on the breaks and sell the stocks because interest rates are going up. I fondly remember the last Democratic President and the high interest rates we had to endure back in 1999. Ah… the good old days. So what does AlphaVision serve up for us today?

For our beta testers the View is Cheap Implied Volatility 30 Day (www.aqumin.com). I had the Airlines down 3^rd as a group this morning with Pinnacle Airline Corp. (PNCL) reporting less than expected earnings. In the view below, the taller the building the more the name is down for the day. Red color indicates the stock is trading closer or right on the one year lows for 30 Day Implied Volatility (after earning volatility declines quite a bit). China Southern Airlines (ZNH) was down around 5% which was much worse than the average for the group which was < 1%. There is also a bit perkier Implied Volatility with earnings two months away in ZNH.

Looks like a bad day to be a Chinese Airline instead of one with just bad earnings. To me this looks like a bit of an overreaction. ADR’s tend to gap, are illiquid and stay in a spot and there has not been much buy pressure for ZNH today. Maybe when everyone changes their minds and decides 1999 is not a bad place to be over the next couple of days, ZNH zips right back to where it came from.

$ZNH Aqumin Opening Update 02/09/2011

2011-02-09T06:54:00.001-08:00

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

Focus: AIRLINES

ZNH is down -4.1% this morning on news about Chinese interest rate hikes and Airlines are the 3^rd worst performer as a SubSector. 2nd Month ATM Implied Volatility is up slightly (1.5-2 pts) in ZNH.

$VNDA Aqumin Midday Update 02/07/2011

2011-02-08T14:51:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Earnings Date 2/10/2011

VNDA is down .47% today. Of all stocks coming into Earnings on February 10^th, the name is down the most for the week and sharply for the past year.

Use the Bouncing View and Earnings View in the View Library in AV Pro to follow this name. Use 14 Day MidVol Outlook to assess per strike volatility in the Option Landscape.

$HAL Aqumin Opening Update 02/08/2011

2011-02-08T07:12:00.001-08:00

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

Focus: Oil and Gas Services

HAL is down -3.7% this morning. 2nd Month Implied Volatility is up slightly (2.3 pts). Both Oil and Gas Services and Oil and Gas are the lowest performing Subsectors as of 10:06 ET

Use the Stock and Option Price Movement view in the View Library in AV Pro to follow the morning activity and throughout the day. Use 30 Day MidVol Outlook to assess per strike volatility in the Option Landscape. The landscape was not filtered to show all option classes.

$BPT Aqumin Midday Update 02/07/2011

2011-02-07T13:04:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Oil and Gas

BPT is down 4.2%. The One Week Change in price is -9.8%. HV10 has jumped 15 pts over HV30 on the recent downturn.

Use the Dead Money View in the View Library in AV Pro to follow this name. Use 14 Day MidVol Outlook to assess per strike volatility in the Option Landscape.

$REFR Aqumin Opening Update 02/07/2011

2011-02-07T06:48:00.001-08:00

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

Focus: Electrical Components & Equipment

REFR is up sharply this morning (9:38 ET) following the positive news. 2nd Month Implied Volatility is up slightly but with very illiquid trading in the options. Alt Energy, Coal and Iron and Steel opened strongly.

$CCME Aqumin Midday Update 02/04/2011

2011-02-04T12:48:00.001-08:00

This view midday view helps identify stocks that are gapping up or down and might present early opportunities.

Focus: Advertising

CCME is up sharply on a bounce after fraud claims but down for the week. The One Week Change in 30 Day Implied Volatility is 44 pts.

Use the 1 Week Change in Stock and Option Implied Volatility Price Movement in the View Library in AV Pro to follow this name. Use 30 Day MidVol Outlook to assess per strike volatility in the Option Landscape. You might have to reboot AV Pro to see this view.

$FNSR Aqumin Opening Update 02/04/2011

2011-02-04T06:50:00.001-08:00

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

Focus: Telecommunications

FNSR is up sharply this morning (9:38 ET) following the Earnings Announcements by JDSU. 2nd Month Implied Volatility is dropping sharply post earnings for JDSU and FNSR. Healthcare Services stocks on Average opened #1 this morning.