Gardner Denver (GDI) - Calendar Vol Diff Opens; Stock Gaps Wildly; Apr Vol at Annual Lows

GDI is trading $71.78, up 1.3% with IV30™ down 2.5%. The LIVEVOL® Pro Summary is below.



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Gardner Denver, Inc. (Gardner Denver) designs, manufactures and markets engineered industrial machinery and related parts and services. The Company is a global manufacturer of engineered compressors and vacuum products for industrial applications.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Let's turn to the Skew tab to examine the vol diff and what is also a pretty weird skew shape.



We can see the vol diff between the front and the back months. There is a bit of a convergence to the OTM calls, or said differently, the vol diff is at its largest to the put side.

Now we can turn to the one-year Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see how wildly this stock can gap. It's almost a regular occurrence every few months. Oddly, there were two gaps in the last six months that were not on earnings dates.

On 10-25-2012 the stock went from $54.75 to $66 on news that the firm was considering a sale. Then on 12-21-2012 the stock fell from $75.54 to $67.40 when news broke that buyout talks were over. There was also a $3 gap up of of the earnings release on 2-22-13 BMO. This may be a stock priced to 34% IV30™, but its HV90™ is 43.71%. In any case, the Skew Tab reflects greater risk in the front month than the back, and by quite a large amount to the put side.

Finally, let's look to the Options Tab (below).



Across the top we can see that Mar vol is priced to 38.73% while Apr is priced to 26.32%. It's that vol diff that triggered the scan. Selling ~39% vol seems a little risk but owning vega for ~275 vol seems interesting. The 52 wk low in IV30™ is 25.44%.

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LIFE - Vol Breaches Annual High as Stock Gaps Off of Takeover Rumors Sparking and Cooling

LIFE is trading $57.98, up 1.1% with IV30™ down 1.1%. The LIVEVOL® Pro Summary is below.



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Life Technologies Corporation (Life Technologies) is a global life sciences company. It delivers a range of products and services, including systems, instruments, reagents, software, and custom services.

I found this stock using a real-time custom scan. This one hunts for elevated vols,

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percentile GTE 80
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated to its own annual history (at least in the 80th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The one-year LIFE Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see a nice Y-O-Y return from $47.89 to now about $10 higher, or more than 20% in a year. But, most notably, check out the price action of late.

There was a gap up on 1-18-2013 from $54.97 to $60.79 when the firm released news that it was exploring a buyer – i.e. buyout speculation . The stock continued to rise off that spec move all the way to $65.84 (its annual high), and then… there was earnings. And quiet… And then there was 2-20-2013 (seven days ago) when the stock gapped down from$63.36 to $58.13 when rumors circulated that the buy-out interest had gone cold.

Let’s turn to the IV30™ one-year chart in isolation, below.



We can see that the implied spiked on the gap up in mid-Jan on the takeover rumors, then collapsed, then spiked again into earnings, then collapsed and now has spiked again off of the drop on 2-20-2013 (on news perhaps of no takeover) and continued to rise. From the scan results we can see the implied is trading at its annual high, and I would say for good reason given the recent stock moves. Keep in mind, that all of the stock moves have surrounded exogenous factors – not organic internal factors. Given the whip-saw action, I think vol should be at an annual high… and maybe even higher than the current level.

Let’s turn to the Skew Tab to examine the line-by-line and month-to-month vols.



We can see a monotonic increase in vol from the back to the front. But, more notably, the vol diff between Mar and the back months is quite substantial. The option market reflects greater risk in the near-term than the intermediate – and for good reason.

Finally, let's look to the Options Tab (below).



Across the top we can see the monthly vols are priced to 50.95%, 39.63% and 36.03% for Mar, Apr and May. Again, note that vol diff between Mar ad the back expiries. This will almost certainly be one where either the vol is far too elevated or not even close to elevated enough. I guess we’ll see…

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Green Mountain Coffee (GMCR) - Depressed Vol; But Parabolic Front Month Skew Reflects Risk

GMCR is trading $44.71, down 1.8% with IV30™ up 1.8%. The LIVEVOL® Pro Summary is below.



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Green Mountain Coffee Roasters, Inc. (GMCR) is engaged in the specialty coffee and coffee maker businesses.

I found GMCR using a real-time custom scan. This one hunts for depressed vols, and any time this stock shows depressed vol, it feels like a compelling story.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The GMCR one-year Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see what most of us have grown used to, a wildly swinging stock. While the stock does tend to gap on earnings, sometimes it moves abruptly on "unexpected" news. This stock has been in the $110 range and as low as ~$18 all in the last couple of years. That's why the depressed vol caught my eye.

Let's turn to the one-year IV30™ chart in isolation, below.



We can see the vol crush after earnings, which is standard procedure for this stock (and most stocks), but I also note the sort of dwindling downward trend the implied has followed since the earnings vol crush. As of right now IV30™ is just above an annual low.

Let's turn to the Skew Tab.



This is an interesting perspective to keep while discussing the depressed vol. That is, the ATM strike vol for Mar and Apr expiries are similar, but Mar shows a decidedly more parabolic skew. In English, the OTM calls/puts are priced to much higher risk in Mar than in Apr. So, while the implied is depressed, the option market does reflect elevated "wing" risk.

Finally, let's look to the Options Tab (below).



Across the top we can see Mar vol is priced to 43.66% and Apr is priced to 42.77%, so less than a 1% point difference. Again, though, check out the vol diff to the OTM options. This could be an interesting trade to analyze: owning vega in Apr while selling the parabolic skew in Mar.

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Hewlett-Packard (HPQ) - Stock Rockets on Earnings; Did Someone Know? Here are $4.5 million Reasons to Think... Yes...

HPQ is trading $19.47, up 13.9% off of earnings with IV30™ down 29.8%. The LIVEVOL® Pro Summary is below.



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This is a quick note on what appears to be some very well timed option trades in HPQ just ahead of earnings in options that expire the day of earnings i.e. today.

Let's start with the stock price of HPQ on close 2-20-2012, below.



So, we're talking sub $17.00. Now let's look at the option activity specifically on the Feb22(W) 17.5 calls. That is, the OTM calls that expire on the day after the earnings announcement.



I've highlighted the line. We can see that 21,497 calls traded for ~$0.28 each with existing OI of 5,124. Now, let's turn to Thursday's closing options montage.



First, note that the OI jumped from 5,124 to 21,760 -- so the lion's share of the trades on Wed were new opening positions. We can also see that another 14,000+ of those weekly calls traded, this time for ~ $0.33 each.

And today... Let's look at the options montage.



We can see the OI is now 31,864 for a total gain in OI from Wed --> Fri of 5,124 --> 31,864 or 26,740 new opening long call positions for an average price of ~$0.30. And how did that trade work out?

With HPQ at $19.50, those calls expiring today are worth $2.00 each, or a $1.70 gain on a $0.30 risk for a 550%+ gain or $4.5 million gain on a bet of ~$800,000.

Not too shabby...

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EBIX - Stock Collapses; Vol Explodes on Accusations of Accounting Sham. Option Market Says We are not at Equilibrium.

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Note the original post date: Thursday, February 21, 2013

EBIX is trading $14.41, down 24.4% with IV30™ up 125.8%. The LIVEVOL® Pro Summary is below.



Ebix, Inc. (Ebix) is an international supplier of software and e-commerce solutions to the insurance industry.

The news is simple – accusations of accounting fraud. In fact, the term “sham” has been thrown around. Gotham City Research LLC has claimed in a note that the company’s “accounting is Unreliable, Inaccurate, and Incomplete,” its “tax strategy is a sham,” and its stock “deserves to be Halted” per a Barron’s article.

The stock shows up on the elevated vol scan and high option volume relative to average scans (and a bunch of others). But let’s just focus on what happens when news like this comes out – not just on the day of, but what the option market reflects for the future.

Let’s start with EBIX two-year Charts Tab (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



One the stock side we can see that at the lows of the day, the stock is near multi-year support. So, in English, the news as of right now is really really bad. To get a better feel for the vol, let’s look to the two-year IV30™ chart in isolation, below.



We can see that the vol is also elevated to multi-year highs. In fact, the IV30™ was never above 95% in the last two-years and is now trading at or near 120%. So while the equity market says this is bad news at this very moment, the option market reflects higher risk moving forward than we have seen in a couple of years. So, the stock price, according to the option market, is not settled – this is not equilibrium.

Let’s take a look at the Skew Tab.



We can see that while the front three months show identical skew shapes, the vol is elevated from the back to the front monotonically. In English, the option market reflects greater near-term risk than intermediate-term.

Finally, let's look to the Options Tab (below).



Across the top we can see that Mar vol is priced to 127% and Apr is just above 100%. But if we look a bit more closely we can see that the Mar 9 puts are priced to ~$0.30 which is ~170% vol. Keep in mind, the low, even for today, is $14.35, and $9 is… well… a lot lower…

This is trade analysis, not a recommendation.

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YELP - Vol Reaches All-time Low... Really?...

YELP is trading $21.93, up 0.2% with IV30™ down 2.1%. The LIVEVOL® Pro Summary is below.



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Attention Livevol fans in Southeast Florida:

Jerry Furst of the Investor’s Education Network will host an option-centric live presentation at the Delray Beach Civic Center on February 28 at 7:00PM.

Vince Cicco of Livevol will demonstrate on a series of topics while using Livevol Pro and Livevol X. Cost is $10 to attend; the RSVP can be found by clicking HERE.

Topics
Options Order Flow: What it is and How to Use it
Managing Risk and Generating Trading Ideas
Adding Volatility Analysis to your Trading Strategies
Current Market Technicals and Charting (Jerry Furst to Present Topic)
This will be a great chance to see a more practical application of Livevol Pro and some of the new functionality in Livevol X.
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I found this stock using a real-time custom scan. This one hunts for depressed vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The one-year stock chart for YELP is included (below).



We can see it has been a rather tight trading range for an IPO that actually has a fair amount of controversy surrounding it (pay for ratings accusations). It looks like it first traded at $22.01 and it's just $0.08 below that opening print. The 52 wk range in stock price is [$14.10, $31.96]. But this is a vol note, so let's look at the IV30™ in isolation, below.



We can see the vol crush off of earnings and then over the last few trading sessions, a continued drop in the implied. The IV30™ has fallen so far that it is now at an all-time low. Really?... Is the market that confident in the stability of an Internet IPO that rates places?... Yes, it is apparently.

Finally, let's look to the Options Tab (below).



Across the top we can see Mar vol is priced to 49.45% with Apr priced to 51.74%. The vol rises into May b/c another earnings release is due out. Having said that, the last earnings release was sort of a non-event for the stock price.

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Constellation Brands (STZ) - Calendar Vol Diff Opens After Stock Explodes on Deal and Dance Around DOJ

STZ is trading $43.67, up 0.7% with IV30™ down 2.2%. The LIVEVOL® Pro Summary is below.



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Constellation Brands, Inc. is a wine company. The Company is a marketer of imported beer in the United States. through its investment in Crown Imports, LLC (Crown Imports), a joint venture with Grupo Modelo, S.A.B. de C.V. (Modelo) pursuant to which Modelo’s Mexican beer portfolio (the Modelo Brands) are imported, marketed and sold by the joint venture in the United States.

The stock popped on 2-14-2012 from $31.88 to $43.75. Here's the news on that move:

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What: Shares of Constellation Brands (NYSE: STZ ) were heading for the stars today, climbing as much as 38%, after a new agreement was reached between AnheuserBusch InBev and Grupo Modelo that would appear to pass Department of Justice's muster.

So what: The government had planned to file an antitrust suit against AB InBev's original plan to buy Modelo, but the world's largest beer maker has said it will now sell Modelo's Piedras Negras brewery near the U.S. border to Constellation for $2.9 billion. The deal gives Constellation, the world's largest wine maker, the rights to sell Corona and other Modelo brands in the U.S., and would alleviate the concerns about AB InBev gaining further market share in the U.S. The DOJ has not yet commented on the new deal, but analysts believe it should satisfy the agency's antitrust concerns.

Source: The Motley Fool via yahoo! Finance; Why Constellation Shares Soared, written by Jeremy Bowman.
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The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Let's take a look at the Skew Tab, to start.



We can see a similar shape across both months with Mar elevated (in vol) to Apr across all strikes. I do also note the slight expansion of the vol to the downside -- a sort of widening divergence.  More on that later...

Now we can turn to the one-year Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the explosion on 2-14 off of that deal news wrt DOJ. But, even without that pop, the stock has been on an upward trajectory for the last 12 months.

In order to get a better look at the vol, I have included the one-year IV30™ chart below.



We can see that while the implied has drifted away from it's annual high reached not too long ago, the trend in IV30™ has generally been up (like the stock). In English, as the price has appreciated,the option market has reflected increased risk -- sort of the opposite of "normal" behavior.

Finally, let's look to the Options Tab (below).



Across the top we can see Mar is priced to 54.66% and Apr is priced to 46.18% -- it's that vol diff that triggered the scan.Just as an example of how the vol diff widens to the downside, while the ATM vol diff is ~10 vol points, the Mar/Apr 32.5 put spread shows more than a 20+ vol point diff.

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3D Systems (DDD) - Vol Breaches All-time High; Still 10 Days Before Earnings

DDD is trading $59.42, down 5.3% with IV30™ up 2.1%. The LIVEVOL® Pro Summary is below.



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3D Systems Corporation (3D Systems) is a holding company that operates through subsidiaries in the United States, Europe and the Asia-Pacific region. The Company is a provider of three-dimensional (3D) content-to-print solutions including 3D printers, print materials and on-demand custom parts services for professionals and consumers.

This is one of the most fascinating technologies I have ever seen -- for the curious, please do read up about this -- it is mind blowing.

This is a vol note, specifically an elevated vol note where the options are breaching all-time highs in IV30™. Let's start with the one-year Charts Tab, below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the impressive rise over the last year, with a bit of a hiccup over the last month. But, still, the stock was trading $20.38 a year ago, and is now ~$60. But this is an elevated vol note, what vol we have... let's turn to the two-year (almost) IV30™ chart, below.



We can see the explosive rise on vol in a very short time period. On 1-18-2013 the implied was trading at 49.06%. Today it's over 82%. Earnings are due out 2-25-2012, but the vol push over the last month is not entirely due to earnings (if at all).

Finally, let's tun to the Options Tab.



We can see that Mar vol is priced to 83.05% while May is just 66.83%. That diff is in large part due to earnings. Keep in mind that as of Monday, DDD will have Apr options. There is a similar picture seen with SSYS -- a similar (but not too similar) company. Vol exploding and the stock dipping as earnings approach. The vol rise in DDD however has pushed it's implied to an all-time high. This is going to e a fascinating earnings cycle.

NB: There is a 3:2 stock split coming soon as far as I know.

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HJ Heinz (HNZ) - Takeover and a Cheater? Maybe...

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HNZ is trading $72.40, up 19.7% with IV30™ down 35.5%. The LIVEVOL® Pro Summary is below.



H. J. Heinz Company together with its subsidiaries is engaged in manufacturing and marketing a range of food products throughout the world.

HNZ is up due to a takeover bid from Berkshire with the help of another private equity firm for $72.50 per share. Clearly the equity market reflects a high likelihood that the deal will be approved by the HNZ board and shareholders as the stock is trading $72.41.

But this isn’t a note about a takeover, it’s a note about the day before a takeover… and it’s a disturbing one. Let’s start simple. I have included the average daily option volume for HNZ over the last three months, below.



Note that the 1,986 number reflects the total daily average volume across all calls for a day. Over the last month, the average is closer to 1,000. Next, let’s turn to an all-time stock chart for HNZ, below.


Provided by Yahoo! Finance

We can see that in the nearly 30 year history of the stock it has never traded at $65. Why do I choose $65 as a price? Here’s why… Let’s look to the options Montage for HNZ on close as of yesterday, below.



We can see that 2,593 Jun 65 calls traded on existing OI of just 364. Again, note that the volume in just the Jun 65 calls is more than 125% of the total daily average volume in ALL calls for HNZ. Note as well that HNZ has never traded at $65.

A fair question is, “were most of these trades on the same side?” And the answer is provided by the OI chart, below.



That blue line represents the OI in the Jun 65 calls as of this morning for the last month. We can see it was steady (and small), then yesterday popped dramatically. How dramatically?... Let’s turn to the Options Tab for today, below.



We can see the OI rose from 364 to 2626 or 2262 opening long positions at a strike price that has never been reached in 30 years… And then the takeover news…

In total we have an OTM call strike trading more than 125% of total daily average call volume on a strike price that has never been reached by the stock in 30 years and then the next day a $0.35 option is worth $7.50. That’s a 2,000% return or ~1.5 million gain in one day.

How fortunate... Of course it is possible that this was a coincidence o even a hedge as the Jun 60 calls have an even lager OI but did not move surrounding this news.

This is trade analysis, not a recommendation.

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