Citigroup (C) - Vol Rises, Calendar on Ambiguous Earnings Date

C is trading $27.69, down 7.2% with IV30™ up 5.1%. The LIVEVOL® Pro Summary is below.



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Citigroup Inc. (Citigroup) is a global diversified financial services holding company. Citigroup businesses provide consumers, corporations, governments and institutions with a range of financial products and services.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. There's an added twist here, as C may have earnings in the Jan expiration.

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 look to the Skew Tab (below).



I've included the weekly options expiring tomorrow as well as the Dec and Jan monthlies. We can see a monotonic vol increase as we move from the back to the front. The weeklies show a slightly parabolic skew -- OTM stickiness. It's interesting to note that the last two January earnings reports for C were 1-19-2010 and 1-18-2011. Jan expo Friday is 1-20-2012. Hmmm....

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



The stock has been on an upswing with the rest of the market, and most recently has come off those recent highs (also with the market). The move down today is a bit spooky. On the vol side we can see the implied is popping to the short-term realized historical vol and passed the long-term realized historical. Specifically:

IV30™: 65.28
HV20: 65.86
HV180: 59.02

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



This is trade analysis, not a recommendation.

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Morgan Stanley (MS) - Rising Vol, OTM Calls Elevated

MS is trading $16.44, down 5.2% with IV30™ up 6.6% as of ~10:20am EST. The Livevol® Pro Summary is included below.



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Morgan Stanley is a global financial services firm that, through its subsidiaries and affiliates, provides its products and services to a group of clients and customers, including corporations, governments, financial institutions and individuals.

This is a vol note surrounding the upside in MS. Let’s start with the Skew Tab, below.



We can see the front month is elevated to the back. Additionally, we can see that the front month skew is actually semi-parabolic, creating a vol gap between the Dec and Jan upsides.

Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



In the stock portion, we can see how MS underlying seems to have hit (perhaps temporarily) an upper bound and may have turned toward the downside. That recent stock chart is nearly identical to most of the market – the indices rallied hard on the added steps taken by Europe, ECB, IMF, etc, and have taken a bit of breather in the last few sessions.

In the vol portion we can see the implied is rising, but is still in between the short-term historical realized vol and the long-term.

Let’s turn to the Options Tab for completeness.



I wrote about this one for TheStreet.com (OptionProfits), so no specific trade analysis here. I will say that the OTM calls in Dec are priced above the HV20, HV180 and IV30™ which is interesting. The market reflects substantial upside risk (or potential) in the near-term.

This is trade analysis, not a recommendation.

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H&R Block (HRB) - Vol Touches Annual High, Near-term Risk Elevates

HRB is trading $15.60, up 3.1% with IV30™ down 0.3%. The LIVEVOL® Pro Summary is below.



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H&R Block, Inc. (H&R Block) is a tax service provider. H&R Block has subsidiaries that provide tax, banking and business and consulting services.

This is a vol note which seems to surround an investor conference tomorrow. Let's start with the Charts Tab (one year), 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 sort of imaginary line of support at or around $13 (drawn in yellow). Note that HRB released earnings less than a week ago. On the vol side we start to get some interesting stuff -- the implied is super elevated to both of the historical realized measures. In fact, the 52 wk high in IV30™ is ~62.4, so we're right on that level, today. The spiking implied is considerably above the recent stock movement, reflecting near-term forward looking risk. The vol comps specifically look like this:

IV30™: 61.71
HV20: 41.20
HV180: 39.65

Looking to the Skew Tab we see another vol phenomenon.



Both months hold a "normal" skew shape, with the downside vol elevated to the ATM and upside OTM. An interesting vol difference has opened up between the Dec and Jan monthly options to the downside, with Dec elevated to Jan. The option market reflects near term risk -- like within the next nine calendar days.

Finally, let's turn to the Options Tab for completeness.



Dec vol is priced at ~69, with Jan at ~60. Both levels are substantially above the HV20 and HV180.

This is trade analysis, not a recommendation.

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Spreadtrum Communications (SPRD) - Elevated Vol, Dipping Stock, Vol Comps

SPRD is trading $20.61, down 5.2% with IV30™ up 4.8% as of ~10:20am EST. The LIVEVOL® Pro Summary is included below.



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Spreadtrum Communications, Inc. is a fabless semiconductor company that designs, develops and markets baseband processor, radio frequency (RF) transceiver and turnkey solutions for the wireless communications and mobile television market.

HQ: Shanghai, China

This is a vol note, both with respect to the overall vol level and the month-to-month vol diff. Let’s start with the Skew Tab, below.



We can see the front is elevated to the back though the skew shapes are the same. That vol difference rises to the downside puts. Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



While the stock has been rising over the last 6 months, the recent few days have been… scary… On 11-16-2011 the stock was trading $29.94. As of this writing the stock is down to $20.61 – that’s 31% in ~3 weeks.

On the vol side we can see the implied is now trading above the historical measures. Specifically:

IV30™: 94.84
HV20: 88.41
HV180: 80.63

Finally, let’s turn to the Options Tab, for completeness.



I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. I will say that the 52 wk range for SPRD is [$8.54, $29.98], so the stock can move and that 31% drop isn’t necessarily a floor. Also, the stock is in free fall so a disaster report that halts the company for several months is a possibility. Chinese stocks have been known to do that.

This is trade analysis, not a recommendation.

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Interoil (IOC) - Elevated Vol

IOC is trading $53.16, down 1.9% with IV30™ up 10.7%. The LIVEVOL® Pro Summary is included below.



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InterOil Corporation (InterOil) is an integrated energy company operating in Papua New Guinea and its surrounding region.

I found this stock using the real-time custom scan that searches for high vols relative to the short-term and long-term historical realized vol.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20) and the long term trend in stock movement (HV180). 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 IV30™ simply because earnings are approaching.

The IOC 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).



We can see the implied is spiking toward 150 and is more than 50% above the historical realized vol measures.

Specifically:
IV30™: 149.42
HV20: 95.57
HV180: 76.79

The last time IOC IV30™ spiked it was in response to a dramatic stock drop. On 9-19-2011 the stock closed at $63.22 with IV30™ at 70.25. By 10-4-2011 the stock was trading $34.05 (down 46%) with IV30™ at 161.86 (up 130%). That implied level is the annual high, though the options are getting close to that level again -- this time there has been static stock movement.

As a comparison, on 10-4-2011 the HV10 was 175.06. Today the HV10 is 115.11. The option markets reflect substantial risk.

Let's turn to the Skew Tab, below.



We can see a couple of phenomena:

1. The front two month ATM vols are abut the same while the Mar options are substantially depressed to those levels.

2. The front month options reflect a parabolic skew, unlike the back two months.

Let's look to the Options Tab (below).



Though not shown here, the Dec 25 puts are $0.05 bid, while the Dec 95 calls are $0.17 bid. That's a $70 strike difference bid in the options that expire in ten calendar days.

The Jan 17.5 puts are $0.10 bid and the Jan 120 calls are $0.90 bid. That's 102.5 spread in strikes and it's $1.00 bid. Whoa!!!

To say the options reflect risk would be... true...

This is trade analysis, not a recommendation.

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Valassis Communications (VCI) - Calendar Vol Diff

VCI is trading $21.74, down 0.7% with IV30™ up 1.7% as of ~11:15am EST. The Livevol® Pro Summary is included below.



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Valassis Communications, Inc. (Valassis) is a media and marketing services company. The Company’s RedPlum media portfolio delivers value on a weekly basis to more than 100 million shoppers across a multi-media platform, in-home, in-store and in-motion.

This is a vol note, specifically related to the front two months and the vol diff that has opened up. Let’s start with the Skew Tab to examine the month-to-month and strike-by-strike vols.



While the shapes across the front two months are the same, the Dec options are priced to substantially higher vol than the Jan options – or in English, the red curve is higher than the yellow one.

Let’s turn to the Charts Tab (6 months), to examine the overall vol levels, trends and the stock price.



We can see that back in July this was a $31 stock and since then its had a fairly precipitous drop. But, since 11-29-2011 the stock has risen from $18.40 to now nearly $22.

On the vol side, for the period from 7-28-2011 to 11-22-2011, the short-term realized vol (HV20) was above the long-term realized vol (HV180). In English, the stock was moving at higher realized vol in the short-term than its long-term average. That trend ended a couple of weeks ago. Again, in English, the stock has begun to move with lower realized vol than its long-term trend. The implied is trading above both of those realized historical measures.

Let’s turn to the Options Tab for completeness.



I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. I will say that it's an interesting exercise to value those Jan puts if vol stays here and stock stays here into expiration simply to compare the vol diff in the calendar as actual dollar amounts rather than vol points.

This is trade analysis, not a recommendation.

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Hecla Mining (HL) - Calls Trade, Vol and Stock Pop

HL is trading $6.14, up 2.7% with IV30™ up 16.3%. The LIVEVOL® Pro Summary is below.



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Hecla Mining Company is engaged in discovering, acquiring, developing, producing, and marketing silver, gold, lead and zinc.

This is a quick order flow note. HL has traded nearly 48,000 contracts on total daily average option volume of just 12,997. Calls have traded on a 61.3:1 ratio to puts with the action in the Jan 6 calls -- over 44,000 have traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Jan 6 calls are mostly opening (compare OI to trade size) and look to be substantially purchases. When looking down the entire option chain for HL, I don't see any OI larger than 40,000, so the volume today is significant.



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see significant upside skew in all three of the front months. Oddly, the Jan 6 vol is the lowest of any line in the front two months. It is worth noting that the Jan 6 calls are now ITM. Dec vol is up 11.2 points and Jan is up 9.8 points.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



The stock has had a bit of a bumpy ride with a long-term historical realized vol of ~56. The short-term historical realized has been above the long-term trend since the end of Sep., or in English, the stock's short-term realized vol is above the long-term trend. As of today, the implied is above both the historical realized measures.

The 52 wk range in stock price is [$4.81, $11.52] and in IV30™ the 52 wk range is [44.28%, 81.55%].

This is trade analysis, not a recommendation.

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Titanium Metals (TIE) - OTM Calls Trade to Company Going Private Rumors

TIE is trading $16.40, up 8.0% with IV30™ up 10.9%. The LIVEVOL® Pro Summary is below.



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Titanium Metals Corporation (TIMET) is a producer of titanium melted and mill products. The Company has titanium production facilities in both the United States and Europe.

This is an order flow note with some cool skew and overall vol comps. Let's start with order flow and news:

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Titanium Metals spikes on volume, hearing strength attributed to speculation that the co could be taken private
Source: Provided by Briefing.com (www.briefing.com)
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The company has traded just under 19,000 contracts on total daily average option volume of just 2,958. Calls have traded on a 42.8:1 ratio to puts with the action in the front 16 and 17 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls on the 17 line are mostly opening (compare OI to trade size).



The Dec 16 calls are more ambiguous. On 11-16-2011 the Dec 16 calls traded 6,461x -- pushing that OI. I've included the Time & Sales Tab snapshot -- filtering for trades equal to or larger than 500 contracts.



We can see that the trades went off on the offer of a $0.10 wide market. Those were purchases and the trades today are long again. That OI should spike to over 10,000 by tomorrow.

The Skew Tab snap (below) illustrates the vols by strike by month.



The front month shows a nifty "V" like skew -- reflecting risk both to the downside and the upside. The back month is flattish, revealing an interesting vol diff between the front two months to both the upside and downside OTM options.

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



The stock has made a pretty nice move up over the last few trading days, rising from $14.10 on 11-23-2011 to $16.40 today, or a 16% rise. On the vol side, we can see the IV30™ is now elevated to both of the historical measures. Specifically:

IV30™: 53.39
HV20: 44.36
HV180: 44.44

This is trade analysis, not a recommendation.

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RPC (RES) - Elevated Vol, M&A Spec and Calendar Spread

RES is trading $20.11, up 2.0% with IV30™ down 8.0%. The LIVEVOL® Pro Summary is below.



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Rare Element Resources Ltd (Rare Element) is principally engaged in the acquisition and exploration of mineral properties. As of June 30, 2010, the Company, through its wholly owned subsidiary, Paso Rico (USA), Inc., held 100% interest in a group of unpatented mineral claims and one leased state section, together known as the Bear Lodge Property.

I saw a quick news snippet from Briefing and have included it below:

"RPC (RES) early strength was attributed to M&A speculation."
Source: Provided by Briefing.com (www.briefing.com)

This is a vol note -- both wrt to elevated vol and wrt to a calendar vol diff. Let's start with the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



The underlying price has been a bit of a roller coaster ride with the most recent move to the upside. On the vol side we can see the implied is elevated to the two historical measures, though the implied is down notably in today's trading. The current vol levels are:

IV30™: 69.21
HV20: 58.35
HV180: 60.61

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



There is an upside tilt to the front month skew, reflecting upside risk, while the downside is sorta flat. The most obvious phenomenon here is the vol diff between the front two expirations with the Dec options priced about 15 vol points higher than the Jan options.

Finally, let's turn tot he Options Tab, for completeness.



We can see a bit of action today in the Dec 22.5 calls, substantially sales as I see it.

This is trade analysis, not a recommendation.

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