Urban Outfitters (URBN) - Calendar Spread Opens -- News is Coming Out in the Next 10 Days

URBN is trading $41.34, up 0.4% with IV30™ up 11.6%. The LIVEVOL® Pro Summary is below.



-------------------------------------------------------------------


Click for Free Trial

-------------------------------------------------------------------

Urban Outfitters, Inc. (Urban Outfitters) is a lifestyle specialty retail company, which operates under the Urban Outfitters, Anthropologie, Free People, Terrain and BHLDN brands.

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 start with the Skew Tab, below.



We can see pretty clearly how elevated the front month is to the back. While the skew shapes are similar, the vol diff has opened up significantly, or in English, the option market reflects substantially more risk in the near-term (next 10 days) than the intermediate-term.

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 abrupt rise over the last year in share price, with the stock up in the 80% range since the lows in late Jan 2012.

On the vol side all seems rather normal -- that is, the implied and the two historical realized vol measures sort of converge at the same point right now. This is circumstantial evidence that IV30™  may be priced "fairly."

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



Across the top we can see the monthly vols are priced to 46.77%, 33.45% and 35.60% for Jan, Feb and Mar. Considering that the next earnings report is due out in Mar, this is a bit of an odd term-structure. My best guess is that some sort of revenue / sales / holiday update is due out soon and that's equivalent in many ways to an earnings report. With Jan vol up 9 points today, I also am guessing that the news is due out soon.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro
--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Express (EXPR) - Vol Pops, Jan ATM Calls Trading Size; Account for Nearly 1/3 of Total OI.

EXPR is trading $15.02, up 1.2% with IV30™ up 13.5%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Express, Inc. ( Express) is a specialty apparel and accessory retailer offering both women's and men's merchandise. The Company operates in brick and mortar retail stores and the express.com e-commerce Website.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. I've included the details of the scan below.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The goal with this scan is to identify names with rising IV30™ that also have a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

I also noted some substantial option volume relative to the average – a scan which EXPR also falls in today. I’ve included the Stats Tab and Today’s Biggest Trades snaps below.





We can see that nearly 9,000 contracts have already traded on total daily average volume of just 1,943. Calls have traded on a 43:1 ratio to puts with the action almost entirely in the Jan 15 calls.

I also note that the total OI in EXPR as of today is ~27,000, and that OI in the Jan 15 calls after today may be ~13,000. So, the position that’s growing is non-trivial for this name.

Looking to the Options Tab, below, we can see a large OI already exists in those Jan 15 calls, although the trade volume today is larger than that OI. The trades today feel like purchases and that 12.6 vol point increase in Jan (across the very top of the Options Tab, below) is the circumstantial evidence to support the claim. That existing OI was just 3,800 (ish) on 1-2-12, has been growing steadily over the last week, and appears to be long. So, in English, today’s trades appear to be double-downs on the long side of those calls. Stock volume, on the other hand, is well below the daily average today, so these seem to be naked call purchases… Very interesting.



The EXPR 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).



We can see how the stock has had a tendency to gap down, whether it be earnings related or not. It also has risen rather abruptly since mid Nov from the $11 (ish) range to now ~$15. The 52 wk range in stock price is [$10.47, $26.27].

I have included a very short-term 3-month IV30™ chart below.



What I really wanted to focus on was both the massive vol drop off of earnings (which is normal), as well as the abrupt pop today. The stock definitely in play in the options world (wrt to both volume and vol), though the equity market (stock price) isn’t doing a whole lot. The 52 wk range in IV30™ is [25.48%, 72.28%], putting the current level in the 53rd percentile (annual), or in English, right about in the middle.

I note the rising vol as well as the interest growing in the ATM calls – long interest. These seem to be substantial bets to the upside in the vey near-term. This will be an interesting one to keep an eye on.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Whiting Petroleum (WLL) - Vol Nears Annual Low as Stock Continues to Rise

WLL is trading $45.78, down 1.1% with IV30™ up 0.4%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Whiting Petroleum Corporation (Whiting) is an independent oil and gas company engaged in acquisition, development, exploitation, production and exploration activities primarily in the Rocky Mountains, Permian Basin, Mid-Continent, Michigan and Gulf Coast regions of the United States.

This is an interesting one where the vol is imploding while the stock is starting to make a run up. I found WLL using a real-time custom scan that 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 WLL 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 how the price has fallen from the mid $60 range in early 2012, to as low as the mid $30 range in the summer. More recently however, we can see the stock rise from $41.67 (12-28-2012) to now just under $46. The 52 wk range for the stock is [$35.68, $63.97].

But, of course, this is a vol note, so I've included a one-year chart of the IV30™ in isolation, below.



We can see how much the implied has collapsed in the last few trading days (highlighted in yellow) as the stock has been climbing. The 52 wk range in IV30™ is [31.74%, 54.81%], putting the current level in the 1st percentile (annual). In English, this stock is popping as IV30™ is reaching a new annual low.

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



We can see across the top the monthly vols are priced to 32.91%, 31.37% and 34.33%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. Continuing the motif I started last week, simply asking, "should vol be at annual (or multi-year) lows right now?" For this stock, we can add the observation that the price is up ~10% in the last couple of weeks.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Boyd Gaming (BYD) - Stock Spikes as OTM Calls Trade Size

BYD is trading $7.02, up 1.7% with IV30™ up 16.6%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Boyd Gaming Corporation (Boyd Gaming) is a multi-jurisdictional gaming company. The Company is an operator of 16 wholly owned gaming entertainment properties and one controlling interest in a limited liability company.

The company has traded 16,251 contracts on total daily average option volume of just 1,109, with calls trading on a 345:1 ratio to puts. The action has been in the Feb 8 calls, with over 11,000 traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). When looking down the entire option chain for BYD, I see an OI of nearly 9,000 in the Jan 7 calls, then nothing above 1,700. In English, the trade volume today is huge for BYD -- especially if it's one-sided.

Across the top I also note that both Jan and Feb vol are up more than 9 vol points -- circumstantial evidence that these orders are purchases.



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



What's odd here is that the skew chart is... normal... There's isn't a kink to the upside -- certainly not in Feb. The stock volume today is 1.4MM shares, right on the daily average volume so it doesn't feel like all of these options are getting hedged with stock.

Finally, the Charts Tab (six months) is 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 rather impressive rise of late. In Nov this was a sub $5 stock and it's now trading over $7.  The 52 wk range is [$4.75, $9.75].

On the vol side we can see a pop in the implied as the stock rose, but it has cooled off. IV30™ is in the 56th percentile (annual) as of right now, so there's room for it to rise if the flow continues in this direction.  The real question is, are these more bets that the upside rally will continue further?

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Continental Resources (CLR) - Vol Breaches Multi-year Low. Really?...

CLR is trading $76.29, up 0.3% with IV30™ up 0.6%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Continental Resources, Inc. (Continental Resources) is an independent crude oil and natural gas exploration and production company with operations in the North, South and East regions of the United States.

I found this stock using a real-time custom scan. This one hunts for depressed vols. But this one is a bit special, it's hitting a multi-year low in the implied and I thought it was worth a quick note.

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 CLR 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 how elevated the price was in the earlier part of 2012, how far it fell from there, and finally how it has recovered somewhat since. The 52 wk range for the stock is [$61.02, $97.19].

But, of course, this is a vol note, so I've included a two-year chart of the IV30™ in isolation, below.



What I note here is how this stock has been as high as ~75% in the implied and how today it is actually breaching multi-year lows with vol now in the low 30's. Even myopically focused on just this stock, that seems noteworthy, put in the context of the rest of the world, it seems ... well, more noteworthy?

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



We can see across the top the monthly vols are priced to 31.19%, 32.95% and 34.64%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. All in all, I'll continue with the motif I started earlier in the week, simply asking, "should vol be at annual (or multi-year) lows right now?"

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro
-- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

First Solar (FSLR) - Vol Nears Annual Low; Would you rather own or be short vega starting today?

FSLR is trading $31.79, up 3.0% with IV30™ down 12.2%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

First Solar, Inc. manufactures and sells solar modules with an advanced thin-film semiconductor technology, and it designs, constructs, and sells photovoltaic (PV) solar power systems. The Company is a thin-film PV solar module manufacturer and a PV solar module manufacturer.

I found this stock using a real-time custom scan. This one hunts for depressed vols. I know we just came to a "sort of" Fiscal Cliff deal, but I will be focusing on stocks that are nearing annual lows in vol this week with a simple question: "Would you rather own or be short vega starting today?"

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 six-month FSLR 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 very nice stock appreciation over the last six months with the price going from $15.28 (7-2-2102) to now $31.79. An annual view does show a different story, with the sock price one year ago ($35.79) actually below the current price. The 52 wk range in stock price for FSLR is [$11.46, $50.20].

But, this is a vol note, so let's look at the IV30™ chart in isolation for one year, below.



We can see how the vol has collapsed off of earnings back in the Oct/Nov period and is now nearing an annual low. The 52 wk range in IV30™ for FSLR is [58.45%, 99.80%], putting the current level in the 6th percentile.

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



Across the top we can see the monthly vols are priced to 59.29% and 63.10% for Jan and Feb, respectively. The next earnings release should be after Feb expo, so neither expiry has that event. I'll just repeat myself from the beginning of this note: "Would you rather own or be short vega starting today?"

It's a fair and non-trivial question.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

--- DISCLAIMER --
This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Northrup Grumman (NOC) - Vol Pushes into New Annual High; Earnings Vol Left Behind. Defense Industry Holding Breath for Fiscal Cliff?

NOC is trading $67.18, down 0.8% with IV30™ up 7.9%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Northrop Grumman Corporation (Northrop Grumman) provides products, services, and integrated solutions in aerospace, electronics, information and services to its global customers. As of December 31, 2011, the Company operated in four segments: Aerospace Systems, Electronic Systems, Information Systems and Technical Services.

This is an almost identical post to the one I wrote on LMT a couple of days ago. Rising vol to new highs and earnings vol priced below the front. You can read the LMT post here:

Lockheed Martin (LMT) - Vol Reaches New Annual High; Fiscal Cliff Related?

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

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
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 six-month NOC 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 relatively quiet period with the price moving from $61.73 to now just over $67 in half a year. The 52 wk range in stock price is [$55.38, $70.65].

But this is a vol note, so let’s focus on the IV30™. I have included the six-month implied chart in isolation, below.



The trend is pretty obvious -- up. The vol was trading below 14% in late summer and is now nearly twice that level. The 52 wk range in IV30™ is [13.39%, 24.74%], putting the current level well into new annual high territory.

The story gets even more interesting when we look to the Skew Tab, below.



We can see the shape is normal and quite pretty really, but note how Jan is elevated to Feb. This is odd because the next earnings release for NOC should be in the Feb expiry but outside of Jan. In other words, the vol is topping an annual high today, but the earnings vol is not following suit.

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



Across the top we can see the monthly vols are priced to 27.46% for Jan and 25.10% for Feb. This automatically triggers a thought in my mind to analyze a calendar spread of some sort. Then again, with the implied reaching an annual high right now, selling the font could be a disaster. This will be a very interesting one to watch unfold for sure. I'll quote myself from the LMT post, "If this is fiscal cliff related watch for climbing vol and then a potential vol crush after the news."

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Herbalife (HLF) - Vol Pattern Emerges as Cataclysm has Ended... For Now...

HLF is trading $10.37, up 3.5% with IV30™ down 7.2%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Herbalife Ltd. is a global network marketing company that sells weight management, nutritional supplements, energy, sports and fitness products and personal care products through a network of approximately 2.7 million independent distributors, except in China, where the Company sells its products through retail stores.

For those of you that don't know what's been going on with HLF, suffice it to say the stock was down more than 35% in a few days again when another noted shot-seller bashed the firm on CNBC. Vol exploded to new annual highs and the stock imploded.

I found HLF today stock using a real-time custom scan I built that hunts for calendar spreads between the front two monthly expiries. It turns out, after the disaster of the last few days, the vol has been collapsing of late.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200

The goal with this scan is to identify back months that are cheaper than the front by at least 10 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

The six-month HLF 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 the cataclysm that was the last few trading days with the stock falling from over $45 to as low as $24.24.

The vol side is even more interesting. The implied absolutely exploded to multi-year highs, reaching as high as 147%, but has recently been falling quickly as the stock has made a small recovery. This unevenness in the vol has created an interesting phenomenon in the skew.

Let's turn to the Skew Tab, below.



We can see how Jan is elevated to Feb, which in many respects make sense -- the uncertainty surrounding the stock price is hype focused on the short-term after that implosion and therefore Jan vol is elevated to the back. We can also see the monotonicity of the vol levels -- they drop as we go back into further out expiries. The Aug vol levels are back to sort of "normal."

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



Across the top we can see the monthly vols are priced to 118.69%, 103.59%, 89.26% and 80.83%. This is an interesting one to examine where owning long-term vega could be offset with spread front month extremely elevated vega, and can be done several months in a row. Of course, if the stock moves huge and the position isn't diagonal, that premium paid could turn into a 100% loser. Just an interesting note I thought was worth checking out.

This is trade analysis, not a recommendation.

Lockheed Martin (LMT) - Vol Reaches New Annual High; Fiscal Cliff Related?

LMT is trading $92.24, down 0.6% with IV30™ up 10.9%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Lockheed Martin Corporation is a global security and aerospace company principally engaged in the research, design, development, manufacture, integration, and sustainment of technology systems and products. The Company also provides a range of management, engineering, technical, scientific, logistic, and information services.

I last wrote about LMT in Nov as a broader piece of the defense sector. You can read that post here:
Defense Sector Risk Rises, Vol Correlations Rise, Election Looms Large

I've included the Symbol Summary from that prior article below as a reference.



I found LMT today stock using the real-time custom scan that hunts for elevated vols. Today it has breached an annual high in the implied.

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 LMT 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).



One the stock side we can see a nice y-o-y return, as this was an $81.32 stock a year ago. The 52 wk range in LMT is [$75.45, $94.74], so the stock is close to that annual high.

But ultimately, this is a vol note. I have included the IV30™ one-year chart in isolation, below.



We can see the that with the spike today the implied has now hit an annual high. In the prior (pre-election) note listed above, I discussed the risk embedded in these companies. What's odd is, the election is over, but the vol is even higher now. This feels very fiscal cliff / budget related. While LMT does have earnings due out either at the end of this expiry or in the beginning of next, the elevated implied feels like it's due to something "else."

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



Across the top we can see the monthly vols are priced to 23.14% and 22.32% for Jan and Feb, respectively. That Feb expiry earnings mark is just a projection and based on the vols for the front two months, it feels like the date is rather ambiguous. If not, then whatever news is due out in this expiry trumps earnings and has pushed vol to a new annual high. If this is fiscal cliff related watch for climbing vol and then a potential vol crush after the news.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html