Thursday, December 30, 2010

MBIA (MBI) - Stock Pops with Vol on Court Rulings. Happy New Year!

MBI is trading $11.03, up 6.5% with IV30™ up 9.5%. The LIVEVOL™ Pro Summary is below.

I found this stock on two different real-time custom scans.

1. High vols.
Custom Scan Details
Stock Price >= $7 and <= $70
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 and <=60

2. Calendar spreads between the front two months.
Custom Scan Details
Stock Price >= $5
Sigma1 - Sigma2 >= 8
Average Option Volume >= 1,000
Industry != Bio-tech
Days After Earnings >=5 <=70
Sigma1, Sigma2 >= 1

But, alas, there is news for the elevated vol in the front:
MBIA won a key ruling in a New York court that promises to reduce the time and cost of gathering evidence it needs to prove that Bank of America fraudulently induced the company to insure billions of dollars worth of mortgage bonds originally issued by Countrywide.
Source: Forbes

Interesting... The MBI 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:
IV30™: 86.23
HV20™: 46.48
HV180™: 63.83

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. But, again, there's reason for this.

Let's turn to the Skew Tab and peak at the month-to-month vol diff and shapes.

So we can see similar shapes, but consistently lower vol as we move further out. The ATM vol diff right now between Jan and Feb is ~11.5 points.

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

Check out the volume in the Jan 11 calls, over 10,000 have traded in the first two hours on total daily call option volume of just 8,020.

I wrote about this stock on so I can't discuss potential trades. Suffice it to say, I don't like being naked long or short these options in Jan.

This is probably the last blog post for the year, as I am relaxin' on Friday from home.  Thanks for a great year - we have nearly 40,000 unique readers and a ton of great feedback.

Here's to a phenomenal 2011 for you and your loved ones.  Be safe, be good, be happy.  That's an order!

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