Tuesday, January 8, 2013

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.


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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.

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This is trade analysis, not a recommendation.

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