Friday, February 28, 2014

02-28-14: End of Day Report (Weekend Review) - Largest Stock Moves, New 52 Wk. Highs/Lows, Unusual Option Volume


Friday's Headline
Stocks end upbeat Feb. with S&P 500 at record
Benchmark index posts 48th record close of past year

By Anora Mahmudova, MarketWatch

Stocks saw some pressure late in the session as Ukraine officials accused Russia of sending troops into the Crimea region, although the S&P 500 and the Dow managed to push back into positive territory before the closing bell.

Earlier, investors shrugged off a sharp cut in the estimate of fourth-quarter U.S. economic growth that nonetheless matched expectations and focused on better-than-expected readings from Chicago PMI and consumer-sentiment reports.

Read the full article here: Stocks end upbeat Feb. with S&P 500 at record, via MarketWatch


This weekend's headlines
The story this weekend has been, and very well may continue to be, the arming and mobilization of Russian military forces to the Ukraine.

Three headlines / stories which sum up the most recent activity are included below, all from WSJ.com:

1. U.S. Tracks 'Thousands More' Troops Flowing into Ukraine

2. Kerry Warns of Consequences for Russia
Incursion 'an Incredible Act of Aggression,' Secretary of State Says


3. Ukraine’s Acting President Orders Military to Full Combat Alert


What's Next?
If the UN (and ultimately the US?) is forced to mobilize forces of their own, then the resilient US markets may fall prey (at least in the short-term) to some volatility (i.e. risk). The question at this point simply is: "What, if anything, does Vladimir Putin intend to do, now?"


Recap of Friday's Market

Largest Stock Gainers



Largest Stock Losers



New 52 Wk Highs in S&P 500



New 52 Wk Lows in S&P 500



Unusual Option Volume



Elevated Implied Volatility (IV) to Historical Volatility (HV)



This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

Daily Biotech Small & Micro Cap Update


The Ophir Gottlieb Small Cap Biotech Index
Is this the biotech revolution or the biotech bust?



231 small / micro cap biotech and pharma companies (equal weighted):
  • Public Biotech and Pharma Companies
  • Trade on North American Exchanges
  • Market Cap Range: [$0, $2 Billion]
  • Price, Employees, Revenue Range: Any

More on index construction and the Enhanced Index (and ETF Coming Soon): The Ophir Gottlieb Small Cap Biotech Index

Today's Biotech Index Stock Movers



Today's Biotech Index Unusual Option Volume



Full Index Constituents and Moves




This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

Midday Report 2-28-2014: Largest Stock Moves, New 52wk Highs/Lows in S&P500, Unusual Option Volume

Stock Gainers



Stock Losers



Intraday New 52 Wk Highs in S&P 500



Intraday New 52 Wk Lows in S&P 500
No New Lows


Unusual Option Volume



This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

Thursday, February 27, 2014

02-27-14: End of Day - New Highs/Lows, Option Volume Movers, Stock Movers


Daily Biotech Recap Available Here:
Daily Biotech Small & Micro Cap Update

New 52 Wk Highs in S&P 500



New 52 Wk Lows in S&P 500



Unusual Option Volume



Largest Stock Gainers



Largest Stock Losers




This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

Daily Biotech Small & Micro Cap Update


The Ophir Gottlieb Small Cap Biotech Index
Is this the biotech revolution or the biotech bust?



231 small / micro cap biotech and pharma companies (equal weighted):
  • Public Biotech and Pharma Companies
  • Trade on North American Exchanges
  • Market Cap Range: [$0, $2 Billion]
  • Price, Employees, Revenue Range: Any

More on index construction: The Ophir Gottlieb Small Cap Biotech Index

Today's Biotech Index Stock Movers



Today's Biotech Index Unusual Option Volume



Full Index Constituents and Moves




This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.

Insmed (INSM) - Biotech Has Huge Event Coming.. But When? If you Know That, Then You Have a Play.


INSM is trading $20.66, up 5.6% with IV30™ up 3.2%. The Symbol Summary is included below.

Provided by Livevol

Insmed Incorporated is a biopharmaceutical company focused on patients suffering with lung diseases through the development and commercialization of targeted inhalation therapies.

As an aside, INSM is in the Small Cap Biotech Index I constructed.  You can see the latest update on that index here: Daily Biotech Small & Micro Cap Update

There's clearly a large volatility event coming out for INSM, and although earnings are lurking in the near future, it feels much bigger than that.  Instead of looking up the event itself in the news (which I imagine is relatively easy), I want to take an agnostic view by simply studying the volatility -- what do the options say?...

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

Provided by Livevol

On the stock side we can see the nice price appreciation from the high $2 range a couple of years ago to now over $20... Wow. We can also see that the stock is moving back up to that multi-year high it just set a couple of months ago.

But this is a volatility note, so let's turn to the IV30™ chart in isolation.

Provided by Livevol

Note how high the implied has reached and how quickly it has climbed.  This was a ~58% IV stock in Sep, and now we see an IV30™ of over 185%.  So... something is coming... Now "something" isn't unusual for small cap biotechs, actually, it's pretty "normal."  But, there's one interesting phenomenon here we should look at.

Let's turn to the Skew Tab, below.

Provided by Livevol

We can see that Apr vol (the yellow curve) is elevated to Mar vol (the red curve) for all strikes.  OK... So that means the option market reflects greater risk in Apr than Mar, or in English, the "event" is due out in Apr... right?...

Actually... maybe not...

To read more about option skew, what it is and why it exists, you can read the post below:
Understanding Option Skew -- What it is and Why it Exists


If we look a little closer at the vol levels what we'll see is a projection of greater risk in Apr than Mar, but some fairly substantial uncertainty.  Let's turn to the Options Tab to see that in detail.

Provided by Livevol

Across the top of that image you can see the monthly vols (green font) are priced to 179.66% for Mar and 197.11% for Apr.  This is weird...

Apr shows higher risk reflecting the likelihood of an event (as we saw in the skew), but why is Mar so elevated?  Is it earnings?... Well, in the Charts Tab (look to the Charts Tab a few images above) we can see that the blue "E" icons represent earnings dates.  The IV30™ has never been as high as right now and never been as high as the vol in Mar.

So what?...

It seems that there is an event due out, but the final delivery date of that news is a bit of a toss up... Is it in Mar or is it in Apr?  If it's in Apr, then spreading long Apr options against short Mar options could be a gigantic winner.  But... if they event is in Mar, that same spread (which is long vega and short gamma) could get crushed if the stock moves abruptly in Mar (PnL gets killed by short gamma) and the vol in Apr will collapse (PnL gets killed by long vega).

Quite a risk... Quite a reward...

This is trade analysis, not a recommendation.






Legal Stuff:
Options involve risk. Prior to buying or selling an option, an investor must receive a copy of Characteristics and Risks of Standardized Options. Investors need a broker to trade options, and must meet suitability requirements.

The information contained on this site is provided for general informational purposes, as a convenience to the readers. The materials are not a substitute for obtaining professional advice from a qualified person, firm or corporation. Consult the appropriate professional advisor for more complete and current information. I am not engaged in rendering any legal or professional services by placing these general informational materials on this website.

I specifically disclaim any liability, whether based in contract, tort, strict liability or otherwise, for any direct, indirect, incidental, consequential, or special damages arising out of or in any way connected with access to or use of the site, even if I have been advised of the possibility of such damages, including liability in connection with mistakes or omissions in, or delays in transmission of, information to or from the user, interruptions in telecommunications connections to the site or viruses.

I make no representations or warranties about the accuracy or completeness of the information contained on this website. Any links provided to other server sites are offered as a matter of convenience and in no way are meant to imply that I endorse, sponsor, promote or am affiliated with the owners of or participants in those sites, or endorse any information contained on those sites, unless expressly stated.