Con-Way (CNW) - New Lows on Exploding Vol and Order Flow

CNW is trading $23.76, down 7.5% with IV30™ up 23.6%. The LIVEVOL® Pro Summary is below.



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Con-way Inc. (Con-way) provides transportation, logistics and supply-chain management services for a wide range of manufacturing, industrial and retail customers.

The stock showed up on the high volume scan and the rising vol scan. Let's focus on both, but start with the vol. The scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.

Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The CNW 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).



IV30™: 63.70
HV20: 74.26
HV180: 37.80
HV10: 103.09

Keep in mind the HV measures are close-to-close, so they do not include the move today, which will certainly elevate those numbers tomorrow. Looking to the chart, we can see the stock has been dipping hard. There was an earnings miss earlier this month and then the overall market downturn has certainly helped push this name lower on already "bad" news. Like a lot of companies of late, even though the implied has been exploding, it's still priced below the recent realized movement of the stock. In other words, that elevated vol was actually a purchase. Well there you go...

Let's turn to some order flow, today. The company has traded nearly 13,00 contracts on a daily average volume of just 604. Puts have traded on a 4.9:1 ratio to calls with the action in the Sep 20 and 25 puts. I actually believe both sides of those were purchases. The Stats and Day's Biggest Trades snaps are included below.





Turning to the Options Tab (below), we can see that both sides of that trade (both lines) are opening (compare trade volume to OI). The bets are rolling in for Sep, and they're opening long vol and likely short deltas.



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



I've highlighted the two strikes in Sep that have been trading. There is a noticeable increase in vol to those Sep 20 puts, but in general, the skew looks "normal(ish)." We can also note the elevated Sep to Dec vol, though Dec will have an earnings cycle, and Sep probably will not.

Possible Trades to Analyze
More holistic here, note the elevated vols that are below the realized returns. If the market really really goes into panic, the implied can return above the HV measures. In English, the market is down a lot, but panic is not here... yet...

The 52 wk range for CNW stock is [$23.93, 42.20]... i.e. it's hitting a new low right now, so those downside bets, especially to the 20 strike, are looking for even lower lows... If that happens, vol will rise more, I'm guessing. The 52 wk range in IV30™ is [27.75, 68.34]. A breach of 70 vol is quite possible if CNW dips another $2 soon.

This is trade analysis, not a recommendation.

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Citigroup (C) - Popping Vol, Diagonal Calendar to Vega

C is trading $27.39, down 8.2% with IV30™ ripping up 35.3%. 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. Ya know… Citigroup….



The stock came up on a couple of scans today – both the calendar spread scan and the rising vol scan. It’s the rising vol that caught my attention, so we’ll focus on that. The scan details are below.



Custom Scan Details

Stock Price GTE 10

Average Option Volume GTE 1,200

Days After Earnings GTE 5 and LTE 60

IV30™ Percent Change GTE 10%

IV30™ GTE 10



The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



Let’s start with the stock and vol charts first, this time. The C 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 that the price action has fallen to scary levels – the potential for new lows looms ever so large, whether it be by the end of the day, tomorrow, or in the near-future (read: this Fall).



On the vol side, we can see the massive spike in IV30™ of late – well above the long-term historical realized trend. But, the implied is actually printing well below the HV20 (and the HV10). In English, the rise in the implied vol has been less than the actual recent realized volatility in the stock price. Specifically we can see:



IV30™: 81.76

HV20: 101.07

HV180: 41.63

HV10: 140.54



Let’s turn to the Skew Tab snap (below) to examine the vols by strike by month.







I’ve included the Aug options (expiring tomorrow) and the Sep options. I’ve excluded the Aug (W) that expire next Friday. Note the parabolic skew in the Aug options which isn’t apparent in the Sep options. For pure calendar spreaders, that upside vol diff is quite large. That however, isn’t quite where my attention is. Let’s look to the Options Tab, and do a little math to discuss a different possibility.







I wrote about this one for TheStreet.com(OptionsProfits), so no specific trade analysis here. But, there's a lot to examine. First we can see that the Sep ATM are trading at around 82 vol while the Aug ATM are trading more like 100 vol. Keep in mind the vol comps above from the Charts Tab – 82 vol might actually be “cheap” relative to the movement of the stock in the recent past.



While a straight calendar spread is interesting, there is another alternative here given that the front month we’re examining expires in two days and the back has a full month to go. For example, if we look at owning the Sep 25 puts against a sale of the Aug 26 puts, that receives essentially 20% of the Sep premium for a day and a half in Aug. Granted, it’s a risky day and a half in Aug. Hypothetically, this trade could lose the entire premium paid AND the difference in the strike prices, so ~ $2.40.



But, with a little math, we can see that even if the stock gapped down to $25 tomorrow, the trade would still look like a win. Here’s the math:



Today:

Pay ~$1.40 to own the put spread.



Tomorrow (if vol stays the same in Sep):

Stock closes at $25

Short Puts PnL: ($0.32 - $1.00) = -0.68

Long Puts PnL: ($2.60 - $1.72) = +$0.88

So, a $0.20 win.



Another way to look at the spread value in this event, is simply to unwind @ $1.60 (which also yields the $0.20 gain). Of course, if the stock is down another $2.00, the vol will likely go up in Sep, making the trade a bigger winner.



Doing the same math if the stock goes to $24, yields a $1.04 value in the put spread (if vol stays the same), so ~ $0.36 loser. Should vol go up 10 points, that trade is close to breakeven. Obviously if C falls apart tomorrow (below $24), that diagonal strike difference will catch up to the trade an d create a loss (a least for the one day).



Yet another way to do this math, and in fact the way I do it so it takes just a few seconds, is to look at the calls in Sep. The puts are worth parity + calls (negligent interest rates right now), so move $1 away from the money and do some math that way.



Anyway, the point? The risk of this type of trade is to the upside, not the downside, even though the diagonal strikes are long delta as the stock drops. The opportunity to cover a short put (call) with a lower (higher) strike put (call) saves a lot of premium (in this case ~ $0.30, which protects an upside (downside) move) yet leaves the position fairly safe to the downside (upside). That means less upside (downside) risk (less premium invested) and still downside (upside) PnL likelihood if there’s another down (up) day and substantially better PnL if the stock stays here (ish) for one more day.



In times of extreme vol in the front, this type of diagonal calendar opportunity does appear fairly often as an alternative to a plain vanilla calendar spread.



This is trade analysis, not a recommendation.



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GameStop (GME) - Earnings Preview and Patterns

GME is trading $20.51, down 4.1% with IV30™ up 13.7%. The LIVEVOL® Pro Summary is below.



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GameStop Corp. (GameStop) is a multichannel retailer of video game products and personal computer (PC) entertainment software.

The company has earnings due out tomorrow BMO -- so today is the last day to trade before the report and the vol is up with active options. GME has traded over 15,000 contracts on total daily average option volume of just 4,451. The action has been in the Aug 20 puts, Aug 22 calls, and Aug 21 calls, respectively. They all look like substantially purchases. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Aug 22 calls are mostly opening (compare OI to trade size). The Sep 23 calls have traded nearly 1,900 on small OI as well.



Let's look at some earnings stats for GME from the last eight quarters, below.



The final column illustrates the results. In seven out of the last eight earnings cycles selling the one day ATM straddle has been a winner with a sale the day before earnings and a purchase the day after. The largest absolute move in the straddle value was, however, the one time the straddle was a purchase.

Let's turn to the Skew Tab snap (below) to examine the vols by strike by month.



We can see the elevated vol in the front which is normal given that earnings are out tomorrow. The front month shows a parabolic skew reflecting both upside and downside risk, whereas the back months look more normal (ish), with the downside priced higher than the upside (in terms of vol).

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).



We can see that the implied generally trades above the realized vol, or so it has for the last six months. Interestingly, the implied is lower now than it was on 8-8-2011 (IV30™ was 55.97 which is the 52 wk. high).

Possible Trades to Analyze
The front month is pure earnings vol at this point, so any trade that buys or sells that vol is firmly embedded in some type of earnings bet. Having said that, let's look at some possible trades to examine keeping the 7/8 trend from previous earnings results with respect to the ATM straddle.

1. For bulls:
An interesting position could be owning the Sep 21 calls for ~52 vol against a sale of the Aug 22 calls @ ~114 vol. That spread costs less than $1.00, so an upside spike would be a winner. Certainly an earnings release that pushes the stock down hard would hurt that trade.

2. For bears:
Owning the Sep 20 puts for ~53 vol against a sale of the Aug 19 puts @ ~122 vol, also costs less than $1, so a big move down down (or small move down) is likely a winner. A move up, especially a large one, could turn that into a loser.

3. For delta neutral:
An interesting trade could be a sale of the Aug 20/21 strangle @ ~115 vol against a purchase of the Sep 20/21 strangle for ~52 vol. There is some risk here of course that the stock gaps one way or the other. That would leave this trade a loser. Certainly wider strangles are also worth examining and have slightly different PnL ranges and risks.

All three of the trades above bet on a relatively small moves for the stock. A perfectly reasonable (and contrarian) approach would be to bet on a large move given the state of the market as a whole. That may mean owning that vol in Aug as opposed to selling it.

This is trade analysis, not a recommendation.

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Virgin Media (VMED) - Calendar, Earnings Vega and "October"

VMED is trading $25.47, up 1.8% with IV30™ down 4.2%. The LIVEVOL® Pro Summary is below.







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Virgin Media Inc. (Virgin Media) is engaged in entertainment and communications business. The Company has two segments: Consumer and Business. The Company is a provider of broadband Internet, television, mobile telephony and fixed line telephony services that offer a variety of entertainment and communications services to residential and commercial customers throughout the United Kingdom.



The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the second and third months (keep in mind, the “first month” is expiring in three days, so the “second month” is soon to be the front). VMED has a uniqueness to it though, as earnings are due out in the third expiration.



Custom Scan Details

Stock Price GTE $5

Sigma2 - Sigma3 GTE 7

Average Option Volume GTE 1,000

Industry isNot Bio-tech

Days After Earnings GTE 5 and LTE 50

Sigma2, Sigma3 GTE 1



The goal with this scan is to identify third months that are cheaper than the second month by at least 7 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 a nicely consistent shape to the curves – both are parabolic, but the Sep options are priced to notably higher vol than the Dec options. Another point to note, once Aug options expire, the Oct option cycle will appear for VMED. i.e. The Sep/Dec comp will become months 1 to 3, not 2 to 3 or 1 to 2.



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).







I've highlighted the recent stock pop. It’s interesting to see how the HV20 has popped (the stock has moved a lot), while the IV30™ has dipped. This is a nice example of how vol can dip as stock price moves higher even though the actual realized stock movement is increasing.



For five out of the last six earnings cycles, selling the VMED one day ATM straddle before earnings and buying it back the next day was a winner. The one time it wasn’t, it was breakeven. In English, VMED vol has over stated the earnings move five of the last six cycles (this type of analysis is available in Livevol® Excel Premium).



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







I wrote about this one for the TheStreet.com (OptionsProfits), so no specific trade analysis here. But, the prospects of owning vega that includes earnings against selling the front month without earnings and is elevated to the back seems like a reasonable position to analyze. The question is which strikes to approach.



This is trade analysis, not a recommendation.



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TiVo Inc. (TIVO) - Vol and Skew Move on Takeover Rumors -- A Trend?

TIVO is trading $8.49, up 1.6% with IV30™ up 3.8%. The LIVEVOL® Pro Summary is below.



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TiVo Inc. (TiVo) is a developer and provider of software, hardware, and services. As of January 31, 2011, the Company generated revenues from three sources: consumer service, developing technology for television service providers and media services.

This is an order flow note based on a takeover rumor. Here's a quick news snippet:

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* Tivo (TIVO) has a quick spike in volume, following positive broker comment suggesting TIVO could be an M&A candidate.

As mentioned before, while many rumors circulate during the day, and the validity of the source of these rumors can be questionable, the speculation may increase volatility in the near term.
Source: Briefing (www.briefing.com)
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So there you go... Tivo has traded 43,361 contracts on total daily average option volume of just 10,850. Calls have traded on a 2.8:1 ratio to puts. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates the action. Lots of contracts trading on the Aug 10 line, though the OI is substantially larger than the volume. Those actually look like sales -- a 10,000 lot @ $0.03.



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



As expected, the upside skew in Aug is bid. We're talking about $0.01 - $0.03 bids, so nothing too crazy. The Tivo spec is interesting to me not so much because of the options action right now, but the general tenor of IP in technology. It's almost like it's gone from a pretty "unsexy" subject, to the most sought after asset (which it should be). The IDCC and MMI (and others) excitement/takeovers may be just the beginning to a new trend (which could be short lived). TiVo's got a ton of IP as I understand it, and that might make the options market and vol start popping.

Let's finish with 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).



We can see the stock pop of late in the stock portion. The vol shows a pop in IV30™ as HV20 (realized movement) has also popped. IMHO, if this becomes an "IP rumor," watch for action, watch for vol and watch for the stock to become a news headline. You know... or not...

This is trade analysis, not a recommendation.

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Cameron International (CAM) - Calendar Spread and Vol Comps

CAM is trading $48.91, down 1.4% with IV30™ unched. The LIVEVOL® Pro Summary is included below.



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Cameron International Corporation (Cameron) provides flow equipment products, systems and services to global oil, gas and process industries. Earlier today, Morgan Keegan downgraded their target on the stock to $61 from $68 according to Briefing.com (www.briefing.com). Couple that with a down day (so far) in the market and we get this ~1.5% drop in the stock price.

I found CAM because it came up on the real-time custom scan that hunts for calendar spreads between the front two months. I like this scan ahead of expo as it often times yields some nice short-term trades to analyze.

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 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 to examine the month-to-month and line-by-line vols.



We can see the front two months share the same shape in the skew, while the Aug cycle is priced with notably higher vol. That vol diff widens out as we move to the downside puts.

Let’s turn to the Charts Tab (below) to get an idea of where vol is and to understand some comps. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



On the stock portion (top), we can see how well the stock did into and off of earnings. The drop of late is likely more about systematic risk than anything stock specific. We can also see the abrupt recovery from the lows a few days ago.

On the vol side (bottom), we can see how volatile the stock has been as the realized 20 day historical (HV20) is well above both the short-term implied and the long-term realized. Specifically:

IV30™: 52.40
HV20: 76.68
HV180: 38.63

So this is a case where the IV30™ is priced right in between the short-term historical and long-term historical, or in English, it feels kind of “fair.”

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



The ATM vol diff between Aug and Sep is ~11 vol points. Looking to the OTM puts, that vol diff grows to over 15 vol points. It’s that downside vol that caught my attention.

I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. But, I would note that the downside puts in Aug are still priced below the HV20. Ideally, we'd like to see the downside put vol above the HV20 (and IV30™) if taking a short gamma position for the short-term. If those puts were priced to 80 vol (HV20 is ~ 77), then the premium would be about $0.15 higher...

This is trade analysis, not a recommendation.

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Camelot Information Systems (CIS) - Earnings Vol, Accounting Ambiguity and Calendar Spread

CIS is trading $8.44, up 6.4% with IV30™ up 2.3%. The LIVEVOL® Pro Summary is below.



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Camelot Information Systems Inc. (Camelot) is a holding company that conducts business, through its operating subsidiaries in China. The Company is a provider of enterprise application services and financial industry information technology (IT) services in China.

The stock just came up on the real-time custom scan for calendar spreads between the front two months, but with a twist again.

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.

As usual, we'll start with the Skew Tab to examine the month-to-month and line-by-line vols.



The skews are actually nicely parallel -- there's just a vol diff between the front and second months. The "twist" here is two fold:
1. CIS reports earnings on Thursday BMO (so two trading days before expo).
2. It's a Chinese public company traded here, automatically placing it (fairly or unfairly) in the ambiguous world of accounting opaqueness.

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).



We can see the stock drop of late -- it's hit a new 52 wk low essentially everyday for the last week. On the vol side, the IV30™ has exploded into earnings, also breaking through a new 52 wk range (on the upside). Check out how high IV30™ is relative to the short-term historical vol (HV20) and the long-term historical vol (HV180). Specifically:

IV30™: 204.34
HV20: 79.06
HV180: 69.12

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



Potential Trades to Analyze
One of the "unusual" risks to these Chinese companies is the possibility that the stock halts for an extended period of time (like two months). That leaves risk to both long and short options as exercise decisions need to be made without full information. While the Aug/Sep 5 put spread could be an interesting position to analyze, at the same time, add to your analysis the possibility of wearing a position for two months with no stock and no idea how to value it.  In other words, there's a reason those puts are priced at 450 vol, and it's not just earnings risk.

This is trade analysis, not a recommendation.

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MAKO Surgical (MAKO) - Cheap Vega, Cheap Gamma, High HV

MAKO is trading $32.09, up 1.1% with IV30™ down 8.5%. The LIVEVOL® Pro Summary is below.



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MAKO Surgical Corp. (MAKO) is a medical device company that markets its advanced robotic arm solution and orthopedic implants for orthopedic procedures.

This is a vol blog with a calendar and incorporates a recent earnings move. Though the stock just came up on the calendar spread real-time custom scan, there's more to it than that. Let's start simple:

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 the front is elevated to the back, especially to the downside puts. An interesting note, MAKO released earnings 8-8-2011 AMC. The stock gapped up $7.48 the next day from $21.40 to $28.88 (close-to-close) or just under 35%. Since then the stock has climbed to over $32.

Let's 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 rally is evident, but check out the vol portion (bottom). Check out how low IV30™ is relative to the short-term historical vol (HV20) and the long-term historical vol (HV180). Specifically:

IV30™: 58.09
HV20: 145.08
HV180: 70.41
HV10: 200.16

So here's a case where the implied has collapsed off of earnings, even in the midst of a market sell-off, while the stock itself has moved what's now more than 3x the implied over the last ten trading days. Hmmm...

Finally, let's look to the Options Tab (below) and look at specific vol levels.




Potential Trades to Analyze

1. Calendar Spread
The put side of the Aug/Sep calendar looks interesting. The Aug 30 puts are priced at ~78 vol while the Sep 30 puts are priced at ~59 vol. Or, in English, the Aug puts are priced eight points above the long-term historical average (HV180) and the Sep puts are priced eleven vol points below it.

The risk here, of course, is the short gamma (more so I think than the long vega). With the stock moving at 200 annualized vol over the last ten trading days, maybe 78 vol is too cheap? Worth some discussion though, I thought.

2. Buying vega
Maybe owning the vol in Sep in and of itself is an interesting trade to analyze -- it's a different kind of risk as the premium is higher, but it does eliminate the short gamma in the front month when compared to the calendar.

This is trade analysis, not a recommendation.

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