Travelzoo (TZOO) - Elevated Implied, Dipping Historical

TZOO is trading $33.40, up 3.5% with IV30™ up 1.3%. The LIVEVOL® Pro Summary is included below.



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Travelzoo Inc. (Travelzoo) is a global Internet media company. The Company informs over 22 million subscribers worldwide, as well as millions of Website users, about the best travel, entertainment and local deals available from thousands of companies.

I found this stock using the real-time custom scan that searches for high vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20) and the long term trend in stock movement (HV180). 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 IV30™ simply because earnings are approaching.

The TZOO 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 the massive stock drop off of earnings in late Jul; the stock went from $85.71 to $56.00 in a day (~34%). As of this writing, the stock is trading $33.40 -- that's a full 61% off of the pre-earnings value and 40% off of the immediate drop. But... check out the stock price since mid Aug.

On the vol side, The HV20 was as high as 182 on the stock drops, today that number is down to 83.90. In English, the realized short-term vol of the stock has come down significantly of late as the stock has finally started moving closer to its long-term trend (HV180). The IV30™, however, has been rising of late, now to just under 135 which is an annual high. Specifically:

IV30™: 134.61
HV20: 83.90
HV180: 95.80

Let's turn to the Skew Tab, below.



The ATM vol in Sep (121) is below the ATM in Oct (133) and Dec (133). Earnings may be due out right on Oct expo week. The OTM options are priced to higher vol in Sep, which is normal this close to expo.

Let's finish with the Options Tab (below).



Possible Trades to Analyze
1. Front vol sales or calendar spreads
Doing the one-sided or two-sided calendar is a reasonable position to examine. Selling the Sep 30/35 strangle collects ~$2.50 which gives a positive PnL if TZOO stock is in ($27.50, $37.50). Buying the Oct calendar covers that strangle and then owns the earnings vol in a stock that just moved $34 last earnings cycle.

This is trade analysis, not a recommendation.

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Open Table (OPEN) - Stock Drops on GOOG News, Now What?

OPEN is trading $56.91, down 9.3% with IV30™ up 8.3%. The LIVEVOL® Pro Summary is below.



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OpenTable, Inc. (OpenTable) provides solution that forms an online network connecting reservation-taking restaurants and people who dine at those restaurants. Its solutions include its Electronic Reservation Book (ERB), for restaurant customers and www.opentable.com, a restaurant reservation Website for diners.

The news driving the stock is best summed up in a quick news snippet:

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NEW YORK (AP) -- Shares of restaurant booking and review website OpenTable Inc. sank more than 10 percent Thursday after search giant Google Inc. said it was buying restaurant reviewer Zagat.

Investors may be speculating that Google will now move into the restaurant reservation business and threaten OpenTable's lead in that market.
Source: AP
---

OPEN has traded over 23,000 contracts on total daily average option volume of just 5,427. While no specific line is trading the majority of the volume, and while calls and puts are about equally active, the general tenor is vol is up -- so option buying. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates the action today. We'll come back to this when we examine some potential trades to analyze.



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



We can see a normal shaped skew with the downside bid relative to the upside. A vol diff has opened up inbetween the front two months to that downside skew.

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 the stock fading for the last few months from as high as $120 (ish) to now less than half that value. On the vol side we can see the implied has just now popped over the short-term realized and has been trading well above the long-term historical for some time.

Possible Trades to Analyze
So the question here -- is this news going to keep the stock price depressed for a "prolonged" period of time (read: more than a week and a half) or is this just a one or two day "reaction?" I dunno -- here are some trades to analyze for various outcomes:

1. Sep/Oct downside calendar
The 45, 47.5 and 50 put spreads sell 36, 32 and 22 vol points higher than they purchase, respectively, and all likely win if the stock moves to the strike but not much lower.

2. Sep/Oct upside calendar
The vol diffs are much smaller to the upside, but for a bet that the stock recovers to a certain price by Sep expo, doing that strike call calendar is an interesting trade to examine.

3. Short Sep put spreads / Long Sep call spreads
Selling OTM put spreads in Sep (which is the equivalent of buying ITM call spreads of the same strikes) bet that the stock doesn't go much lower than it already has and collects a small premium with a capped MaxLoss.

4. Diagonal calendars
On the put side, selling the higher strike in Sep and buying the lower strike in Oct is an interesting way to play trade #1, with a smaller premium paid but a larger MaxLoss.

This is trade analysis, not a recommendation.

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CONSOL Energy (CNX) - Elevated Vol, Stock Collapse, Vol Comps & Skew

CNX is trading $44.91, down 1.4% with IV30™ up 0.2%. The LIVEVOL® Pro Summary is below.



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CONSOL Energy Inc. (CONSOL Energy) is a multi-fuel energy producer and energy services provider primarily serving the electric power generation industry in the United States.

I found this stock using the real-time custom scan that searches for high IV30™ relative to short-term and long-term realized vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20) and the long term trend in stock movement (HV180). 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 IV30™ simply because earnings are approaching.

The CNX 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 the stock drop in early August, from $52.09 to $36.93 or a 29% drop in eight calendar days. The stock price has recovered to just under $45 as of this writing. During that eight day period in August, the IV30™ rose from 39.86 to 71.84 or an 80% increase.

While the stock has found calmer ground of late, the IV30™ hasn’t dropped as much as the short-term realized vol and that has created the vol diff that triggered the scan.

Specifically:

IV30™: 52.19
HV20: 39.83
HV180: 42.49
HV10: 32.29

Let’s delve deeper into the vol analysis by examining the skew chart and the line-by-line and month-to-month term structure.



Both of the front months show a parabolic skew, with the front month demonstrating a steeper slope to both sides. That slope difference has created an interesting vol difference – I’ve highlighted it to the downside.

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



I wrote about this one for TheStreet.com (OptionsProfits) and maybe Yahoo! Finance later today, so no specific trade analysis here. But, I will say that the position that caught my eye was a downside calendar spread. The 52 wk low in stock price is $33.34, but that was a while back. In that Aug swoon, the low price was $35.75. Having said that, the vol in the Oct downside does still feel pricey – I’d prefer it around the IV30™ or lower, which would be ~50 vol. Not sayin'... Just sayin'.

This is trade analysis, not a recommendation.

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VeriSign (VRSN) - Rumors Push Vol, Skew, Stock and Vol Comps

This was originally posted on Wednesday, September 7, 2011 and is now a case study in a three part series on option skew. You can read parts one and two by clicking on the titles below (if you haven't read them, they're brief and useful).

As I've said before, if you trade options, you are trading volatility, whether you mean to or not.

Part1: Understanding Option Skew -- What it is and Why it Exists

Part2: Trading Option Skew

VRSN is trading $34.76, up 8.4% with IV30™ up 5.2%. The LIVEVOL® Pro Summary is below.



VeriSign, Inc. is a provider of Internet infrastructure services. It provides domain name registry services and infrastructure assurance services.

The stock has been popping of late on takeover spec. Here's a quick news snippet from Forbes.com written by Eric Savitz.


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VeriSign shares are trading sharply higher for a second straight session after the company cancelled an appearance yesterday at a Citigroup technology conference.

ThinkEquity analyst Daniel Cummins reports in a research note that the company also cancelled a planned presentation at a technology conference his own firm is holding next week.

Cummins says he thinks the cancellations likely have more to do with the company’s CEO search than to potential M&A developments. He points out that the company since August has been run by Chairman and co-founder Jim Bidzos, who took over after former CEO Mark McLaughlin left to take the top job at Palo Alto Networks.

On the other hand, he also contends the company could make a good acquisition target.
Source: Forbes.com -- Update: VeriSign Rally Extends As Rumor Mill Heats Up
---

Well there you go. Takeover... Rumor... Again...

Let's turn to the Skew Tab and check out what is a very cool term structure and skew.



We can see a marked upside bid skew in Sep as the takeover rumors have pushed vol (and the stock) in the OTM calls. I've included the Skew Tab snap from 9-2-2011, below.



Awesome skew shape transformation. We can also see, when comparing the two time periods, how large a vol diff has opened up between the front month and the back two. Specifically, the Sep 36.25 calls are priced to 74 vol while the Oct 36 calls are priced to 47 vol. Said differently, Sep is 57% more expensive (in terms of vol) than Oct, and we're actually comparing a further OTM call in Sep.

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 rise of late. On 9-2-2011, VRSN closed at $30.01. As of this writing, it's up nearly $5 or 16%. On the vol side we can see that the short-term historical has been trading above the implied for a few weeks -- starting with the stock drop in early Aug. The short-term implieds and historicals are all sort of converging at around 50 while the long-term realized trend is substantially lower. Specifically:

IV30™: 50.74
HV20: 53.35
HV10: 47.86
HV180: 27.19

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



As one example, see the Sep $36.25 strike calls are priced to 74.29% volatility while the Oct $36 strike calls are priced to 47.39% volatility (difference =  26.90 vol points).  That volatility difference is significantly larger than the that between the Sep $32.25 strike puts at 57.97% compared to the Oct $32 strike puts at 48.41% volatility (difference =  9.56 vol points).

The upside risk reflected by the option market is substantially higher in Sep than Oct... the effect of a takeover rumor.

This is trade analysis, not a recommendation.

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Vulcan Materials (VMC) - Elelvated Vol, Stock Pop and Vol Diff

VMC is trading $35.16, up 0.8% with IV30™ down 0.5%. The LIVEVOL® Pro Summary is below.



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Vulcan Materials Company (Vulcan) is a producer of construction aggregates, primarily crushed stone, sand, and gravel. Vulcan has 319 aggregates facilities. The Company is also a producer of asphalt mix and ready-mixed concrete, as well as a producer of cement in Florida.

The stock popped with the entire industry yesterday Here’s a quick news snippet:

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Building material stocks also posted huge gains ahead of President Obama's proposal of a $300 billion job creation bill. Stocks like Vulcan Materials(VMC_), up 18%, Texas Industries(TXI_), up 12%, and Martin Marietta Materials(MLM_), up 10%, gained serious momentum
Source: TheStreet.com (Beware Stocks' Rally, Expect Volatility: Morning Call, by Evan Lazarus).
---

The vol also popped nicely yesterday on the news and now the company 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 turn to the Skew Tab to examine line-by-line and month-to-month vols.



We can see “normally” shaped skews for both months with the front elevated to the back on all strikes. There is an interesting kink the Sep 29 puts with slightly elevated vol relative to the surrounding strikes.

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 pop yesterday. Note also the recent 52 wk low – the stock hit below $29 in early/mid August before rebounding.

On the vol side we can see that IV30™ popped in early Aug and has stayed elevated. Interestingly, the short-term realized vol of the underlying has outpaced even that elevated implied. Specifically:

IV30™: 58.96
HV20: 68.77
HV180: 36.54
HV10: 63.48

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



I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. I will say that the vol diff to the downside looks like a reasonable position to analyze, especially taking into account the recent 52 wk low as perhaps a "line in the sand." Of course, downside calendars on the same strike or even with diagonals (or reverse diagonals) do have a delta tilt on a stock that has just recently popped on what may either by continuing good news, or just... ya know... no news...

This is trade analysis, not a recommendation.

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AOL - Calls Trade on Valuation, Skew Bends, Vol Diff Opens

AOL is trading $14.96, up 3.2% with IV30™ up 5.0%. The LIVEVOL® Pro Summary is below.



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AOL Inc. (AOL) is a global Web services company with a range of brands and offerings and a global audience. This is a great order flow story based some interesting news -- which may or may not prove to be true.

First, the news:
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Needham lowers its AOL tgt to $20 from $35 and reiterates its BUY rating on AOL because it believes that AOL should be taken private for its asset value. Firm calculates that AOL is worth $26/share in a liquidation scenario, excluding its upside optionality.
Source: Briefing.com (www.briefing.com)
---

AOL has traded just under 29,000 contracts on total daily average option volume of just 1,794. Calls have traded on a 7.2:1 ratio to puts. The action has been buyers in the Oct 15 and Jan'12 19 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Oct 19 calls are mostly opening (compare OI to trade size). When looking down the entire option chain for AOL, I don't see any OI larger than 3,500, so this size is very large. The Jan'12 19 calls have traded over 6,500x on existing OI of just 421.



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



We can see the front is substantially elevated to back. There's a great vol diff that has opened up on the 16 strike -- it's spiked in Sep (not Oct) -- creating a 17 point vol diff.

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 the stock collapsed off of earnings from $15.07 to $11.19 (or 26%). The implied is rising, but that earnings drop has pushed the short-term HV numbers up.

Possible Trades to Analyze
The Sep/Oct 16 calls spread is reasonable to analyze given the order flow in the Oct calls. That would be owning the order flow while scalping 17 vol points.

All sorts of calendars are on the board -- but that's short gamma and long vega in a stock where news is out that if realized, would move the stock (hurts short gamma) and kill vol (hurts long vega).

This is trade analysis, not a recommendation.

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InterDigital (IDCC) - Elevated Vol, Patent Valuations

IDCC is trading $67.53, down 1.3% with IV30™ down 4.3% as of ~10:45am EST. The LIVEVOL® Pro Summary is below.



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InterDigital, Inc. (InterDigital) is a holding company, and its various subsidiaries engage in technology research and development activities or in the prosecution, maintenance, enforcement, and licensing of patents.

It’s that final phrase: “…enforcement, and licensing of patents” that is driving the stock price. Let’s start with the Charts Tab. 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 popped from $41.51 on 7-18-2011 to as high as $82.50 on 7-21-2011. Here’s a quick news snippet from 7-21-2011 that pushed the stock, but essentially it was that patent valuation that started the push.

“Boosted by M&A speculation; stock soared yesterday after it was announced that the co was exploring strategic alternatives.”
Source: Briefing.com (www.briefing.com)

IDCC has fallen back to the high 60’s but is still trading more than 60% above the stock price before the news.

The uncertainty surrounding the patent valuation and potential buyer has spiked the IV30™ to now over 120. It’s that vol that caught my attention. Let’s start with the Skew Tab and then look at the option prices.



We can see the front month is substantially elevated to the back. For the last two years, earnings have been on 10-28-2009 and 10-27-2010, so the elevated vol in the front is not earnings related. Let’s turn to the Options Tab.



The front month ATM vol (67.5 strike) is priced at ~155. In English, that’s ~$14.75 in the nine trading day straddle. Said differently, the option market reflects a ~$30 range for the stock as the one standard deviation move within the next two weeks.

I wrote about this one for TheStreet.com (OptionsProfits) so no specific trade analysis here. I will say that the risk reflected by the options can’t be ignored even though the HV10 is just 47.71.

We can also note that the wings, particularly the OTM puts, are priced at ~180 vol. For those willing to take on risk, a vol sale with a covered strangle and a short OTM put creates an interesting MaxGain:MaxLoss inside the strangle. Of course, it creates a cataclysm below the puts.

This is trade analysis, not a recommendation.

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YRCW - How a Text Book Trading Arb Can Lose You Everything

YRCW is trading $0.74, down 2.2% with IV30™ down 13.4%. The LIVEVOL® Pro Summary is below.



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With the market in ultra slow mode, this is a really interesting stock where an apparent arbitrage is staring us all right in the face... or is it?

Let's skip the company specific details and just get into trading. The Options Tab is included below.



First, the apparent arb:
If one were to sell the Oct 0.5 straddle @ $0.61 then there is no risk to downside stock movement, right? A stock can only go to zero, (so losing $0.50 to the put), but the position collected $0.61, so that's at worst case an $0.11 win.

Ok, fair enough. But what about the upside? Well, one could purchase the Oct 1 calls for $0.06. That would make the net credit on the total trade $0.55. Still no downside risk (same argument), and now there is no risk to the upside stock movement, right? Do the math, it's right, :-p

So, wth? Let's do this trade fricking size!!!

Not quite...

Look at the 0.50 strike synthetic fwd stock price:
Stock = 0.5 + 0.24 (the call) - $0.38 (the put) = $0.36. Yup, and the stock is trading $0.74. In other words, this thing is incredibly hard to borrow (very large negative rate).

So, why does that matter?

How does the same trade (sell straddle buy OTM calls) look if this happens:
Sell 0.5 strike calls
Sell 0.5 strike puts
Buy 1.0 strike calls
---
0.5 calls get exercised.

The position becomes:
Short 0.5 strike put
Long 1.0 strike call
And...
Short stock... uh oh...

The short stock pays a huge negative rate, and even more so, has risk of a buy in. Either way, the short stock can't be maintained. Buying the stock back leaves:

No stock
Short 0.5 strike put
Long 1.0 strike call

Eh hem... That, is not a risk free profit, it's a risk reversal long deltas in a stock that's priced to fwd at $0.36. And who knows what price the stock buy back occurs at.

There you go... An "arb" that could cost you everything... And yes, I see there is more than 8,000 OI (unexercised) in the Oct 0.5 calls... But I also see that over 30,000 have traded today.  So, ya know...

This is trade analysis, not a recommendation.

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Deutsche Bank (DB) - Time Spread and Vol Comps

DB is trading $39.34, down 2.8% with IV30™ up 1.1%. The LIVEVOL® Pro Summary is below.







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Deutsche Bank AG is a global investment bank. The Company offers a variety of investment, financial and related products and services to private individuals, corporate entities and institutional clients around the world.



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







A couple phenomena, here. First, Sep is elevated to Oct on all strikes. Second, the downside skew in Sep (the slope) is greater (in absolute value) than the Oct options creating a widening vol diff to the downside. I’ve circled the downside put vol diff, above.



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 how DB has fallen off a cliff of late, like the rest of the market in a sense, but the recovery has not been as abrupt in this single name as it has been with the rest of the market. Note that DB is a giant European bank, so not necessarily the same systematic risk as US bank stocks. Having said that, it’s all kinda lumped together in terms of global financial risk with the banking giants.



On the vol side we can see a very similar pattern as we do across most US equities. The short-term realized historical vol (HV20) is greater than the IV30™ even though the implied is elevated relative to the long-term realized vol (HV180). Specifically:



IV30™: 59.95

HV20: 87.09

HV180: 42.02



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







I wrote about this one for TheStreet.com (Options Profits), so no specific trade analysis here. Having said that, the downside skew vol diff looks compelling. Choosing the strike becomes the issue as the 32.5, 35, and 37.5 calendar put spreads all seem reasonable to examine. For what it's worth, the 52 wk low in DB is $37.44. I do note, however, that DB hasn’t really bounced off of the lows and is down another 3% (ish) today.



This is trade analysis, not a recommendation.



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