SodaStream Int'l (SODA) - Vol Falls Asleep in Gapping Stock

SODA is trading $34.34, down small with IV30™ up 0.2%. The LIVEVOL® Pro Summary is below.



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SodaStream International Ltd., formerly Soda-Club Holdings Ltd., along with its subsidiaries, is engaged in developing, manufacturing and marketing home beverage carbonation systems and related products.

This is a vol note, specifically depressed vol in a stock that gaps all over the place. Let's start with the Charts Tab (one year), 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 some enormous short-term moves in the underlying. The earnings release in May 2011 resulted in a $12.66 two day gain or 30%. Aug 2011 earnings resulted in a $23.25 one day drop or 33.8%. The earnings date in Feb 2012 resulted in a 14.2% one day drop ($6.75). But aside from earnings, the stock moved more than $12 (22%) in between the May 2011 and Aug 2011 earnings cycles. This stock moves -- earnings related and otherwise.

On the vol side we can see that the implied has hit as high as 122.56%, but as of right now, IV30™ trading at 48.01% (even after being up 7.8% today). The current level is in the 6th percentile (annual). It's this dwindling vol level that caught my eye given the stock's penchant to move.

Let's turn to the Skew Tab to examine the month-to-month and line-by-line vols.



We can see a parabolic shape to the front month skew, while the second month is priced to significantly higher ATM vol. The last earnings release in calendar Q2 for SODA was 5-18-2011. This year the May cycle expires on 5-18-2012... tricky. The May options are elevated to Apr likely due to the possibility of the earnings event (which can move stock abruptly).

Finally, let's turn to the Options Tab.



Check out how closely May and Jul are priced in vol, 57.54% to 57.95, respectively, while Apr is priced to 48.01% (even after being up 3.5 vol points today). Overall, this is another example of a stock that can gap, yet the implied has "fallen asleep" of late.

This is trade analysis, not a recommendation.

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KIT digital (KITD) - "Regular Irregularity" Exposes Mis-priced Exploding Vol

KITD is trading $6.20, down 23.9% with IV30™ up 49.5%. The LIVEVOL® Pro Summary is below.



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KIT digital, Inc. (KIT digital), incorporated on August 11, 1998, through its operating subsidiaries, provides enterprise clients an end-to-end technology platform for managing Internet Protocol (IP)-based video assets across the browser, mobile device and Internet protocol television (IPTV) set-top box-enabled television set.

This is a vol and sock note (obviously) on some disturbing news. The plot thickens as we examine the stock price movement prior to the information today. Let's start with the news:

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Kit Digital Inc. (KITD) fell the most in three years after the maker of online video software said it accepted the resignations of four board members.

Source: Bloomberg via Yahoo! Finance -- Kit Digital Tumbles Most in Three Years as Board Members Resign, written by Krystof Chamonikolas.
---

Icky...

Let's turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



This is a fascinating stock and vol chart. First, check out the move between 11-8-2011 to 11-12-2011, surrounding the earnings release on 11-9-2011. The stock went from $8.36 to $12.37, or up 48% in three days. Here's that news:

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Revenue in the third quarter of 2011 increased 29% sequentially to a record $62.3 million from $48.2 million in the previous quarter, and increased 124% from $27.7 million in the same quarter a year ago. Excluding the effect of acquired companies during the comparable periods, the company estimates organic growth in Q3 was 11% sequentially and over 35% versus the same year-ago quarter.

Source: marketwire via Yahoo! Finance -- KIT digital Reports Record Q3 2011 Results
---

Although the results were tremendous and the stock exploded up, just eighteen calendar days later the stock was back down to $8.70. Through that entire period, the implied stayed in a range of about [69%, 82%] while the HV10™ rose as high as 175%. Fast forward to 2-9-2012 and the stock hit $12.58 -- the implied was falling during this same period and hit as low as 53.68%.

Since 2-9-2012, the stock is down 51%, with a chunk of that move today. Before the news and move today, the implied was still below 70%. Finally, today, the implied has exploded up 50% to 102.60%. The 52 wk range in IV30™ is [38.59%, 82.72%], making the level today an annual high and in the 100th percentile (annual). Note that the HV20™ (and all HV measures) is calculated close-to-close, so that number (and chart) will spike tomorrow.

Obviously hind sight is 20/20, but the implied looked horribly under priced throughout the last six months, with today expressed more like a "regular" irregularity rather than a jaw dropping surprise. I dunno, just looks like mis-priced vol...

Let's turn to the Skew Tab.



We can see all three of the front expiries show a parabolic (ish) skew, with both the downside OTM options and the upside OTM options priced higher than the ATM options. In English, the option market reflects both downside risk and upside potential,... Uh, yeah....

It's also worth noting the vol diff between the three expiries with a monotonic rise in vol from the back to the front.

Finally, let's turn to the Options Tab.



We can see Apr, May and Jul are priced to 107.22%, 98.51% and 98.03%, respectively. Even Oct is priced to 85%, which is above the annual high in IV30™.

This is trade analysis, not a recommendation.

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Leap Wireless Int'l (LEAP) - Vol "Falls Asleep" in Perpetual Takeover Candidate

LEAP is trading $9.78, down small with IV30™ down 1.6%. The LIVEVOL® Pro Summary is below.



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Leap Wireless International, Inc. (Leap) is a wireless communications carrier that offers digital wireless services in the United States under the Cricket brand. Leap’s Cricket service offerings provide customers with unlimited wireless services for a flat rate without requiring a fixed-term contract or a credit check.

LEAP is a perpetual takeover candidate -- or at least in perpetual potential of being caught up in a takeover rumor. Today it popped up on my low vol scan.

Custom Scan Details
Stock Price GTE $7
IV30™ - HV20™ LTE -8 GTE -40
HV180™ - IV30™ GTE 7
Average Option Volume GTE 1,200
Industry != Bio-tech
Days After Earnings GTE 32

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 short-term implied vol (IV30™) that is depressed 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 purchasing depressed IV30™ relative to HV20™ simply because of a large earnings move.

The LEAP 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 how the underlying has found a sort of quiet period -- almost frozen in between $9 and $10. But, it's the vol that caught my attention. The implied has been trailing down -- almost sleepy. On 12-30-2011, the IV30™ closed at 102%. As of this writing it's down to 55.01% -- so it's been cut in half (ish) in less than four months. The 52 wk range in IV30™ is [39.57%, 119.06%], putting the current level in the 19th percentile (annual). In terms of the vol comps, we can see:

IV30™: 55.01%
HV20™: 71.69%
HV180™: 93.34%

So, IV30™ is depressed relative to the short-term and long-term realized movement of the stock as well as it's own annual history.

Let's turn to the Skew Tab, below.



This is an interesting chart. While the skew shape(s) look normal, check out how depressed the front is to the back months. Granted that the next earnings release for LEAP should be in the May cycle (and not in Apr), but still... That ATM vol is the lowest single vol across all three front expiries and all strikes. An upside skew in LEAP isn't terribly unusual, but given the implied is so low, I would have expected the opposite. Shows what I know...

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



Looking across the top we can see 54.63%, 63.45% and 63.34% for the Apr, May and Jul expiries, respectively.

This is trade analysis, not a recommendation.

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EchoStar Communications (DISH) - Government Ruling Pushes Stock to New High; Vol Pops

DISH is trading $33.97, up 5.0% with IV30™ up 17.3% as of ~10:25am EST. The Livevol® Pro Summary is included below.



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DISH Network Corporation is a pay-television (TV) provider, with approximately 13.967 million customers across the United States as of December 31, 2011. The Company offers a range of local and national programming, featuring more national and local high definition (HD) channels than pay-TV providers.

The note today surrounds vol, order flow and news… Let’s start with the information driving the stock and vol higher:

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The federal government on Wednesday gave a boost to Dish Network’s plan to create a new U.S. wireless broadband network using satellite broadcast spectrum it bought for $2.9 billion.

The Federal Communications, at a hearing in Washington, D.C., proposed rewriting the rules to let Douglas County-based Dish use the frequencies solely on the ground instead of having to include satellite use of the airwaves, as the current rules for the 40 megahertz require.

FCC Chairman Julius Genachowski, in a written statement, called the proposed changes an important step to relieving the shortage of spectrum for mobile broadband services.

[snip]

The change would let Dish Network design a mobile broadband network capable of using typical smartphones instead more expensive and bulky devices capable of receiving satellite signals as well as terrestrial ones.

Source: Denver Business journal via yahoo1 Finance, FCC ruling boosts Dish Network’s wireless plans; written by Greg Avery
---

Well there you go...

Let’s start with the order flow and then move onto the vol – both are a story. DISH has traded nearly 26,000 contracts on daily average volume of just 3,710. Calls have traded on a 4.3:1 ratio puts with over 21,000 changing hands in early morning trading. The Livevol® Pro Stats Tab and day’s biggest trades are included below.





Note in the biggest trades snap that every contract in the top 15 (or whatever) are calls. The Options tab (below) illustrates the action. The Jun 35 and Apr 32 calls are the most active. Apr 37 calls are also active on 0 (zero) existing OI. The largest trade was an Apr / Jun 35 / 32 call spread. I’m having trouble finding color on this one, so I’ll leave it agnostic for now.



The story for me, though, is the vol. Let’s start with the Skew Tab.



The skew shows a similar shape across all three of the front expiries. May is elevated relative to the front and third month. It’s a fair bet that the next earnings release is in the May cycle but outside of Apr based on the last two earnings releases in calendar Q2: 5-10-2011, 5-2-2010.

Finally, let’s turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. On the stock side we can see the recent spike. The 52 wk range in stock price is [$19.26, $32.76] , or in English, the price level today represents a potential new closing high.

Now, with all that stock stuff and news stuff and stuff ‘n stuff, check out the vol. Although the IV30™ has spiked today, the 52 wk range is [27.38%, 68.03%], meaning the current level, though elevated today, is still just in the 12th percentile (annual). Or, in English, with a bunch of stuff going on, the vol is well depressed. Note that the HV20™ level will pop tomorrow (it’s calculated close-to-close).

This is trade analysis, not a recommendation.

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Watson Pharmaceuticals (WPI) - "Low Vol" Pharma Shows Vol Explosion on Deal News

WPI is trading $61.74, up 5.5% with IV30™ up 28.8%. The LIVEVOL® Pro Summary is below.



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Watson Pharmaceuticals, Inc. (Watson) is an integrated global pharmaceutical company engaged in the development, manufacturing, marketing, sale and distribution of generic and brand pharmaceutical products.

WPI is a cool company in that it's a pharma with a vol normally in the 20's. This, however, is a vol note as the stock and vol are popping on news. Let's start with the story:

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Watson Pharmaceuticals Inc. (WPI) is in talks to buy Actavis Group hf, a Swiss maker of generic drugs, a person with knowledge of the matter said.

Watson made an unsolicited approach to Actavis, said the person, who declined to be identified because the discussions are confidential. There are no other suitors at the moment and a deal may be weeks away, the person said. Reuters, which reported the discussions earlier today, said Watson may pay 5 billion euros ($6.6 billion) to 5.5 billion euros.

Watson Chief Executive Officer Paul Bisaro said in January the Parsippany, New Jersey-based company was interested in buying either a generic or brand-name drugmaker. “Our appetite for a larger transaction, it’s there,” Bisaro said at the JPMorgan Chase & Co. health-care conference in San Francisco.

Charlie Mayr, a Watson spokesman, said the company doesn’t comment on speculation. Frank Staud, a spokesman for Zug-based Actavis, also declined to comment.

Watson, the maker of the authorized copy of Pfizer Inc.’s cholesterol pill Lipitor, is looking to expand its international reach as well as the company’s portfolio of brand-name drugs.

Source: Bloomberg via Yahoo! Finance -- Watson Said to Be in Talks to Buy Swiss Drugmaker Actavis, written by Aaron Kirchfeld and Naomi Kresge.
---

Tricky... A vol and stock rise as the potential acquirer. The "appetite" part feels a little scary coming from the CEO, but it makes for some cool vol analysis.

The news has driven some order flow as over 18,000 contracts have traded on total daily average volume of just 2,464. Calls have traded on a 3.8:1 ratio to puts with the action in the May 65 and Apr 65 calls. The Stats Tab and day's biggest trades snap are included below.





The Options Tab (below) demonstrates that the Apr 65 calls are mostly opening (compare trade size to OI). The May 65 calls are more ambiguous. The color I got on the May 65 calls was that the 4,588 lot was a purchase without stock. The Apr 65 calls are hard to tell -- look two sided, although the vol rise is circumstantial evidence of purchases.



Let's turn to the Skew Tab.



It's interesting that the May options are priced to higher vol than Apr given that the news feels "pending." It's also noteworthy that the Aug options show a "normal" skew in that the OTM calls are priced to lower vol than the ATM options. That is not the case for Apr and May where the skew is flattish or even bent up to the upside. The next earnings release should be in the May expiry, but outside of Apr.

Finally, let's turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



This was actually a stock trading over $70 as recently as September. It hit as low as $55.89 (closing) in Jan. We can see the stock spike today.

On the vol side we can see a bumpy ride in between ~20% and ~40% in the implied. Before today, IV30™ closed at 22.60%. It's up 28.8% today. The 52 wk range in IV30™ is [19.84%, 41.25%] putting vol in the 45th percentile (annual). As of yesterday's close, IV30™ was in the 6th percentile. My curiosity here lies in whether the upside really has any more legs -- and on the flip side -- if the downside is still a legitimate risk if this "deal" falls apart.

This is trade analysis, not a recommendation.

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Veeco Instruments (VECO) - Depressed Vol into Earnings... Right?

VECO is trading $30.74, down 0.9% with IV30™ unched. The LIVEVOL® Pro Summary is below.



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Veeco Instruments Inc. designs, manufactures and markets equipment to make light emitting diodes (LEDs), solar cells, hard-disk drives and other devices. The Company operates in two segments: Light Emitting Diode (LED) and Solar, and Data Storage.

Thisis a vol note – specifically depressed vol as earnings approach. Let’s turn to the Charts Tab (six months), 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 some price appreciation over the last six months. I’ve highlighted 3-15-2012 when the stock closed up 11.4%. Here’s a news snippet from that day:

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LED equipment maker Veeco Instruments (NASDAQ:VECO) soared today as Deutsche Bank (NYSE:DB) upped their rating to Hold, citing promising demand for LED lighting that could indicate an industry rebound.

Shares of the Somerset, New Jersey-based company gained as much as 11 percent today, adding to the company’s 44.1 percent increase for 2012. According to a report by the Motley Fool, Deutsche Bank also put a $40 price target on the stock, which represents more than 30 percent worth of upside to its Thursday closing price.

Source: WALL ST. CHEAT SHEET via Yahoo! Finance -- This Upgrade Fuels Veeco Instruments Rise, written by Gina Smith.
---

But, it’s the vol that really caught my attention. The 52 wk range in IV30™ is [40.97%, 80.92%] putting the current level in the 10th percentile (annual). The recent stock gap up has pushed HV20™ up "artificially." The current vol comps are:

IV30™: 45.55%
HV20™: 61.55%
HV180™: 60.22%

The last two earnings cycles in calendar Q2 for VECO have been 4-26-2010 and 4-25-2011. It’s a reasonable guess that the next earnings release will be in May expiry but outside of Apr.

Let’s turn to the Skew Tab – we’ll find the confirming circumstantial evidence of the earnings date.



We can see that May vol lies above Apr for most strikes, with similar shapes across the months. A vol event is priced for May outside of Apr – aka: earnings.

Let’s turn to the Options Tab.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. Across the top we can see that Apr and May are priced to 45.55% and 50.70%, respectively. That May number would be the 24th percentile (annual) – so still depressed both to the implied's history and to the historical realized measures.  But, keep in mind, as recently as 3-5-2012, HV20™ was as low as 37.16%.

Still noteworthy is that last earnings cycle the IV30™ only hit ~54% and the stock moved just $0.22. The upgrade and projection does embed a sort of “risky” event, so it’s reasonable to bet that vol will rise into the earnings release above that prior level, but then again... it may not.

This is trade analysis, not a recommendation.

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Adobe Systems (ADBE) - Vol Crush After Earnings Pushes Implied to Two Year Low

ADBE is trading $33.05, down 4.2% with IV30™ down 43.9%. The LIVEVOL® Pro Summary is below.



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Adobe Systems Incorporated (Adobe) is a diversified software company. The Company offers a line of software and services used by professionals, marketers, knowledge workers, application developers, enterprises and consumers for creating, managing, delivering, measuring and engaging with content and experiences across multiple operating systems, devices and media.

This is a quick vol note -- ADBE just released earnings (yesterday AMC). The vol crush is notable. Let's start with a quick snippet of the news:

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Adobe Systems tumbled after the software company said revenue growth slowed as sales of its Creative Suite software declined. Meanwhile, Jefferies raised its price target on the firm to $38 from $34.

Source: CNBC via Yahoo! Finance: Stocks Off Lows, but China Worries Remain
---

So there you go -- revenue miss 'n stuff 'n stuff. The story here is the vol, though. Let's turn to the Charts Tab (one year), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



The stock has done the "V" dance, now back up near levels it saw about a year ago. On the vol side, we can see the tremendous vol drop off of earnings. A vol crush is normal as a planned news event (a vol event) has been announced. What's a bit odd is the level. I've included just the IV30™, below (one year).



I've added a horizontal green line at today's level. Note that the level today is a new annual low. In fact, the implied is now trading at the lows reached in Apr of 2010. Turning back to the stock, the 52 wk range in ADBE is [$22.67, $35.99]. In English, a poor earnings report has pushed stock down a bit -- and stock is (was) near an annual high as vol has reached a two year (ish) low. Hmmm...

This is trade analysis, not a recommendation.

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SPDR S&P Bank ETF (KBE) - Banking ETF Shows Large OTM Call Buyers.... For Second Consecutive Day

KBE is trading $24.35, down small with IV30™ up 15.4%. The LIVEVOL® Pro Summary is below.



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The SPDR S&P Bank ETF (the Fund), formerly SPDR KBW Bank ETF, seeks to closely match the returns and characteristics of the S&P Banks Select Industry Index.

This is an order flow note -- OTM call buying for size. The ETF has traded over 31,000 contracts on total daily average option volume of just 1,810. Calls have traded on a 1485:1 ratio to puts.  At least 30,000 of those contracts are purchases in a customer account -- opening May 26 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls have a massive existing OI of over 70,000.



Here's where it gets interesting. Yesterday that OI was zero. 75,000 of those calls traded and of those, 70,212 netted long opening purchases. The closing options montage and days biggest trades from yesterday are included below.



And how do I know the trades today are purchases in a custy account? Ah, the ever fleeting ISE Sentiment -- the number that represents opening calls (or puts) in customer accounts for purchases only. Check out the Stats Tab above -- the ISE Sentiment reads a green 30,000 -- that's 30,000 opening long calls from a customer on ISE.

Stock has traded heavily today, pointing to potential hedges, but the calls did not go up with stock yesterday to the floor (at least the stuff that hit NYSE ARCA).

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



I've circled the May 26 calls. Oddly, the upside skew across the front expiries hasn't really reacted that much, though there is a slight upside bend to those May 26 calls. So the skew is essentially unaffected, right? Well, not quite...

Let's turn to the same Skew Tab, yesterday.



Note that when comparing yesterday to today, the ATM vol in May was below Apr, and the May OTM calls were also below Apr.  Pretty cool...

Finally, the Charts Tab (six months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



The recent price run has been impressive. On 3-6-2012 (exactly two weeks ago), the underlying closed at $21.56. That's a gain of ~13% as of this writing in a "slow moving" (23% HV20™) ETF. On the vol side, we can see a gradually declining implied. In fact, the 23.77% number as of this writing puts it in the 13th percentile (annual). The 52 wk range in IV30™ is [17.16%, 65.93%]. So we've got dipping vol, rising underlying and size upside order flow back for a second day.

This is trade analysis, not a recommendation.

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Green Mountain Coffee (GMCR) - Depressed Vol in Gapping Stock as Earnings Approach

GMCR is trading $51.65, down small with IV30™ up 3.6% as of ~11:05am EST. The LIVEVOL® Pro Summary is below.



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Green Mountain Coffee Roasters, Inc. (GMCR) is engaged in the specialty coffee and coffee maker businesses.

This is a vol note on a stock that has a recent history of abrupt gaps and earnings moves. Let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Starting with the stock portion, we can see the tendency for the stock to gap. Just six months ago this was a $110 stock. It’s down more than 50% since then. I’ve also highlighted the last two earnings cycles – a gap down and a gap up. More on that in a sec.

Looking to the vol side, we can see that of late the implied and short-term historical vols have found “quiet” periods. In fact, the current IV30™ is in the 4th percentile (annual). The 52 wk range in IV30™ is [40.40%, 135.37%]. The 52 wk range in stock price is [$34.06, $115.98].

The last two earnings cycles in the second calendar quarter have been on 4-28-2010 and 4-27-2011. It’s a reasonable bet to expect earnings to fall in the May expiry, but outside of Apr.

Let’s turn to the Skew Tab.



Focusing on the ATM vols, we can see that in fact May is priced above the Mar23 weeklies and the Apr monthlies – confirming circumstantial evidence of a vol event (earnings) in May. I do note the parabolic shape to the skew in the front expiries that is not there in the May options. As we approach May expiry, I would expect that skew to bend to parabolic – the OTM calls may become more expensive (with respect to vol).

Let’s turn to the Options Tab, for completeness.



I wrote about this one for TheStreet (OptionProfits), so no specific trade analysis here. Looking across the top we can see the vols per expiry are 53.69%, 46.42% and 58.10%, respectively for Mar23 (W), Apr and May monthlies.

Even though the May options are priced above the front two expiries, that 58 vol level still feels low(ish) given the earnings event although I do note, again, the tendency for GMCR to gap even without earnings news

This is trade analysis, not a recommendation.

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