Constellation Brands (STZ) - Multi-Year Stock High Moves with Elevated Vol; Apr Earnings Vol Forgotten?

STZ is trading $38.62, up 6.2% with IV30™ up 11.1%. The LIVEVOL® Pro Summary is below.



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Constellation Brands, Inc. is a wine company. The Company is a marketer of imported beer in the United States. through its investment in Crown Imports, LLC (Crown Imports), a joint venture with Grupo Modelo, S.A.B. de C.V. (Modelo) pursuant to which Modelo’s Mexican beer portfolio (the Modelo Brands) are imported, marketed and sold by the joint venture in the United States.

This is a multi-level note in that the stock has breacjed a new high, the IV30™ has triggered the one-day vol gain scan, there is an interesting calendar vol diff and the overall level of the IV30™ has triggered the annual elevated vol scan.

Oddly, I can't really find any news for the stock or vol move today. Let's look at 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 the large price appreciation over the last year, with the stock rising from $20.66 to now over $38.50. I note in particular that earnings gap up on 6-29-2012 which acted as a catalyst for the price rise. I also note that with the move today, STZ has set a new multi-year high in stock price.

In order to better examine the implied, I have included the one-year IV30™ chart in isolation, below.



We can see how the implied is spiking of late with the stock rise. The 52 wk range in IV30™ is [18.41%, 56.52%], putting the current level in the 94th percentile (annual). So, here we have an example of a stock that is rising to new highs and the vol is also rising -- a good reminder that while the rule of thumb of rising stock and falling vol is a good one, it's not always true.

Let's turn to the Skew Tab, and we'll find some more interesting phenomena with the vol.



The company just released earnings on 1-9-2013, with the next earnings release due out in Apr. However, we can see that Apr vol is priced below Feb (and Jan = 3 days). This presents an interesting opportunity where we have elevating vol in a stock hitting new multi-year highs with the catalyst to that stock break out being an earnings report -- yet the vol for the next earnings report is priced lower than the months in front. Very cool...

Finally, let's turn to the Options Tab.



Across the top we can see the monthly vols are priced to 54.49% and 47.28% for Feb and Apr, respectively. Again, if the next earnings report is in Apr, that's quite a discount to Feb and potentially to Mar in a stock where owning vega has been a winner.

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DELL - Stock Pops, Vol Explodes on Potential Private Buy-out News

DELL is trading $12.74, up 17.1% with IV30™ exploding up 83.0%. The LIVEVOL® Pro Summary is below.



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Dell Inc. (Dell) is a global information technology company that offers its customers a range of solutions and services delivered directly by Dell and through other distribution channels. Dell is a holding company that conducts its business worldwide through its subsidiaries.

DELL stock popped and vol exploded just after 2pm EST today. The Tick Chart is included below (top portion is stock price, bottom is Jan vol).



So here's the news on DELL if you don't already know:

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Dell Inc. (DELL), the personal-computer maker that lost almost a third of its value last year, is in buyout talks with private-equity firms, two people with knowledge of the matter said.

Round Rock, Texas-based Dell is discussing going private with at least two firms, said one of the people, who declined to be identified because the talks are private. The discussions are preliminary and could fall apart because the firms may not be able to line up the needed financing or resolve how to exit the investment in the future, the people said.

Several large banks have been contacted about financing an offer, one of the people said.

Source: Bloomberg via Yahoo! news; Dell Said to Be in Buyout Talks With Private-Equity Firms, written by Serena Saitto & Jeffrey McCracken.
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DELL shows up on so many vol scans it's hard count; suffice it to say these four caught my eye:

(1) Day Vol Gain
(2) Exploding Vol
(3) Calendar Spread Months 1 to 2
(4) Calendar Spread Months 2 to 3

Let's start with the Skew Tab, because of all the scans, it's the most compelling to me.



We can see a couple of phenomena here:
(1) There is a monotonic vol increase from the back to the front.
(2) The front month (5 day options) have a decidedly upside skew

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 what has been a rather boring stock with implied vol in the 30% range and historical realized vol (short-term) even lower than that, has suddenly gapped up.

The vol side, well, how about a vol increase of ~85% in a few minutes?

Finally, let's turn to the Options Tab.



Across the top we can see Jan vol is up nearly 70 points from 28% on Friday, so a several hundred fold percent increase. Feb vol is up ~85% (Feb vol ~ IV30™ this close to Jan expo).

Here's the real question in the ultra short-term: "Will DELL go back down below say, $11.50 in the next few days (before this expo?)."  The vol is priced to over 100% on those puts. Perusing the news, this does not sound like a whisper that will fade into the wind -- at least not by Friday... Or will it?...

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MBIA (MBI) - Vol Pops Midday; Calendar Call Spread opens Up

MBI is trading $8.68, up 6.0% with IV30™ up 1.1%. The LIVEVOL® Pro Summary is below.



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MBIA Inc. (MBIA) together with its consolidated subsidiaries, operates the financial guarantee insurance businesses in the industry and is a provider of asset management advisory services.

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 for this one.



What's so interesting about this one is that the vol diff opens to the upside -- rather dramatically really, while the downside is pretty muted (in comparison).

Now we can turn to the one-year Charts Tab (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 the one-year return has been pretty poor, with the stock trading $12.88 a year ago today.

On the vol side we can see how the implied tends to trade above the historical vols - it's like a consistent and long-running "hold our breath" for this firm wrt to lawsuits, settlements, etc. While the implied is trading considerably above the historical realized vol measures, it's still just in the 45th percentile relative to its own annual history.

What really caught my eye was the Tick Chart today, included below (top portion is stock, bottom Jan vol, very bottom is volume).



We can see that pop in the stock and the volatility just after 2pm EST. Tricky...

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



Across the top we can see that Jan vol is priced to 96.11% and Feb is priced 83.51% (so ~12.5% vol dif overall). Looking at some OTM calls, we can see the Jan/Feb 10 call spread (for example) is priced to a 17 point vol diff.

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Urban Outfitters (URBN) - Calendar Spread Opens -- News is Coming Out in the Next 10 Days

URBN is trading $41.34, up 0.4% with IV30™ up 11.6%. The LIVEVOL® Pro Summary is below.



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Urban Outfitters, Inc. (Urban Outfitters) is a lifestyle specialty retail company, which operates under the Urban Outfitters, Anthropologie, Free People, Terrain and BHLDN brands.

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, below.



We can see pretty clearly how elevated the front month is to the back. While the skew shapes are similar, the vol diff has opened up significantly, or in English, the option market reflects substantially more risk in the near-term (next 10 days) than the intermediate-term.

Now we can turn to the one-year Charts Tab (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 the abrupt rise over the last year in share price, with the stock up in the 80% range since the lows in late Jan 2012.

On the vol side all seems rather normal -- that is, the implied and the two historical realized vol measures sort of converge at the same point right now. This is circumstantial evidence that IV30™  may be priced "fairly."

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



Across the top we can see the monthly vols are priced to 46.77%, 33.45% and 35.60% for Jan, Feb and Mar. Considering that the next earnings report is due out in Mar, this is a bit of an odd term-structure. My best guess is that some sort of revenue / sales / holiday update is due out soon and that's equivalent in many ways to an earnings report. With Jan vol up 9 points today, I also am guessing that the news is due out soon.

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Express (EXPR) - Vol Pops, Jan ATM Calls Trading Size; Account for Nearly 1/3 of Total OI.

EXPR is trading $15.02, up 1.2% with IV30™ up 13.5%. The LIVEVOL® Pro Summary is below.



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Express, Inc. ( Express) is a specialty apparel and accessory retailer offering both women's and men's merchandise. The Company operates in brick and mortar retail stores and the express.com e-commerce Website.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. I've included the details of the scan below.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The goal with this scan is to identify names with rising IV30™ that also have a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

I also noted some substantial option volume relative to the average – a scan which EXPR also falls in today. I’ve included the Stats Tab and Today’s Biggest Trades snaps below.





We can see that nearly 9,000 contracts have already traded on total daily average volume of just 1,943. Calls have traded on a 43:1 ratio to puts with the action almost entirely in the Jan 15 calls.

I also note that the total OI in EXPR as of today is ~27,000, and that OI in the Jan 15 calls after today may be ~13,000. So, the position that’s growing is non-trivial for this name.

Looking to the Options Tab, below, we can see a large OI already exists in those Jan 15 calls, although the trade volume today is larger than that OI. The trades today feel like purchases and that 12.6 vol point increase in Jan (across the very top of the Options Tab, below) is the circumstantial evidence to support the claim. That existing OI was just 3,800 (ish) on 1-2-12, has been growing steadily over the last week, and appears to be long. So, in English, today’s trades appear to be double-downs on the long side of those calls. Stock volume, on the other hand, is well below the daily average today, so these seem to be naked call purchases… Very interesting.



The EXPR one-year Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see how the stock has had a tendency to gap down, whether it be earnings related or not. It also has risen rather abruptly since mid Nov from the $11 (ish) range to now ~$15. The 52 wk range in stock price is [$10.47, $26.27].

I have included a very short-term 3-month IV30™ chart below.



What I really wanted to focus on was both the massive vol drop off of earnings (which is normal), as well as the abrupt pop today. The stock definitely in play in the options world (wrt to both volume and vol), though the equity market (stock price) isn’t doing a whole lot. The 52 wk range in IV30™ is [25.48%, 72.28%], putting the current level in the 53rd percentile (annual), or in English, right about in the middle.

I note the rising vol as well as the interest growing in the ATM calls – long interest. These seem to be substantial bets to the upside in the vey near-term. This will be an interesting one to keep an eye on.

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Whiting Petroleum (WLL) - Vol Nears Annual Low as Stock Continues to Rise

WLL is trading $45.78, down 1.1% with IV30™ up 0.4%. The LIVEVOL® Pro Summary is below.



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Whiting Petroleum Corporation (Whiting) is an independent oil and gas company engaged in acquisition, development, exploitation, production and exploration activities primarily in the Rocky Mountains, Permian Basin, Mid-Continent, Michigan and Gulf Coast regions of the United States.

This is an interesting one where the vol is imploding while the stock is starting to make a run up. I found WLL using a real-time custom scan that hunts for depressed vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The WLL one-year Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see how the price has fallen from the mid $60 range in early 2012, to as low as the mid $30 range in the summer. More recently however, we can see the stock rise from $41.67 (12-28-2012) to now just under $46. The 52 wk range for the stock is [$35.68, $63.97].

But, of course, this is a vol note, so I've included a one-year chart of the IV30™ in isolation, below.



We can see how much the implied has collapsed in the last few trading days (highlighted in yellow) as the stock has been climbing. The 52 wk range in IV30™ is [31.74%, 54.81%], putting the current level in the 1st percentile (annual). In English, this stock is popping as IV30™ is reaching a new annual low.

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



We can see across the top the monthly vols are priced to 32.91%, 31.37% and 34.33%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. Continuing the motif I started last week, simply asking, "should vol be at annual (or multi-year) lows right now?" For this stock, we can add the observation that the price is up ~10% in the last couple of weeks.

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Boyd Gaming (BYD) - Stock Spikes as OTM Calls Trade Size

BYD is trading $7.02, up 1.7% with IV30™ up 16.6%. The LIVEVOL® Pro Summary is below.



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Boyd Gaming Corporation (Boyd Gaming) is a multi-jurisdictional gaming company. The Company is an operator of 16 wholly owned gaming entertainment properties and one controlling interest in a limited liability company.

The company has traded 16,251 contracts on total daily average option volume of just 1,109, with calls trading on a 345:1 ratio to puts. The action has been in the Feb 8 calls, with over 11,000 traded. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). When looking down the entire option chain for BYD, I see an OI of nearly 9,000 in the Jan 7 calls, then nothing above 1,700. In English, the trade volume today is huge for BYD -- especially if it's one-sided.

Across the top I also note that both Jan and Feb vol are up more than 9 vol points -- circumstantial evidence that these orders are purchases.



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



What's odd here is that the skew chart is... normal... There's isn't a kink to the upside -- certainly not in Feb. The stock volume today is 1.4MM shares, right on the daily average volume so it doesn't feel like all of these options are getting hedged with stock.

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).



On the stock side we can see the rather impressive rise of late. In Nov this was a sub $5 stock and it's now trading over $7.  The 52 wk range is [$4.75, $9.75].

On the vol side we can see a pop in the implied as the stock rose, but it has cooled off. IV30™ is in the 56th percentile (annual) as of right now, so there's room for it to rise if the flow continues in this direction.  The real question is, are these more bets that the upside rally will continue further?

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Continental Resources (CLR) - Vol Breaches Multi-year Low. Really?...

CLR is trading $76.29, up 0.3% with IV30™ up 0.6%. The LIVEVOL® Pro Summary is below.



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Continental Resources, Inc. (Continental Resources) is an independent crude oil and natural gas exploration and production company with operations in the North, South and East regions of the United States.

I found this stock using a real-time custom scan. This one hunts for depressed vols. But this one is a bit special, it's hitting a multi-year low in the implied and I thought it was worth a quick note.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The CLR one-year Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see how elevated the price was in the earlier part of 2012, how far it fell from there, and finally how it has recovered somewhat since. The 52 wk range for the stock is [$61.02, $97.19].

But, of course, this is a vol note, so I've included a two-year chart of the IV30™ in isolation, below.



What I note here is how this stock has been as high as ~75% in the implied and how today it is actually breaching multi-year lows with vol now in the low 30's. Even myopically focused on just this stock, that seems noteworthy, put in the context of the rest of the world, it seems ... well, more noteworthy?

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



We can see across the top the monthly vols are priced to 31.19%, 32.95% and 34.64%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. All in all, I'll continue with the motif I started earlier in the week, simply asking, "should vol be at annual (or multi-year) lows right now?"

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First Solar (FSLR) - Vol Nears Annual Low; Would you rather own or be short vega starting today?

FSLR is trading $31.79, up 3.0% with IV30™ down 12.2%. The LIVEVOL® Pro Summary is below.



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First Solar, Inc. manufactures and sells solar modules with an advanced thin-film semiconductor technology, and it designs, constructs, and sells photovoltaic (PV) solar power systems. The Company is a thin-film PV solar module manufacturer and a PV solar module manufacturer.

I found this stock using a real-time custom scan. This one hunts for depressed vols. I know we just came to a "sort of" Fiscal Cliff deal, but I will be focusing on stocks that are nearing annual lows in vol this week with a simple question: "Would you rather own or be short vega starting today?"

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The six-month FSLR 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 a very nice stock appreciation over the last six months with the price going from $15.28 (7-2-2102) to now $31.79. An annual view does show a different story, with the sock price one year ago ($35.79) actually below the current price. The 52 wk range in stock price for FSLR is [$11.46, $50.20].

But, this is a vol note, so let's look at the IV30™ chart in isolation for one year, below.



We can see how the vol has collapsed off of earnings back in the Oct/Nov period and is now nearing an annual low. The 52 wk range in IV30™ for FSLR is [58.45%, 99.80%], putting the current level in the 6th percentile.

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



Across the top we can see the monthly vols are priced to 59.29% and 63.10% for Jan and Feb, respectively. The next earnings release should be after Feb expo, so neither expiry has that event. I'll just repeat myself from the beginning of this note: "Would you rather own or be short vega starting today?"

It's a fair and non-trivial question.

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