Friday, February 15, 2013

3D Systems (DDD) - Vol Breaches All-time High; Still 10 Days Before Earnings



DDD is trading $59.42, down 5.3% with IV30™ up 2.1%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

3D Systems Corporation (3D Systems) is a holding company that operates through subsidiaries in the United States, Europe and the Asia-Pacific region. The Company is a provider of three-dimensional (3D) content-to-print solutions including 3D printers, print materials and on-demand custom parts services for professionals and consumers.

This is one of the most fascinating technologies I have ever seen -- for the curious, please do read up about this -- it is mind blowing.

This is a vol note, specifically an elevated vol note where the options are breaching all-time highs in IV30™. Let's start with 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 impressive rise over the last year, with a bit of a hiccup over the last month. But, still, the stock was trading $20.38 a year ago, and is now ~$60. But this is an elevated vol note, what vol we have... let's turn to the two-year (almost) IV30™ chart, below.



We can see the explosive rise on vol in a very short time period. On 1-18-2013 the implied was trading at 49.06%. Today it's over 82%. Earnings are due out 2-25-2012, but the vol push over the last month is not entirely due to earnings (if at all).

Finally, let's tun to the Options Tab.



We can see that Mar vol is priced to 83.05% while May is just 66.83%. That diff is in large part due to earnings. Keep in mind that as of Monday, DDD will have Apr options. There is a similar picture seen with SSYS -- a similar (but not too similar) company. Vol exploding and the stock dipping as earnings approach. The vol rise in DDD however has pushed it's implied to an all-time high. This is going to e a fascinating earnings cycle.

NB: There is a 3:2 stock split coming soon as far as I know.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Thursday, February 14, 2013

HJ Heinz (HNZ) - Takeover and a Cheater? Maybe...




HNZ is trading $72.40, up 19.7% with IV30™ down 35.5%. The LIVEVOL® Pro Summary is below.



H. J. Heinz Company together with its subsidiaries is engaged in manufacturing and marketing a range of food products throughout the world.

HNZ is up due to a takeover bid from Berkshire with the help of another private equity firm for $72.50 per share. Clearly the equity market reflects a high likelihood that the deal will be approved by the HNZ board and shareholders as the stock is trading $72.41.

But this isn’t a note about a takeover, it’s a note about the day before a takeover… and it’s a disturbing one. Let’s start simple. I have included the average daily option volume for HNZ over the last three months, below.



Note that the 1,986 number reflects the total daily average volume across all calls for a day. Over the last month, the average is closer to 1,000. Next, let’s turn to an all-time stock chart for HNZ, below.


Provided by Yahoo! Finance

We can see that in the nearly 30 year history of the stock it has never traded at $65. Why do I choose $65 as a price? Here’s why… Let’s look to the options Montage for HNZ on close as of yesterday, below.



We can see that 2,593 Jun 65 calls traded on existing OI of just 364. Again, note that the volume in just the Jun 65 calls is more than 125% of the total daily average volume in ALL calls for HNZ. Note as well that HNZ has never traded at $65.

A fair question is, “were most of these trades on the same side?” And the answer is provided by the OI chart, below.



That blue line represents the OI in the Jun 65 calls as of this morning for the last month. We can see it was steady (and small), then yesterday popped dramatically. How dramatically?... Let’s turn to the Options Tab for today, below.



We can see the OI rose from 364 to 2626 or 2262 opening long positions at a strike price that has never been reached in 30 years… And then the takeover news…

In total we have an OTM call strike trading more than 125% of total daily average call volume on a strike price that has never been reached by the stock in 30 years and then the next day a $0.35 option is worth $7.50. That’s a 2,000% return or ~1.5 million gain in one day.

How fortunate... Of course it is possible that this was a coincidence o even a hedge as the Jun 60 calls have an even lager OI but did not move surrounding this news.

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Wednesday, February 13, 2013

Uni-Pixel (UNXL) - Micro Cap Sees Huge Stock Movements and Elevated Vol; Earnings Due Out Soon


UNXL is trading $17.06, up 2.5% with IV30™ up 0.4%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Uni-Pixel, Inc. (Uni-Pixel) is a production-stage company delivering its Performance Engineered Film (PEF) to the display, touch screen and flexible electronics markets.

This is an interesting company -- it has revenue well belo $1 million with just 18 employees, yet a market cap of ~$160 million. I UNXL using the real-time custom scan that hunts for elevated vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percentile GTE 80
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated to its own annual history (at least in the 80th 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 one-year UNXL Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red).



On the stock side we can an incredible run up from ~$5 to now ~$17, with some abrupt stock volatility recently which has seen the stock trade as low as ~$7 and as high as ~$20 in just the last three months (ish).

Since the name has just started trading options, I have included a very small window of the IV30™ chart below for easier examination.



We can see the vol has always been above 100% -- not unusual for a micro cap. More recently though I note the climb in the implied and sustaining of those elevated levels. The company has earnings due out 2-2-13 and given the recent stock movement, it would surprise me to see IV30™ go above 150%.

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



Across the top we can see the monthly vols are priced to 114.34 for Feb and 121.45% for Mar. Again, as earnings approach, that Mar vol may get well over 150%. Sometimes it's interesting to watch the micros -- this is certainly one of those times.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Tuesday, February 12, 2013

US Airways (LCC) - Calendar Vol Diff Opens Near Expiry as Stock Rises

LCC is trading $14.35, down 0.76% with IV30™ up 3.5%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------


US Airways Group, Inc. operates and owns passenger and freight airline carrier. The Company allows consumers to obtain flight and fare information, as well as make reservations online.

I found this stock using a real-time custom scan I built. This one hunts for calendar spreads between the front two monthly expiries, and even though we are just four days from expiry, this is a compelling vol set up.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200

The goal with this scan is to identify back months that are cheaper than the front by at least 10 vol points. I'm also looking for 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).

Let’s start with the Skew Tab to examine the month-to-month and line-by-line vols.



We can see quite clearly how elevated Feb vol is to Mar across all strikes. While that upside skew in Feb creates an even grate vol diff between the two expiries at those strikes, that is in fact a bit artificial b/c the Feb options are worthless than $0.05. But, the ATM vol difference is compelling.

Let’s turn to the six-month LCC 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 nice appreciation where the stock has risen from ~$10 to over $15 as of a few days ago, and now back in the mid $14 range – so ~40% in six months… Nice return. The 52 wk range for LCC stock is [$6.78, $15.64], so the stock is nearing an annual high.

On the vol side we can see how the IV30™ (red-line) has been trending downward in general but does trade significantly above the short-term historical realized vol (HV20™ - the blue line). The 52 wk rage for IV30™ is [43.295, 82.84%], putting the current level in just the 15th percentile. So we do have another situation of rising stock price ad dipping vol.

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



Across the top we can see that Feb is priced to over 70% vol while Mar is priced to ~50%. It’s that vol difference that triggered the scan. Looking at a couple of specific spreads, we can see the Fe/Mar 14 put spread shows greater than a 20% vol diff ad the Feb/Mar 15 call spread shows a 24 vol point difference.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Monday, February 11, 2013

F5 Networks (FFIV) - Vol Nears Multi-year Lows as Stock Rips


FFIV is trading $103.46, up 3.5% with IV30™ up 2.1%.The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

F5 Networks, Inc. is a provider of Application Delivery Networking (ADN) technology that secures and optimizes the delivery of network-based applications and the security, performance and availability of servers, and other network resources.

I found this stock using a real-time custom scan. This one hunts for depressed vols. But FFIV is near multi-year lows in vol ad the stock price has seen an abrupt recovery of late.

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 FFIV 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 that awesome price recovery from ~$80 in Oct to now over $103 as of this writing. But this is a vol note, so let's take a longer term view of the implied -- a two-year chart, below.



We can see how the IV30™ is now right at a multi-year low -- all as the stock has been ripping. The implied is nearing the 29% level while hitting close to 80% over the last two-years.

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



Across the top we can see the monthly vols are priced to 34.07%, 30.29% and 32.01%. That Mar vol is quite compelling...

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Friday, February 8, 2013

Questar (STR) - Consecutive Muli-year Highs in Stock and Annual High in Vol as Earnings Approach


STR is trading $23.62, up 0.4% with IV30™ up 6.4%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Questar Corporation (Questar) is a Rockies-based integrated natural gas holding company. Questar operates through its wholly owned subsidiaries: Wexpro Company (Wexpro), Questar Pipeline Company (Questar Pipeline) and Questar Gas Company (Questar Gas).

I found this stock using a real-time custom scan that hunts for elevated vols. What I note here is that STR is at an annual high in vol and while earnings are due out soon (after Feb expiry), the stock has been headed straight up and vol has already breached an annual high. This is an interesting one where we find a stock at annual highs in stock price and volatility with earnings still two weeks away.

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 the impressive price appreciation since Nov -- this was a ~$18.50 stock and is now over $23.50, or nearly a 30% gain. The stock is breaching a new annual high and in fact, it's a multi-year high that continues to be broken almost daily now.

Let's turn to the one-year IV30™ chart, below.



We can see the abrupt pop in vol over the last few days where the implied has risen from ~14% to now over 24%, which is an annual high. With earnings due out on 2-20-13, the implied should continue to rise, meaning we will likely be seeing continual annual highs in the implied for the next two weeks.

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



Across the top we can see the monthly vols are priced to 15.165 for Feb and 24.50% for Mar. That vol diff is due to earnings. For a stock with a pretty low implied overall), we could easily see IV30™ cross the 30% level within two weeks.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Wednesday, February 6, 2013

Facebook (FB) - Vol Malaise Pushes Implied Near-All-time Lows


FB is trading $29.03, up 1.4% with IV30™ down 2.9%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Facebook, Inc. (Facebook) is engaged in building products to create utility for users, developers, and advertisers.

This is a vol note, specifically depressed vol. Let's start with the Stock chart and then move to the volatility analysis.



On the stock side we can other than the hype surrounding the IPO, the price has found its legs and has appreciated nicely since the lows of last year. There is a bit of a downtrend of late which is hard to ignore, but for all intents and purposes, FB seems to have found an equilibrium price, for now.

Let's turn to the vol char (below). The IV30™ is in red, the HV20™ is in blue.



Here's where it gets interesting. Not only is the implied near (or at) an all-time low, but it's also trading below the short-term historical realized vol (the blue-line). This is another one of those cases where it feels like maybe vol has become a bit too "comfortable." I do note the recent stock drop, albeit small.

Finally, let's turn to the Options Tab, below.



Across the top we can see that Feb, Mar and Apr monthly vols are all within a couple of points of each other, so this sort of "malaise" in vol runs for quite sometime. The elevated May vol reflects the likelihood of the next earnings release falling in the May expiry, or more importantly, outside of Apr. Having said that, in FB's very short history, the stock has moved quite a bit without any earnings announcement as the catalyst. Hmmm....

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Tuesday, February 5, 2013

AON - Vega Buyer Shows Up Big in July


AON is trading $55.59, up 1.3% with IV30™ down 2.2%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Aon plc (Aon) is a global provider of risk management services, insurance and reinsurance brokerage, and human resource consulting and outsourcing, delivering distinctive client value via risk management and workforce productivity solutions.

This is a quick order flow note -- specifically a vega buyer in July. The company has traded 6,337 contracts on total daily average option volume of just 287. The largest trade appears to be a purchase of 3,100 Jul 55 straddles (6,200 contracts) for $5.55. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that both sides of the straddle are opening (compare OI to trade size). When looking down the entire option chain for AON, I don't see any OI larger than 1,549, so both sides of this trade are very large.



Finally, the Charts Tab (one-year) 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 a tepid appreciation from ~$48 to now just over $55.

On the vol side we can see a big messy chart, which in fact paints a clear picture. The implied and historical realized vols do tend to converge after periods of divergence which is exactly what we see right now. The IV30™, HV20™ and HV180™ are all essentially sitting on top of each other. The 52 wk range in IV30™ is [14.60%, 25.81], so this is isn't exactly a big swinging stock. The current IV30™ is in the 23rd percentile, so relatively depressed to the last year. Looking back to that straddle though, it appears someone is betting on a move by summer. An odd bet I must say... But hat doesn't mean it's wrong.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Monday, February 4, 2013

McGraw Hill (MHP) - Vol Explodes on News of 10-figure Law Suit; S&P Needs to Burn on This One (and so does Moody's)


MHP is trading $55.02, down 5.7% with IV30™ exploding up 43.6%. The LIVEVOL® Pro Summary is below.



Updated 20 min after blog; didn't mean to move the market...




The McGraw-Hill Companies, Inc. is a global information services provider serving the financial, education, commercial and commodities markets.

This is a vol note, as the implied in MHP has exploded on some scary news today. Let's jump right into it:

---
The Justice Department, along with state prosecutors, plans to file civil charges against Standard & Poor’s Ratings Service, accusing the firm of fraudulently rating mortgage bonds that led to the financial crisis, people briefed on the plan said Monday.

Up until last last week, the Justice Department had been in settlement talks with S.&P., these people said. But the negotiations broke down after the Justice Department said it would seek a settlement in excess of “10 figures,” or at least $1 billion, these people said, which would wipe out the profits of S.&P.’s parent, the McGraw-Hill Company, for an entire year.

McGraw-Hill earned $911 million last year.

Source: DealB%K via Yahoo! Finance; U.S. and States Prepare to Sue S.&P. Over Mortgage Ratings, written by ANDREW ROSS SORKIN and MICHAEL J. DE LA MERCED.
---

Just to be clear, $1 billion is the smallest 10 figure number there is... Just think about that for a sec...  I'll give my conclusion up front; and this is Ophir Gottlieb's (me) opinion, not Livevol's.

"I rarely give political opinions (actually, what? I do it all the time), but S&P needs to burn on this one (and so does Moody's). I think $1 billion would be a shame -- if it has to be "10 figures", how about this number: $9,999,999,999?"  That's also 10 figures.

This is an incredible turn of events IMHO, as the housing debacle of 2008 for which blame can be levied on several types of firms (and people), had the feel of a "broom and a rug" if you catch my drift... and I know that you do...

But, again, IMHO, the ratings agencies were the worst of them all -- they were the single bottleneck that could have prevented all of it. They are for profit enterprises, but not "for fraud" enterprises -- at least that was what we thought... what we trusted... what we believed... Don't get me wrong, the I-Banks are filthy in the stench that's left behind, but if S&P and Moody's didn't "pay-for-rate," this entire debacle is 75% mitigated (or whatever).

OK, off the soap box and onto the options stuff. Let's start with the two-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 a very nice stock appreciation over the last two-years, which means a few things:

(1) Business is still good.
(2) Business has carried on
(3) There's a long way to fall if the courts decide that "10 figures" means $5 billion+.

I've included the one-year vol chart below for easier viewing.



We can see the abrupt rise in vol off of the news -- it was / is a surprise. Adding a special little wrinkle to all this is the fact that MHP has earnings due out in a few days...

Finally, let's turn to the Options Tab.



Across the top we can see that Feb vol has exploded up 15.5 vol points or a 68% rise today. Mar vol is up 5.6 vol points but just to 25.48% -- the news and earnings are pumping up that Feb vol.

I rarely give political opinions (actually, what? I do it all the time), but S&P needs to burn on his one (and so does Moody's). I think $1 billion would be a shame -- if it has to be 10 figures, how about this number: $9,999,999,999?



This is trade analysis, not a recommendation.






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

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

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

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

Friday, February 1, 2013

Pulte Homes (PHM) - Vol Breaches Annual Low; Forward Looking Vol Agrees... Unlike BZH


PHM is trading $20.36, down 1.9% with IV30™ down 3.7%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

PulteGroup, Inc. (PulteGroup) is a homebuilder in the United States. The Company’s subsidiaries engage primarily in the homebuilding business. PulteGroup also has mortgage banking operations, conducted principally through Pulte Mortgage LLC (Pulte Mortgage), and title operations.

I found this stock using a real-time custom scan. This one hunts for depressed vols; but for PHM (and other of the home builders), vol isn't just depressed, it's at annual lows.

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 PHM six-month 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 awesome stock appreciation from $11.04 to now over $20 in just half a year. But ultimately, this is a vol note, so let's turn to an isolated one-year IV30™ chart, below.



We can see quite clearly how depressed the vol has gotten, and even after the vol crush yesterday (after earnings),the implied has continued to fall today. The 52 wk range in IV30™ was [38.27%, 71.57%], meaning that 37.24% number today is now a new annual low.

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



Across the top we can see the monthly vols are priced to 36.19%, 38.03% and 39.41%, respectively for Feb, Mar and Apr. While there is a slight increase in vol montonically as expiries get further out, it's a small increase. In English, the option market reflects the lowest risk in this firm over the last year and as of right now sustains that view for the near future. As a good comparison, see BZH which has a similar vol and stock pattern, but the monthly vols climb more for each expiry further out. Hmmm....

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

This is trade analysis, not a recommendation.

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html