Skechers USA (SKX) - Stock Rips, Earnings Approach, But the Volatility Disappeared

SKX is trading $27.02, up 1.1% with IV30™ down 2.2%. The LIVEVOL® Pro Summary is below.



Skechers U.S.A., Inc. (Skechers) designs and markets Skechers-branded lifestyle footwear for men, women and children, and performance footwear for men and women under several lines. In addition to Skechers-branded lines, the Company also offers a branded junior line.

I found this stock using a real-time custom scan I built. This one hunts for calendar spreads between the front two monthly expiries. But the company has earnings due out on 7-24-2013 (in two days), so of course there is a calendar volatility difference. That’s not the issue… It’s level of the vol – how low it is, that is fascinating.

The two-year SKX 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 sort of a sleepy first year (remember that for later), but recently an explosion from $15.32 (11-14-2013) to now $27. That represents more than a 75% rise in eight months.

But this is a vol story – kind of a weird one… So let’s turn to the two-year IV30™ chart in isolation below.



Keep in mind that SKX has earnings due out in two days, so the vol should be elevated. But, in fact the IV30™ is in the 39th percentile on an annual scale. So, in English, the vol is actually depressed. I have highlighted with the little yellow circles the IV30™ at the time of earnings for the last seven cycles. Then I’ve drawn that horizontal line to represent the current level. We can see pretty clearly how depressed this earnings vol is relative the last seven quarters.

Then recall what we noticed about the stock price. This was actually a “sleepy” stock for a lot of that prior time period and only recently has boomed to a 75% rise. So, the stock is moving abruptly higher as the vol has hit an eight quarter earnings low. Hmmm…

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



Across the top we can see that the monthly vols are price to 46.28% for Aug and 38.80% for Sep. Considering the annual high in IV30™ is 68.06%, that Aug number feels low… right?... Or, ya know, not…

This is trade analysis, not a recommendation.

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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.

Splunk (SPLK) - Stock at All-time High; Volatility at All-time Low

SPLK is trading $50.20, up 0.6% with IV30™ down 5.7%. The LIVEVOL® Pro Summary is below.



Splunk Inc. (Splunk) provides a software platform. Splunk’s software collects and indexes data regardless of format or source, and enables users to search, correlate, analyze, monitor and report on this data, all in real time.

I found this stock using a real-time custom scan. This one hunts for depressed vols.  The interesting note here is that SPLK is actually at an all-time low in IV30™ while the stock is near all-time highs.

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

The two-year (ish) 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 the awesome upward trajectory the price has been on since late last year.  The stock has gone from ~$26 in Nov to now over $50. So we see a nearly 100% return in ~8 months.  We can see that he price is right at an all-time high.

But this is a vol note... So let's look to an IV30™ chart in isolation below over the same time-frame.


While there are ebbs and flows surrounding earnings, ultimately the implied has been drifting lower since the last earnings cycle ad is now at an all-time low.  So, we have a stock at an all-time high in stock price with the vol at an all-time low... Hmm...

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


Across the top we can see the monthly vols are priced to 33.62%, 33.36% and 38.11% for Jul, Aug and Nov, respectively. That Aug vol represents the IV30™ at this point (so close to expiry).

This is trade analysis, not a recommendation.

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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.

Tesla (TSLA) - Volatility Divergence Forms; Risk is Elevated for the Next 4 Days

TSLA is trading $112.15, down 11.9% with IV30™ up 6.5%. The LIVEVOL® Pro Summary is below.



Tesla Motors, Inc. (Tesla) designs, develops, manufactures and sells electric vehicles and advanced electric vehicle powertrain components. Tesla owns its sales and service network.

I wrote about TSLA in a three piece series in May. You can read those posts by clicking the titles, below:


5-9-2013: Tesla (TSLA) - Earnings Explosion Spectacle Hides Vol Shift -- This is a New Company -- A Paradigm Shift is Complete

<5-15-2013: b="">Tesla (TSLA) - May Skew Stays Parabolic; Vol Diff Opens... And Some Stuff You May Not Have Known...

5-29-2013: Tesla (TSLA) - This is a New Company; The Paradigm Shift Continues; Part 3 of 3.

Today the stock came up on a real-time custom scan. This one hunts for calendar spreads between the front two months. And yes, I know we are just four days from expiry, bu this is still worth a look...

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.

Looking to the Skew Tab (below), we can see the elevated vol in the front month (red line) relative to the second month (yellow line).



We can see two phenomena here:

(1) Jul vol is above Aug vol for all strikes.
(2) The Jul skew shape is parabolic (which is common going into expiration), so the OTM vols show an exponentially greater volatility difference between Jul and Aug.

The earnings date for TSLA is a it ambiguous. Last year they released on May 9 then Jul 25. This year they released on May 8, so Jul 24 is a reasonable guess for the next earnings report. If that's the case, we not only have a calendar vol diff, but one in which earnings vol can be owned for less than the font month (without earnings). Hmmm...

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 how TSLA's price has rocketed from an annual low of ~$45, to now trading over $110, even with the large decline today. On the vol side, check out that pop in the implied (the red line). A part of that is due to earnings, but the really abrupt nature of it is in part a reflection of today's pop (~10% as I'm writing the article).

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



Across the top we can see Jul vol is priced to 91.76% while Aug is priced to 82.50%.  But, look at some of the OTM spreads and we'll see much greater than that 9 point (ish) vol diff.

For example:
The Jul/Aug 130 call spread shows a vol diff of ~14 vol points and the Jul/Aug 92.5 put spread shows a ~42 point vol diff.

Please understand that these are just observations not trade ideas or recommendations.

This is trade analysis, not a recommendation.

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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.

Leap Wireless (LEAP) - Takeover Comes; Did a Cheater Ride Along? How to Make 7,000% in 3 Minutes

LEAP closed Friday at $7.98, up 2.5% with IV30™ up 1.4%. The LIVEVOL® Pro Summary is below.



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

But then this happened:

---
AT&T said it has an agreement to buy Leap Wireless for $15 per share in cash, or just under $1.2 billion.

Before the announcement, shares of Leap closed at $7.98. They have almost doubled in after-hours trading and are now above the purchase price, indicating investors believe another bidder may emerge.

Source: CNBC via Yahoo! Finance AT&T to Buy Leap Wireless for $15 a Share in Cash
---

I actually used to make a market in LEAP options in 2008 and even back then it was a take-over name. Back then it traded over $50...

Anyway, Doris Frankel called me up from Reuters almost immediately after this news hit the wire and asked about some of the order flow today... In my opinion, there is a substantial chance that insider information was leaked and traded on to garner absurd profits (like 7000% in a day). But it was done like a pro...

Here are the facts:

1. Let's turn to the Stats Tab.



a. The firm averages 1,001 calls traded a day over the last three-months and saw 6,789 options trade on Friday.
b. The call to put ratio was nearly 20:1

2. Some highly unusual options were purchased. The Options Tab is included below.



a. Check out those Jul 9 calls. Those are options that expire in a week and have almost no OI. But on Friday, more than 1,300 traded for an average price of ~ $0.10. How fortunate, with the stock trading at $16 after hours, those $0.10 options are now worth at least $7.00 -- or, 7,000% of their purchase price.

b. The Aug 9 calls see similar action, bought for ~$0.40, but with substantial OI.

The interesting thing here is that option orders (the purchases of the OTM Jul and Aug calls) were pretty small. I've included the Jul 9 call action, just looking at orders greater than 25 lots.



Check out how many orders there were. And the sizes range from 27 to 164 lots -- nothing large and obvious. But, here's the trick... Look at the far left hand side. The timing of the purchases -- they all happened within a three-minute window and just 15 minutes before the close. Coincidence? Well, that would be something.  Feels like someone hiding size by breaking it into smaller trades...

Obviously it's possible this was not improprietous behavior... But it ain't looking good...

This is trade analysis, not a recommendation.

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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.

Con-way (CNW) - Stock Breaches Multi-year Highs; Massive Put Spread Bought Ahead of Earnings

CNW is trading $41.71, down 0.4% with IV30™ up 12.7%. The LIVEVOL® Pro Summary is below.



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

This is an order flow note surrounding a company with earnings coming up with a stock price trading at multi-year highs. The company has traded 8,511 contracts on total daily average option volume of just 230. Further, all but 146 contracts traded have been puts, for a nearly 60:1 put:call ratio. The action is almost entirely centered around a purchase of the Aug 40/35 put spread -- and Aug expiry has earnings. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the puts on both sides are mostly opening (compare OI to trade size). When looking down the entire option chain for CNW outside of Jul (which expires today), I don't see any OI larger than 459, so both sides of this trade are very large.  This is pretty clearly an earnings bet (or an earnings hedge).



Finally, the two-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 the stock completely fell apart two-years ago, dropping from $40.17 to a low of ~$20.50 in about three months.  Just recently the stock has surpassed those levels (note the yellow horizontal line that I drew in to help see that the levels today are in fact above the levels two-years ago).

The next earnings date for CNW is 7-30-2013 AMC.  So, earnings are due out in less than three weeks, the stock is at multi-year highs, the vol is starting to rise and a huge (huge relative to this firm's OI and average option volume) put spread was just purchased.  Interesting...

This is trade analysis, not a recommendation.

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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.

Air Products & Chemicals (APD) - Stock Hits 5-year High; Volatility Hits Annual High; Earnings Due Out Soon.

APD is trading $96.72, up 0.2% with IV30™ up small. The LIVEVOL® Pro Summary is below.




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Air Products and Chemicals, Inc. has a portfolio of products, services, and solutions that include atmospheric gases, process and specialty gases, performance materials, equipment, and services. It is a supplier of hydrogen and helium and operates in markets, such as semiconductor materials, refinery hydrogen and natural gas liquefaction.

This is both a vol and a stock note as earnings approach. APD has breached an annual high in stock price today as well as an annual high in IV30™ and there is still about two weeks to go before earnings are announced. This is a tricky one b/c having said all that, it's just a 23% vol company... And that has implications...

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 that Y-O-Y the stock is up from $78.61, so ~a 25% rise.  Nice...  Looking more myopically to the current period, we can see that the price level reached today (the intra-day high) has breached an annual high.  Even more notable, this stock level hasn't been realized since 2008 for APD -- so we're looking at a 5-year high (give or take).

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



While we saw a stock price multi-year high i the first chart, we can see more clearly here that the stock has breached an annual high in the implied as well.  Earnings are due out 7-23-213 BMO, but still, we have a week and a half before that date and we already see annual highs in vol coinciding with a -year high in stock price.  Hmm...

Finally, let's turn to the options Tab for completeness.



Across the top we can see Jul vol is priced to 21.66% and Aug vol is priced to 24.08%.  That vol difference is due to the earnings event.  Here's a point worth observing, outside all of these relative comparisons.  This is a 24% (or whatever) vol stock that has now reached a five-year high in price and an annual high in volatility well ahead of earnings.  Does this feel like a 24% vol "moment in time" for the stock?  I dunno... Maybe it does... In any case, it wouldn't surprise me if the IV30™ hit the 27%-30% range even if the stock keeps rising. So here we see a rising stock and rising vol... There is no "normal."

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This is trade analysis, not a recommendation.

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Caesars Entertainment (CZR) - Volatility Nears Annual Low as Stock Rips and Earnings Approach

CZR is trading $15.42, up 9.1% with IV30™ down 6.0%. The LIVEVOL® Pro Summary is below.



Caesars Entertainment Corporation provides casino entertainment services. Its casino entertainment facilities include land-based casinos, riverboat or dockside casinos, managed casinos, combination greyhound racetrack and casino, combination thoroughbred racetrack and casino, and harness racetrack and casino, hotel and convention space, restaurants, and non-gaming entertainment facilities.

This is a vol note, specifically a depressed vol note on a stock that has been ripping of late. Let's start with 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 the Y-O-Y return is very impressive with the stock closing at $10.31 one-year ago, yielding a ~50% return in 12-months.  I also note that this was a $4.50 stock just eight (ish) months ago.

But, if we look more myopically, we can see an interesting trend. CZR closed at $12.25 on 6-24-2014 and now 17 days later the stock is trading at $15.42 or a 26% rise in about two-weeks.

But this is a vol story as well, so let's look at the one-year IV30™ chart in isolation, below.



We can see the ebbs and flows in the vol into and out of earnings -- all normal stuff.  But what caught my eye is the recent dip in the implied as the stock has been moving abruptly higher.  The current level of the IV30™ is right at an annual low.  Interesting...

The firm does have earnings due out in the Aug expiry, so there is a vol diff month-to-month and since IV30™ is a blended / weighted average, it does reflect a part of that upcoming earnings event.  That makes the low vol even more odd.

Finally, let's turn to the Options Tab for completeness.



Across the top we can see the monthly vols are priced to 57.36% for Jul and 64.04% for Aug.  The 52 wk range in IV30™ for CZR is [61.27%, 121.59%], so even looking at Aug vol -- that seems kinda low for a stock that has moved so much recently and has an earnings release.  Right?  Ya know.. or not... In any case, that Aug (and IV30™) number will rise as we approach that earnings date unless there is some pre-earnings guidance or other unexpected disclosure.

This is trade analysis, not a recommendation.

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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.

VXEEM, VIX - Complete Reversal and Paradigm Shift -- US vs Emerging Markets via Option Markets

VXEEM spot is quoting $26.56%, down small 7.7% on the day. The LIVEVOL® Pro Summary is below.



VXEEM is the CBOE EMERGING MARKETS ETF VOLATILITY Index. In English, it's the VIX of of the Emerging Markets. An incredible reversal and spot difference has opened up between the VXEEM and VIX that was brought to my attention by Doris Frankel of Reuters. I did some digging and there is some funky goin' on here. Let's take a look together.

First, let's start with the one-year VXEEM and VIX spot chart, below.  The red line is the VXEEM and the yellow line is the VIX.



This graph has two parts.
(1) Checkout the difference in the spot moves between VIX and VXEEM from one-year ago (7-9-2012) to 12-28-2012.
We can see in that time-frame the VIX climbed 26% while the VXEEM dropped 16%.  That's a 42 percentage point difference in the two measures with the option market reflecting substantially elevated risk in the S&P 500 (the VIX) while substantially reduced risk in the emerging markets (VXEEM).

(2) Yesterday that one-year change shows the VIX down 18% with VXEEM up 5%, so a 23 percentage point difference in the totally opposite direction.  Said differently, since 12-28-2012 to 7-8-2013, the VIX has dropped 35% and the VXEEM has risen 25%.  An incredible 60 percentage point reversal.

So, as of right now, the option market reflects a substantial change in the paradigm between the US markets (S&P 500) and the emerging markets.  The next question is, "well, has there been a paradigm shift?  Have the emerging markets realized greater volatility than the US in that time frame?"  The answer is... sort of...

Check out the one-year HV180™ charts for the VIX and VXEEM, below. The yellow line is the VIX HV180™ and the purple line is the VXEEM HV180™.



Quick Note: HV180™ is the historical (aka realized) movement in the spot price over the last 180 trading days -- or about nine-months.

The VIX (yellow line) shows much higher realized volatility than the VXEEM -- which is a little weird given that the VXEEM currently sits at 26.56% and the VIX sits at 14.41%.  Then we see an abrupt rise in the VIX HV180™ (the yellow line goes up quickly) around April of this year while the VXEEM HV180™ (purple line) kind of sits still.

Most recently, the VXEEM HV180™ has popped while the VIX HV180™ has not.  Perhaps the recent move in VXEEM realized volatility has created this paradigm shift -- i.e. making the merging markets look more risky than the S&P 500 on a relative annual comparison... But still, there's no doubting it -- the purple line is lower than the yellow line.  Or, in option speak, the realized volatility of the VXEEM is lower than the realized volatility of the VIX.

So what?... Well, why are the spots showing such an abrupt reversal?  What's going on in the emerging markets that is so different now?

For the record, VXEEM covers:
BRAZIL
CHILE
CHINA
COLOMBIA
CZECH REPUBLIC
EGYPT
HUNGARY
INDIA
INDONESIA
KOREA
MALAYSIA
MEXICO
MOROCCO
PERU
PHILIPPINES
POLAND
RUSSIA
SOUTH AFRICA
TAIWAN
THAILAND
TURKEY

Per the MSCI website.

Keep an eye on this relationship -- for you vol traders (or portfolio diversifiers by region), a reversal of this magnitude is worth noting.

This is trade analysis, not a recommendation.

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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.

ONEOK (OKE) - Stock Breaches Annual Low in Stock Price; New Annual High in Volatility… But Skew Hints at Recovery

OKE is trading $40.99, up 2.5% with IV30™ exploding up 19.8%. The LIVEVOL® Pro Summary is below.



ONEOK, Inc., is a diversified energy company. The Company’s segments include ONEOK Partners, Natural Gas Distribution and Energy Services. As of December 31, 2012, the Company was the sole general partner and own 43.4 % of ONEOK Partners, L.P. ONEOK Partners is engaged in the gathering, processing, storage and transportation of natural gas in the United States.

This is another elevated vol note on an energy company as the stock is plummeting. I found this stock using a real-time custom scan. This one 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 one-year OKE 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 the nice climb from one-year ago to the end of Apr. Since then, however, the stock performance has been poor, dropping from $52.09 (4-24-2013) to now $40.91 in two and a half months. Note that large gap down off of earnings on 5-1-2013.

Let’s turn to the one-year IV30™ chart in isolation, below.



As the stock has hit a new annual low just months after reaching an annual high, the implied has been ripping up. On 5-23-2013 the IV30™ was 20.08%. Now, just six weeks later the implied is at 37.20% (it has risen as I am writing the blog) or an 85% rise. The level reached today on this spike up is an annual high. So, as discussed prior, we are looking at a stock that has both breached an annual low in stock price today and an annual high in IV30™.

The Skew Tab also reveals some interesting volatility phenomena.



Two things pop out in this picture:
(1) Both of the front months show an upside skew. In English, the option market reflects greater upside risk than downside risk in the next two option expiries. This would be considered “backwards” skew.

(2) Note the volatility difference between Jul and Aug to the upside. A substantial vol diff exists between the two months to the OTM calls while the ATM options are in fact priced higher in Aug than Jul. Interesting…

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



Across the top we can see the monthly vols are priced to 34.49% for Jul and 37.84% for Aug. So, Aug ATM vols are higher than Jul, but Jul OTM calls are priced higher than Aug (with respect to volatility). The option market reflects a rather abrupt risk in the near-term to the upside for OKE – even as the stock hits a new annual low.

This is trade analysis, not a recommendation.

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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.

AngloGold (AU) - Stock hits Annual Low as Volatility Hits Multi-year High

AU is trading $12.55, down 9.39% with IV30™ spiking up 11.7%. The LIVEVOL® Pro Summary is below.



AngloGold Ashanti Limited (AngloGold Ashanti) is a gold mining company with a portfolio of assets and differing orebody types in key gold producing regions. The Company also produces silver, uranium oxide and sulfuric acid as by-products.

I found this stock using a real-time custom scan. This one hunts for elevated vols. What we will also see in this name is a stock price that has now breached annual low.


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

The one-year AU 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, well, it’s been pretty bad. One year ago this was a $34.21 stock, and today we see it’s sub-teenager. Not good…

While the stock has been plummeting, the vol of late has been exploding. Let’s turn to a two-year IV30™ chart, below.



We can see the recent rise in the implied has pushed the vol well into multi-year high territory. Over just the last three weeks the IV30™ is up ~50%. Yikes… During the last three months (ish) the stock is down from over $20 – so down ~40%.

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



Across the top we can see the monthly vols are priced to 58.52% for Jul and 56.60% for Aug. There is a monotonic decrease in vol from the front to the back expiries, reflecting greater risk in the near-term than the medium- to long-term. While this is certainly in part a phenomenon surrounding the commodity price of gold, there is some firm specific risk here… that exploding vol is worth noting.

This is trade analysis, not a recommendation.

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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.

Athenahealth (ATHN) - Volatility Gaps Up; More to Come as Earnings Approach

ATHN closed Monday at $85.02, up 0.34% with IV30™ spiking up 23.4%. The LIVEVOL® Pro Summary is below.



athenahealth, Inc. (athenahealth), is a business services company, which provides ongoing billing, clinical-related, and other related services to its customers. The Company provides these services with the use of athenaNet, an Internet-based practice management application.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day.

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 six-month ATHN 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 fairly abrupt rise in price from the start of the year through the middle of March from ~$75 to ~$98. During that same time period, we can see the implied dipping (the bottom of the chart – the red line). We’re starting to see the opposite phenomenon now. Check out the recent stock drop in ATHN and the vol pop today.

Let’s look more myopically at the IV30™ in an isolated six-month chart, below.



On 5-22-2013 the IV30™ closed at 28.88%, today it closed at 47.38% or a 64% rise in just over a month. The company has earnings due out on 7-18-2013 (AMC), so the implied vol should continue to rise. The 52 wk range in IV30™ for ATHN is [24.64%, 54.39%]. At this pace, it’s reasonable to assume that ATHN could break an annual high in IV30™ ahead of the approaching earnings report.

Note than on 5-3-2013 the stock gapped down on guidance / earnings. So, there is precedence here for large stock moves off of the earnings release. The IV30™ going into that release was just 41% -- we can see the impact that stock move has had on the implied as we approach this next earnings date.

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



Across the top we can see that Jul is priced 51.58% and Aug is priced to 41.83%. Again, it would not surprise me to see ATHN breach an annual high in IV30™, perhaps even as high as 60% as 7-18-2013 approaches.

This is trade analysis, not a recommendation.

Follow @OphirGottlieb

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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.

CareFusion (CFN) - Volatility Explodes 140% to Annual High; Acquirer Behaves Like Acquiree

CFN closed Friday at $36.85, down 0.7% with IV30™ up 2.4%. The LIVEVOL® Pro Summary is below.



CareFusion Corporation (CareFusion) is a global medical technology company. The Company operates in two segments: Medical Systems and Procedural Solutions. The Medical Systems segment is organized around its medical equipment businesses.

This is a vol and more myopically, a skew note. Specifically elevated vol (at annual highs) and upside leaning skew. Let's jump right into it 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 an impressive price appreciation with the stock rising from $24.86 one-year ago to now ~50% higher. But the vol is the story here -- and it's really compelling. Let's turn to a one-year IV30™ chart in isolation, below.



Checkout that explosion in vol when the implied rose from 18.01% on 5-22-2013 to now 42.85. That's a 138% rise in a month. The catalyst was a news story that revealed CFN may be in talks to purchase the medical division of the British engineering company Smiths Group (Source: Reuters; Smiths Group confirms approach for medical unit; Reporting by Paul Sandle; editing by Kate Holton

What's interesting is that CFN would be the acquirer yet the skew shape has changed as though the are the acquiree. I've included the Skew tab from 5-16-2013 andthe fom Friday's close (6-28-2013), below

5-16-2013


6-28-2013


Note how the skew on 5-16-213 was downward sloping to the OTM calls (or really, upward sloping to the OTM puts). This would be considered "normal" skew. To learn more about skew, what it is and why it exists, you can read this post:
Understanding Option Skew -- What it is and Why it Exists

Now look to the skew as of Friday's close. The shape as turned parabolic... or said differently, now the OTM calls show elevated risk relative to the ATM options just like the OTM puts. This reflects greater two-tailed risk to shares -- i.e up and down side risk. Hmmm...

Finally, let's turn to the Options Tab.



Across the top we can see that Jul is priced to 44.52% and Aug is priced to 39.34%. In fact, the decrease in vol to further out expiries is monotonic. The option market reflects a new high in annual risk, and it reflects the most risk in this expiration cycle.

This is trade analysis, not a recommendation.

Follow @OphirGottlieb

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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.