Mast Therapeutics (MSTX) - Huge Call Option Buyers in Tiny Bio-tech; A Signal or Just Noise? You Decide.

MSTX is trading $0.82, down 5.8%. The Symbol Summary is included below.


Provided by Livevol

Mast Therapeutics, Inc., formerly ADVENTRX Pharmaceuticals, Inc., is a development-stage company biopharmaceutical company focused on developing product candidates. The Company's product candidate is ANX-188, a rheologic, antithrombotic and cytoprotective agent that improves microvascular blood flow and has application in treating a range of diseases and conditions, such as complications arising from sickle cell disease.

This is an order flow note on a penny bio-tech with 13 employees and a grand total of $0 (zero) of revenue.  So, why the note?... Here's why...

First, let's start with the Stats Tab, below.

Provided by Livevol

I simply want to point out (1) that the average daily option volume over the last three months is ~1,000 calls per day and (2) that the current open interest (OI) is ridiculously tilted to the call side.

So, let's see why by looking to the Options Tab.

Provided by Livevol

Check out the OI in the Jul $1 strike calls, it's 21,140.  I have included the chart of OI in those calls.

Provided by Livevol

We can see that on 1-13-2014 the OI was ~1,500 and then exploded up over 8,000.  It has continued to rise, so, the vast majority of the OI has been accumulated in the last three weeks.  I have included the trade data from 1-13-2014 as an example of the trades getting executed.


Provided by Livevol

The bottom line is this is a zero $ revenue firm, a stock price that is itself an option, and now we see rather large interest in the calls in July.  I do note that the OI in the Apr $1 calls actually looks short... which is odd...

In any case, this is pure gamble to any of us outsiders that chose to participate, and the gamble is that someone who is an "insider" has shown their hand.  As for me, I will dabble b/c I can't help myself, but this does occur in bio-techs and quite often it's much a do about nothing... time and money lost.

But then again... sometimes it isn't...

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.

Twitter (TWTR) - Earnings Preview: Why is The Option Market Reflecting Lower Risk? Did You Know This... Again?...

TWTR closed trading at $66.32, up 1.6% with IV30™ down 5.5%. The Symbol Summary is included below.


Provided by Livevol

This is a follow up to the article I posted on Sunday which was an earnings preview for TWTR.  You can that prior post below:

Twitter (TWTR) - Earnings Preview: Two Things I Didn't Know. Do You?

The crux of that article noted two phenomena in TWTR volatility which are pretty... weird...

---
1. Phenomenon number one that I want to point is simply that the vol in TWTR has not been reacting to this upcoming event (it's been flat). But there's a caveat here, and it's a big one, I'm writing this article on Sunday afternoon. It would not surprise me if the vol starts climbing rather abruptly in to Wednesday's close (the earnings date). I would in fact be surprised if TWTR implied does not go back to over 100% before the earnings release.

-- Today: Well, that didn't happen. This flat volatility reaction has actually gone negative of all things.

2. The second phenomenon I want to point out can be seen in the term structure:
Obviously the Feb 7 weeklies are elevated to the Feb monthly vols b/c of earnings -- by the end of trading on Wednesday, those Feb 7 options will represent essentially pure earnings vol and will be even more elevated. So, the fact that the weeklies are elevated to the monthlies is normal and expected.

My curiosity surrounds the size of that elevation.
---

OK. Let's fast forward to today and start with the Charts Tab. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

Provided by Livevol

We can see a rather substantial price appreciation in the last week (ish) with the stock rising into earnings from $57.91 (1-27-2014) to now $66.32.  That's an interesting turn in sentiment and could have an impact on the stock if the news from earnings is "bad."

Now, let's turn back to the IV30™ chart in isolation, below.

Provided by Livevol

We can see a completely flat vol move into earnings which is very irregular.  I can't remember seeing it in quite some time without some pretty strong extenuating circumstances.  Even more odd is that the volatility actually dipped today.  Huh?...

So, in English, the option market is reflecting that the risk in TWTR today right ahead of earnings is lower than the risk on Jan 3 and pretty much all the way through today.

Finally, the Options Tab is included below.

Provided by Livevol

The $65 strike straddle in the Feb 7 weeklies is worth ~$9.80 to mid-market.  That same straddle is worth ~$11.20 in the Feb monthlies.

I've been banging the drum about how low the volatility has been in the option market and have written in great detail surrounding TWTR, AAPL, NFLX, FURX, NAV and others.  At some point, the option market will prove right, and I in fact will prove dead wrong.  It's gonna happen...

But, right now, it's difficult for me to understand how the IV30™ hasn't moved (or even how it's gone down) into earnings.

Maybe all the news is out?

Maybe there are no more surprises?

Maybe this is absolutely correct

... but maybe it isn't.

Disclosure: I hold a position in TWTR.

But this is trade analysis, not a recommendation.

Do not use my blog as advice.  I do not have a license to give advice nor is this blog intended as it. This is my opinion, and my opinion is often wrong.

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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.

02-04-14: End of Day - New Highs/Lows, Implied Volatility Movers, Option Volume Movers, Elevated & Depressed IV/HV

New 52 Wk Highs in S&P 500



New 52 Wk Lows in S&P 500



Unusual Option Volume




Unusual Volatility Moves




Elevated Implied Volatility (IV) to Historical Volatility (HV)



Depressed Implied Volatility (IV) to Historical Volatility (HV)




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.

Furiex Pharma (FURX) : Update: How the Option Market Fell Asleep on a Bio-Pharma; And Then Today Happened.

FURX is trading $108.50, up 136% with IV30™ down 55.3%. The Symbol Summary is included below.


Provided by Livevol

This is a follow up to the article I posted on Sunday. You can read that blog by clicking on the title below:

Furiex Pharama (FURX) - The Event is Coming... But the Option Market is Totally Confounded.

Here was the Symbol Summary as of that post:


Provided by Livevol


There were takeaways from that prior post, which I have copy/pasted below:
---
The option market reflects two things:
1. Exploding overall risk (see that IV30™ chart) into totally uncharted territory.
2. A remarkably agnostic view on the direction of the stock move off of the news coming for FURX.
--- snip ---
3. It could also signal that the OTM options are too cheap and that FURX could be due for a much larger move than that 45% number [priced by the option market].
---

It turns number three was correct.  The stock has moved 136% today relative to the option market pricing a 45% move in the ATM straddle.

Finally, the Options Tab is included below.

Provided by Livevol

The $45 straddle was priced to ~ $20.  It's now worth ~$63.

Well... there you go...

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.

02-03-14: End of Day - New Highs/Lows, Implied Volatility Movers, Option Volume Movers, Elevated & Depressed IV/HV

New 52 Wk Highs in S&P500
No New Highs


New 52 Wk Lows in S&P 500



Unusual Option Volume




Unusual Volatility Moves




Elevated Implied Volatility (IV) to Historical Volatility (HV)



Depressed Implied Volatility (IV) to Historical Volatility (HV)




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.

VIX - Doomsday Scenarios Revisited; It's the Volatility of VIX That's Our Signal, Not the VIX.

VIX spot is quoting $20.98, up 14.0% with IV30™ up 14.7%. The Symbol Summary is included below.


Provided by Livevol

This is a follow up to a five-part series I wrote on the VIX and doomsday scenarios. You can read the final post in that series by clicking on the title below:

VIX - Part 5: Doomsday/Bubble Scenarios: Its the Volatility of the VIX that's Our Signal; Not the VIX Itself

The bottom line from that series was simple:
---
1. I see a market malaise in the options, and that is worth watching very closely.

2. Here's the thing, and there's just no way around it, while the option market has been pricing in low forward looking 30-day volatility in VIX, the option market has been dead wrong.

3. The VXI articles surrounded the idea of whether or not (or how) VIX could be used as signal to the potential doomsday scenarios. The main conclusion I came to (which is my opinion) is that it’s not the VIX that is our signal, but rather than implied volatility of the VIX. I still feel the same way. Those articles and that time frame proved the hypothesis to be correct (for that time frame).
---

Back then the volatilities by expiry for VIX were:

Feb'14: 58.40%
Apr'14: 54.84%

And I said:
---
How confident are you that the market will not only stay at this level of risk, but will reduce substantially all the way though April 2014? The option market reflects a great deal of comfort; a new equilibrium, a relaxed and quiet equilibrium. Is there an event in the near future (before April 2014) that may be evidence to the contrary? If you said no... think harder...
---

Today the volatility of the VIX has breached a multi-year high, and that may signal a turning point in the market. The Charts Tab (two-years) is below. The top portion is the spot price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

Provided by Livevol

So, we can see on the top portion how the VIX has popped of late.  Honestly, the option market has just been dead wrong on the risk in the market.

But, this is a volatility note, so let's turn to the IV30™ chart in isolation, below.

Provided by Livevol

Here's where it gets interesting.  The last high in the volatility of the VIX was hit during the government shutdown.  And we were on the precipice of a correction until Washington "worked it out."  I believed that the 115% volatility level for VIX  seemed to be a sort threshold -- cross it for more than a day, and we're in for a move down.  That level was touched as the market was dipping, but on the worst day of the market, the volatility in the VIX actually dropped (even as VIX rose). It was that phenomenon that lead me to believe all was OK, and the market was essentially done with its correction.

Now let's turn to today.  We can see that multi-year high in VIX implied volatility.  If that level doesn't hold even if the market goes down and VIX goes up, then I think we may be through this rough patch.  But... if tomorrow the VIX is up and the volatility of the VIX is up... This could get worse.

And what about those prior levels of volatility we saw in Feb'14 and Apr '14 risk that I said were way too low.  Check this out:

Provided by Livevol

Across the top we can see that Feb vol is now priced to 133.08% (up from 58.40%) and Apr vol is now priced to 85.33% (up from 54.84%).  Yeah, the option market was dead wrong, has been dead wrong and now we will see if it can be our signal for the future.

The world is not ending. We are not in a Doomsday Scenario. But we could be soon.  

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.

Twitter (TWTR) - Earnings Preview: Two Things I Didn't Know. Do You?

TWTR closed Friday trading at $64.50, up 1.6% with IV30™ falling about one point. The LIVEVOL® Pro Summary is below.


Provided by Livevol

Twitter, Inc. (Twitter) is a global platform for public self-expression and conversation in real time. Twitter is a real-time platform, where any user can create a Tweet and any user can follow other users.

This is a volatility note regarding earnings for TWTR and two quite surprising phenomena.

I wrote about TWTR in prior posts and how I saw what appeared a total mis-pricing of risk in the options (although that was unrelated to an earnings event). You can read that interesting tale by clicking on the title below:

Twitter (TWTR) - UPDATE: How the Option Market Totally Blew It, And We Knew it Two-Weeks Ago.

But let's focus on earnings volatility and the earnings event, which is due on 2-5-2014 AMC (aka Wednesday).

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

Provided by Livevol

Obviously there isn't a lot of history for TWTR, but even in this short-time period we have seen the stock trade as low as $38.80 and as high as $74.73.  I'd say the equity market hasn't quite reached equilibrium on this name yet and its first earnings report is going to be the beginning (not the end) of reaching that equilibrium.

But ultimately, I want to examine the implied volatility, so let's turn to the IV30™ chart in isolation, below.

Provided by Livevol

Interestingly, the implied volatility has not been rising into earnings, but has actually been flat.  The rise in the implied occurred just after my original post which questioned, in simple terms, "what the  heck is TWTR vol doing trading so low?"

So, phenomenon number one that I want to point is simply that the vol in TWTR has not been reacting to this upcoming event (it's been flat).  But there's a caveat here, and it's a big one, I'm writing this article on Sunday afternoon. It would not surprise me if the vol starts climbing rather abruptly in to Wednesday's close (the earnings date). I would in fact be surprised if TWTR implied does not go back to over 100% before the earnings release.

The second phenomenon I want to point out can be seen in the skew. The Skew Tab is included below.

Provided by Livevol

I have included the Feb 7 (weekly) and the Feb monthly options.  Obviously the Feb 7 weeklies are elevated to the Feb monthly vols b/c of earnings -- by the end of trading on Wednesday, those Feb 7 options will represent essentially pure earnings vol and will be even more elevated.  So, the fact that the weeklies are elevated to the monthlies is normal and expected.

My curiosity surrounds the size of that elevation. 


To read more about option skew and why it exists, you can read the post below:
Understanding Option Skew -- What it is and Why it Exists


Finally, let's look to the Options Tab (below) to put some numbers to that volatility difference.

Provided by Livevol

The Feb 7 weekly $65 strike straddle is priced to ~$10.30.  The Feb monthly $65 strike straddle is priced to ~$11.90.

So, basically, that means the time between Feb 7 and Feb 21 (Feb monthly expiration) is worth ~$1.60 on $65 strike straddle.  This implies (sort of) that whatever the move is off of earnings, the stick movement after Feb 7 but before Feb 21 is going to be pretty muted.

Why do I say "sort of"? Keep in mind that if the stock moves wildly away from $65 off of earnings, the vega (volatility dollars) in the Feb monthly $65 straddle will tend to zero as those options become deep in the money (far out of the money). If that happens, $1.60 will seem pretty expensive for just the volatility.  But if doesn't... well, then it won't...

Seriously, this is trade analysis, not a recommendation.

In any case, let's revisit TWTR and this article on Wednesday pre-earnings.  A lot can change in the next three trading days.

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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.

Furiex Pharama (FURX) - The Event is Coming... But the Option Market is Totally Confounded.

FURX closed Friday trading at $46.36, up 0.7% with IV30™ rising 6.8 points or ~3%. The LIVEVOL® Pro Summary is below.


Provided by Livevol


Furiex Pharmaceuticals, Inc. is a drug development collaboration company. The Company’s product pipeline includes two marketed products and three programs in development, including late-stage compounds, in multiple therapeutic areas.

This is a volatility note (on several fronts) in a small bio-pharma company with 24 employees, a $480MM market cap and some very big news apparently coming out in the next few weeks (or less).

I found the company using the optionsXpress® Dragon Tooolbox Stock with High IV/HV ratios (giving this platform a shot for idea generation) and have included the results of that scan below:


Provided by optionsXpress

The goal with this scan is to identify companies with events approaching where the option market reflects substantially more risk moving forward than the stock has realized in the last 30 day.  And oh yeah, FURX qualifies with an implied vol over 200% and a historical vol of just 36%.

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

Provided by Livevol

On the stock side we can see that two the stock hit a low of ~$12.50 and a high of $49.50 in this time period, and now sits very close to that high at $46.36.  More importantly, check out all of those huge stock moves over the last two-years which I have highlighted in yellow.  So, yeah, this stock behaves like a 24 person small cap bio-pharma with drugs in development stage should be reacting... With great volatility.

But this is a volatility note, so let's turn to the IV30™ chart in isolation, below.

Provided by Livevol

We can a rather obvious climb in the implied which was trading at ~50% in December and is now trading at 214.34%.  Hi, I'd like some risk please...

Without doing a lick of research, it's obvious an event / news is due out that could substantially move the stock price.  This is the first phenomenon of this volatility note, and it's "normal" in the sense that these events are the life blood of development stage drug companies.

But there's a little more going on, and it's easy to miss unless you examine the skew.  So, let's...

The Skew Tab is included below.

Provided by Livevol

Two things pop out:

1. The front month (red curve) is elevated to all the rest of the expiries, so this event is expected to occur before Feb expiry (Feb 21).    Given the ripping volatility, it feels like the event is due out sooner rather than later in that time frame.

2. Check out those skew shapes.  Each expiry reflects the same risk, which is... well... totally agnostic.  The skew curves are essentially flat, with the at-the-money (ATM) options priced to the same risk (volatility) as the out-of-the-money (OTM) options.  So what?...

This is actually irregular on two counts.  First, when a company like this has big news, the skew is normally parabolic -- meaning greater risk to the upside and downside than the ATM options.   A great example of parabolic skew can seen in the 3-D printing company SSYS.  I've included that skew chart, below:


Provided by Livevol

Clearly FURX skew does not look parabolic. To read more about option skew and why it exists, you can read the post below:
Understanding Option Skew -- What it is and Why it Exists

So what does all of this mean?...

The option market reflects two things:
1. Exploding overall risk (see that IV30™ chart) into totally uncharted territory.
2. A remarkably agnostic view on the direction of the stock move off of the news coming for FURX.

Why does this matter?
1. If you have a position in FURX equity, get ready for the possibility of a massive move.
2. If you have a position in FURX options, the standard position in bio-pharmas pre-announcement isn't available (the standard position with a parabolic skew buys the low volatility (the ATM options) and sells the high volatility (the OTM options)).
3. It could also signal that the OTM options are too cheap and that FURX could be due for a much larger move than that 45% number.

So, this is a very difficult trade to find any kind of edge purely from a volatility stand point.


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

Provided by Livevol

Across the top we can see that Feb vol is priced to 232.56% and Mar is priced to 175.88%.  That's the pretty conclusive (albeit circumstantial) evidence that the event is coming soon (i.e. in Feb expiry).  In terms of the expected move, the $45 strike straddle is the ATM and is priced to ~$20.  So... the option market reflects a ~45% move in the stock within three weeks.

Here we go...

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.