Visa (V) - Weekly Elevated Vol vs Depressed Earnings Vol

V is trading $74.19, down 1.5% with IV30™ up 4.5%. The LIVEVOL® Pro Summary is below.



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Visa Inc. (Visa) is a global payments technology company that connects consumers, businesses, banks and governments in more than 200 countries and territories, enabling them to use digital currency instead of cash and checks.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

As I looked through the various expirations (V has weeklies), I actually found a slightly more interesting calendar spread to examine. Let's look to the Skew Tab (below).



The term structure is monotonically increasing to the closer expirations. Note that the yellow curve is the Jul 1st weekly and the green curve is the Jul monthly. The blue line is August. The interesting thing here is that of late, V has traded at much lower historical vol than it's implied. The Jul weeklies are trading at ~55.5 vol, Jul monthlies at ~41 vol and the Aug monthlies at ~34 vol. Note that Aug has the next earnings cycle (and thus a volatility event).

The short-term historical vols for V are included below:
HV10: 18.64
HV20: 25.62
HV30: 22.90

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink). That yellow line is the vol of the Jul weeklies ( I added it).



What I'm interested in here is the vol portion. Check out how high IV30™ is relative to the short-term historical vol (HV20) and the long-term historical vol (HV180). Specifically:

IV30™: 38.19
HV20: 25.62
HV180: 27.27

These levels make it clearer how elevated the Jul weeklies are.

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



Here we can see the month by month sigmas at the top.

Potential Trades to Analyze
1. Calendar spread Jul Weekly to Aug
a. The Jul weekly / Aug ATM calendar spread sells ~52 vol and purchases ~34 vol while owning the Aug earnings cycle (that's a projection).
b. The Jul weekly / Aug OTM put spread sells more than 60 vol and purchases vol in the id 40's while owning the earnings vega.

Both of these trades sell near-term expiring options and therefore bring a large negative gamma risk.

2. Calendar spread Jul monthly to Aug
Similar to the first trades, but this time selling ~41 vol.

3. Calendar spread Jul Weekly to Jul Monthly
This trade still sells that elevated weekly vol but purchases the Jul Monthlies which carry a higher vol but a lower premium than the Aug Monthlies.

NB: All of these trades bet on V continuing with low realized vol in the short-term. For the opposite type of position, owning the front month vol would be the play. The idea here, the vol is elevated for a reason, and maybe it's too low.

This is trade analysis, not a recommendation.

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BJ's Wholesale (BJ) - Elevated Vol, Depressed Earnings and a Takeover

BJ is trading $47.74, up 1.0% with IV30™ up 4.2%. The LIVEVOL® Pro Summary is below.



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BJ’s Wholesale Club, Inc. (BJ’s) is a warehouse club operator in the eastern United States. As of January 29, 2011, the Company operated 189 BJ’s warehouse clubs, 103 of which operate gasoline stations, in 15 states.

Here's a snippet of an article from Wall St. Cheat Sheet:
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Last week, private equity firms Leonard Green and CVC Capital made an offer to buy BJ’s Wholesale (NYSE:BJ) for an undisclosed sum, rumored to be about $50 per share. With shares currently trading at $47.36, BJ’s is reportedly holding out for more money, hoping to get the offer up to $55 a share.
Source: Mergers & Acquisitions [...]
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Today the stock came up on the a real-time custom scan for calendar spreads between the front two months. Note that the second month (Aug) likely has an earnings cycle, making this quite an interesting vol phenomenon.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Let's look to the Skew Tab (below).



We can see that while the shapes of the months are similar, the front is elevated to the back. There's also a slight bend up to the OTM calls (55 strike) in Jul, reflecting upside risk.

Now we can turn to the Charts Tab (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 gap up in early Feb on the takeover news from $43.04 to $48.25. With the stock now trading $47.74, the market is still pricing some non-trivial probability that BJ is taken over -- it's the uncertainty that has the vol elevated, irrespective of the earnings date. We can see the IV30™ is elevated relative to the short-term historical vol (HV20) and the long-term historical vol (HV180). Specifically:

IV30™: 37.98
HV20: 26.45
HV180: 30.00

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



Potential Trades to Analyze
1. Calendar spread:
Owning Aug against Jul yields a vol scalp and probably picks up the earnings event. Friday of expiration is Aug 19th. The last two years earnings have been on 8-19-2009 and 8-18-2010 -- both were just before Aug expiration. This trade is short gamma and long vega -- both of which are losers to a takeover announced before Jul expiration.

2. Sell the downside
While ~38 vol is elevated, ~49 vol is really elevated. The Jul 42.5 puts are priced at 48.89 vol, so, ya know... Also, a Jul 42.5/45 1x2 put spread (selling two 42.5 puts) might be done for even and is safe to $40 (and naked short options below that).

This is trade analysis, not a recommendation.

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Delta Airlines (DAL) - Elevated Vol, Dipping Oil Prices, Variable Demand

DAL is trading $10.01, up 4.4% with IV30™ up 2.5% as of ~11:05am EST. The LIVEVOL® Pro Summary is below.



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Delta Air Lines, Inc. (Delta) provides scheduled air transportation for passengers and cargo throughout the United States and around the world. Ya know, Delta…

I found this stock using a real-time custom scan. This one hunts for high vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20) and the long term trend in stock movement (HV180). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The DAL 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:
IV30™: 49.22
HV20: 33.40
HV180: 41.27

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. The airlines are in an interesting position. Falling oil prices are good – very good, but if price falls because of weak demand, then that signals a weak global economy and that’s bad. The jobless numbers today are rather staggering (or so the market seems to believe) – yet DAL is up as crude continues to fall. It’s this interplay that makes the future stock price potentially volatile, and thus the elevated implied to the historical realized. Tricky...

Let’s look to the Skew Tab.



We can see a relatively normal looking skew – no kinks. Both of the front two months do show a slight parabolic bend up to the OTM calls.

Let's look to the Options Tab (below) for completeness.



I wrote about this one for TheStreet.com (OptionsProfits) so no specific trade analysis here. All I will say is that the elevated vol at the very least reflects an elevated risk that makes fundamental sense... to me... I guess the real question if DAL is more dependent on variable demand or variable oil prices.

This is trade analysis, not a recommendation.

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Tibco Software (TIBX) - Earnings Bet in the Calls

TIBX is trading $25.73, up small on the day with IV30™ unched. The LIVEVOL® Pro Summary is below.



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TIBCO Software Inc. (TIBCO) is an independent provider of middleware and infrastructure software. The company has earnings due out tomorrow AMC, and this is an order flow note that examines some bullish action ahead of the earnings release.

The company has traded over 24,000 contracts on total daily average option volume of just 2,942. Calls have traded on a 9.8:1 ratio to puts with the largest trade being 10,000 Jul 26/ Aug 28 call spread for $0.25. Mike Bristow of Vtrader Group gave me the color. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls on both sides are mostly opening (compare OI to trade size). When looking down the option chain for TIBX in the front two months, I don't see an OI larger than 4,900, so both sides of this trade are large and seem to be timed to earnings.



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



The skew has a normal shape -- with the front elevated to the back due to earnings. There don't seem to be any obvious kinks in the skew.

Finally, the Charts Tab (6 months) is 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 peaked over $30 and headed down until the last few trading days where it has recovered to ~$26. On the vol side, we can see the implied is trading above the historical measures as we head into earnings. It is interesting to note that in general the IV30™ trades above the realized vols.

This is trade analysis, not a recommendation.

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Rediff.com India (REDF) - Vol Diff and Earnings

REDF is trading $8.91, up 2.5% with IV30™ down 1.2% as of ~10:45am EST. The Livevol® Pro Summary is included below.



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Rediff.com India Limited (Rediff) along with its subsidiaries, is engaged in business of providing online Internet based services, focusing on India and the global Indian community.

The 52 wk range is [$1.69, $17.68], so this thing can move. I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here, but I noticed REDF because of the vol difference that has opened up between the Jul and Aug downsides. Even more compelling, the last two earnings cycles in Jul have been 7-21-2009 and 7-29-2010. I see that their next earnings date is projected after the Jul options cycle (again), meaning that the vol difference between Jul and Aug (with Jul greater than Aug) may be worth trading. Let’s turn to the Skew Tab.



We can see the vol diff between the front two months on the 7.5 strike – it’s around 20 vol points. Now we can turn to the Charts Tab. 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 peaked at $17.98, less than two months ago (4-28-2011). Two days ago the stock closed at $7.62 and has recovered recently. Like I said, the stock can move. On the vol side, the IV30™ is about fair(ish) relative to the two historical measures.

Let’s look to the Options Tab for completeness.



This is trade analysis, not a recommendation.

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Take-Two Interactive (TTWO) - Elevated Vol

TTWO is trading $14.85, up 1.5% with IV30™ down 2.5%. The LIVEVOL® Pro Summary is below.



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Take-Two Interactive Software, Inc. is a global publisher, developer and distributor of interactive entertainment software, hardware and accessories. I found this stock using a real-time custom scan. This one hunts for high vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The TTWO 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:
IV30™: 42.31
HV20: 28.50
HV180: 32.16

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. On 5-20-2011 (so, a month ago), IV30™ got as high as 56.43 into earnings, then has dipped since though it's still above the historical measures.

Let's turn to the Skew Tab.



The front month has a parabolic skew though the ATM vol is below the second month.

Let's look to the Options Tab (below).



We can see vol is ~3 points higher than Jul.

Possible Trades to Analyze
TTWO is a takeover candidate (or has been in the past), making ratio spreads to the upside a touch riskier than normal.

1. ATM Vol Sale
a. The Jul 14/15 strangle is priced at ~41 vol and requires TTWO to stay in ~($13.15, $15.85). This is naked both the upside and downside.

b. Trade (a) covered with the 13/16 strangle collects ~$0.45 and yields a MaxGain:MaxLoss of just under 1.

2. Downside ratios
The Jul 13/15 put spread selling two 13 puts costs ~$0.45 with $0.15 in parity. It is naked downside risk below ~$11.50(ish) but only requires TTWO go down to $14.55 to turn profitable at expo.

This is trade analysis, not a recommendation.

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OCZ Technology (OCZ) - Elevated Vol to Upside Order Flow

OCZ is trading $8.30, up 5.2% with IV30™ down 4.3% as of ~11:15am EST. The LIVEVOL® Pro Summary is below.



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OCZ Technology Group, Inc. (OCZ) is a provider of high performance solid state drives (SSDs) and memory modules for computing devices and systems.

The company caught my eye yesterday with some overwhelming order flow on the call side with the action focused on the Jul 7.5 calls. More than 6,400 of the Jul 7.5 calls traded – the largest trade was a purchase for $0.90 on AMEX. Overall option volume was 7,718 compared to a total daily average volume of 4,332. Calls trade on a 37:1 ratio to puts.

Let’s look to the Skew Tab to examine the line-by-line vols.



I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis. I have highlighted the vol difference between the Jul and Aug 10 strikes. The divergence exists because the upside in Jul is bid while the upside in Aug slopes down (like a “normal” skew shape). So, while the ATM vols are nearly identical, the upsides are priced to a 7 point vol difference.

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



We can see that the stock can be quite volatile. In fact, the 52 wk low is $1.79. On the vol side we can see that IV30™ is elevated to the historical measures. Specifically:

IV30™: 81.01
HV20: 67.26
HV180: 73.22

OCZ does have earnings due out at the end of this expiration cycle (that’s a projection) so the vol could very well rise from here. Ultimately, selling earnings vol to buy the back month may not be a great move -- at least not yet.

The Options Tab is included below for completeness.



This is trade analysis, not a recommendation.

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Energy XXI (EXXI) - Elevated Vol... Again...

EXXI is trading $29.20, down 2.7% with IV30™ down 1.2%. The LIVEVOL™ Pro Summary is below.



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Energy XXI (Bermuda) Limited (Energy XXI) is an independent oil and natural gas exploration and production company with operations focused in the United States Gulf Coast and the Gulf of Mexico.

I found this stock using a real-time custom scan. This one hunts for high vols. EXXI has come up on this scan before, most recently on 3-21-2010. You can read that article here:
Energy XXI (EXXI) - Elevated Vol

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The EXXI 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:
IV30™: 52.80
HV20: 39.03
HV180: 38.14

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. We can also see that the implied has tended to trade above the historical for last six months with a few exceptions from late Apr to early May.  As of right now, with the global economy in flux and oil prices moving down, the elevated vol does feel "deserved."

Let's look to the Options Tab (below).



We can see Jul, Aug and Sep are all priced at essentially the same vol level, ~53.

Possible Trades to Analyze
1. ATM vol sale:
Selling the ATM straddle or strangle sells ~51 vol and requires that EXXI hold around ($25.80, $32.20) by Jul expo.

2. OTM Vol sale:
Selling an OTM strangle, like 26/32, requires that EXXI stay in ($24.80, $33.20) by Jul expo but collects less premium than the straddle.

Note that both of the trades examined above are naked both the upside and downside.

3. OTM sale and cover:
Doing #2 and purchasing the 25/33 strangle squeezes the PnL zone by ~$0.75 and lowers the MaxGain:MaxLoss ratio to less than 1:1, but eliminates gap risk on both sides.

4.  Skip this one altogether as the elevated vol is based on real world risk (as opposed to fake world?...)...

This is trade analysis, not a recommendation.

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Krispy Kreme Doughnouts (KKD) - Vol Diff on Rising Stock; Healthy Dougnuts?

KKD is trading $8.87, down 1.8% with IV30™ up 1.2%. The LIVEVOL® Pro Summary is below.



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Krispy Kreme Doughnuts, Inc. (Krispy Kreme) is a retailer and wholesaler of doughnuts and packaged sweets.

Last earnings cycle the stock popped from $6.40 up to $8.05 or 25.8%. The stock was in the $3 range a year ago and has climbed substantially since. Here's a news snippet from a Blooomberg article last Thursday:

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Chief Executive Officer James Morgan plans to add oatmeal, yogurt, and fruit juice to the Krispy Kreme menu. The very prospect would have been laughable in the late 1990s when the chain's "Original Glazed" doughnut became a national obsession—before falling victim to overexpansion and the carb-free Atkins diet.

The new menu is part of a revival at Krispy Kreme. Its stock has more than doubled in the past year, to $9 per share. Last month the chain posted its best quarterly profit since 2004: $9.17 million on sales of $104.6 million for the first quarter ended May 1, more than double that of the year before. To keep the momentum, Morgan says he needs to sell healthier food and specialty coffee. "We weren't getting a lot of verbal complaints," he says. "But we also were not getting the sales we thought we should."

Source: Krispy Kreme Wants to Be Good for You, written by Leslie Patton.
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Today, KKD came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol® Pro.



The goal with this scan is to identify back months that are cheaper than the front by at least 8 vol points. I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated front month vol simply because earnings are approaching.

Let's look to the Skew Tab (below).



I've only included strikes up to 25% OTM to focus the chart on the near the money options. We can see how the front month is elevated to the back, and also that the upside skew difference is greater than the downside.

Now we can turn to the Charts Tab (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



I've highlighted the pop off of last earnings. HV20 is artificially elevated b/c of that move. IV30™ (63.03) is just under the HV180 (64), so vol feels sort of "fairish" at this level.

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



We can see that Aug vol is priced at ~58 and Jul is priced at ~65.

Potential Trades to Analyze
1. Two sided calendar:
The Jul/Aug 7.5/10 calendar strangle sells ~64.5 vol and purchases ~57 vol.

2. One-sided calendar:
a. The Jul/Aug 10 calendar call spread sells ~63 vol and purchases ~54 vol while benefiting from an upside move in the stock (as long as it doesn't go much higher than $10). It's an interesting way to sell elevated vol while owning some deltas for those that want to bet on a continued short-term increase in stock.

b. The Jul/Aug 7.5 calendar put spread is also on the board, but for a smaller vol scalp.

This is trade analysis, not a recommendation.

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PharmAthene (PIP) - Small Pharma, Big Order Flow

PIP is trading $2.69, down 2.5% with IV30™ up 4.6%. The LIVEVOL® Pro Summary is below.



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PharmAthene, Inc. is a biodefense company engaged in the development and commercialization of medical countermeasures against biological and chemical weapons.

This is a note on what seems to be a sneaky call accumulator in a tiny pharma company. The company has traded 4,455 contracts on total daily average option volume of just 658. Calls have traded on a 57.6:1 ratio to puts. The big trade was a Sep 5/7.5 c/s bot for $0.30 -- color from Mike Bristow of Vtrader Group. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Sep 5 calls have an existing OI of 6,696. I believe that existing interest is long, making the call spread a further accumulation of deltas in Sep.



I've included the OI chart below. The start date is 4-26-2011. The point here is simply that that interest has been accumulated of late, sort of "quietly."



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



We can see the OTM calls are bid in all three months. If you look at it for a sec. you'll realize that the 7.5 calls are bid even in July. This is a $2.69 stock.

Finally, the Charts Tab (6 months) is 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 has steadily dropped of late. The implied has traded above the historical vols for all six months in this chart. Though not shown in this chart, in a five day period (ish) in mid October of last year, this stock went from ~$1.50 to over $4.

Possible Trades to Analyze
The stock itself is basically an option. I guess the question is, do you want to bet that these options are accumulated by someone that's "in the know" or is this just noise?...

This is trade analysis, not a recommendation.

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