This view midday view helps identify stocks that are gapping up or down and might present early opportunities.
Focus: Oil and Gas
TGA is DOWN sharply this afternoon (2:18pm ET) and running counter to the Oil and Gas SubSector. Prior to the selloff TGA was trading at 30 Day Implied Volatility lows for the last month.
Use the Stock and Option Price Movement view in the View Library in AV Pro to follow this name. Use 30 Day Mid Vol Outlook to assess per strike volatility in the Option Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Coal
MEE is up sharply this morning (9:38 ET) following the takeover announcement. Pre Takeover 30 Day Implied Volatility showed a steady increase from 40% to 55% since December 27th, 2010 (note chart on the lower right).
Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Change the Height on the View Tab to Absolute Value. Use 60 Day Mid Vol Outlook to assess per strike volatility in the Option Landscape.
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This view midday view helps identify stocks that are gapping up or down and might present early opportunities.
Focus: Asset Allocation Funds
EDZ is up sharply this afternoon (2:18pm ET) with the general selloff. 30 Day Implied Volatility is at the year lows.
Use the Cheap Implied Volatility 30 Day view in the View Library in AV Pro to follow this name. Use 30 Day Mid Vol Outlook to assess per strike volatility in the Option Landscape.
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This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Auto Manufacturers
F is down sharply this morning (9:38 ET) following the earnings announcement. Post Earnings Implied Volatility levels in F are 1.49x trailing 60 Day Historical Volatility.
Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Change the Height on the View Tab to Absolute Value. Use 60 Day Mid Vol Outlook to assess per strike volatility in the Option Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Semiconductors
TER is up sharply this morning (9:38 ET) following the earnings announcement. Implied Volatilities dropped after the announcement from only mid levels. LRCX and COHU are the two counter trend names shown in the Semiconductors.
Use the Opening View in the View Library in AV Pro to follow the morning activity and throughout the day. Change the Height on the View Tab to Absolute Value.
An important tool for gauging stock movement is the Historical (or Realized) Volatility of the underlying. Generally this gauge looks back to the 10 or 30 day moving average of the volatility of the underlying stock. In Aqumin’s AlphaVision landscape (www.aqumin.com) you can easily rationalize a move in many stocks (in this case the S&P 500) with the current trend in Historical Volatility to see if a move is acting “out of character” with market conditions.
First I use the HV10 less HV30 view in AlphaVision for Bloomberg to organize the S&P 500. In this view I use the Absolute Value of the 1 Week Total Return to put all of the recent movement in context (both up and down moves). Very Tall, Dark Green buildings have the HV10 (10 Day Historical Volatility) trading at least 15 pts higher than the HV30 (30 Day Historical Volatility). The light green buildings are closer to even for a change in Historical Volatility. A dark green move had a shock to the stock (most likely a gap on news).
Note Radio Shack (RSH) which announced reduced Earnings Guidance and the stock got nailed. The percentage move for the week was much more out of character. The stock is most likely dead money for the short term. Contrast that move with DeVry Inc (DV). DV had a much bigger move for the week on a percentage basis but the actual HV10 was only a slight uptick over the HV30. DV was already exhibiting higher Historical Volatilities and the current move is just a mild uptick, but if I was positioning the name I would want to stay out of the way on the upside. No sense fighting the tide. Let’s see if the shorts start to cover.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Material Sector in the S&P 500
ATI is up sharply this morning (9:38 ET) following the earnings announcement. The Energy Sector is showing strength as well.
Use the Real Time Price Percent Change in the View Library in AV for Bloomberg to follow the morning activity and throughout the day. Order Groups in Sequential Order by Price Change 1 Day Percent. Change the Height on the View Tab to Absolute Value.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Home Furnishings
ETH is up sharply this morning (9:38 ET) following the earnings announcement. Mining names are showing early weakness.
Use the Opening View in the View Library to follow the morning activity and throughout the day. Change the Height on the View Tab to Absolute Value. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Packaging & Containers
SSCC is up sharply this morning (9:38 ET) following the takeover announcement. Look for accompanying activity in IP (Forest Products and Paper) with the Implied Volatility opening a few points higher.
Use the Price Percent Change arranged by Pct Change in the View Library to take advantage of opening activity and use SubSector for Groups. Change the Height on the View Tab to Absolute Value. Order Groups in Sequential Order by Percent Underlying Change. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Savings and Loans
DNBK is up sharply this morning (9:38 ET) with very wide option markets just after the open. Look for accompanying activity in the other Financials.
Oil and Gas Services are showing very good strength as well.
Use the Price Percent Change arranged by Pct Change in the View Library to take advantage of opening activity and use SubSector for Groups. Change the Height on the View Tab to Absolute Value. Order Groups in Sequential Order by Percent Underlying Change. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
With Apple Inc’s earnings out, the Implied Volatility is coming in pretty hard. What I find most interesting is the lack of momentum in the underlying name. There have been some sizable intraday moves but the close to close volatility is not doing too much over the last two weeks ringing in at a 17.15 realized volatility.
The Steve Jobs news does throw a monkey wrench into the works (not being cold hearted here, his illness is very unfortunate) so the Implied Volatilities are not drifting down as hard as they might otherwise. The Option Landscape below shows the ratio of MidVol to the 14 Day Realized Volatility.
Essentially, any strike in green has current Implied Volatility 1.5x the trailing 14 day Realized (Historical) Volatility (which is around 17 %+). As you can see that is most of what is out there except for the very in the money puts with the highlighted put, the Feb 310, for a 31.18% volatility bid. That is a pretty high theta train to pay while you see how things shake out. Food for thought as you watch the options perform over the next couple of weeks. Options landscape created in AlphaVision Professional from Aqumin, www.aqumin.com or AV Pro - Early Access.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Mining
BHP is down over 2% this morning (9:38 ET) with Implied Volatility down slightly (<1 pt).
There is early weakness (most names down 2% or more) in the Mining and Coal Sub Sectors.
Use the AlphaVision 3D Ticker View in the View Library to take advantage of opening activity and use SubSector for Groups. Order Groups in Sequential Order by Percent Underlying Change. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Mining and Commodity Funds
SLV is up over 2% this morning (9:38 ET) with Implied Volatility mostly unchanged.
There is early strength in the Mining and Commodity Fund Sub Sectors with Mining stocks (smaller caps) opening strongly for the second day in a row.
Use the AlphaVision 3D Ticker View in the View Library to take advantage of opening activity and use SubSector for Groups. Order Groups in Sequential Order by Percent Underlying Change. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Mining Subsector
VALE is up sharply this morning (9:38 ET) with an uptick in Jan, Feb and March implied volatility. February implied volatility is trading above the HV60.
There is early strength in the Iron and Steel and Mining Sub Sectors.
Use the AlphaVision 3D Ticker View in the View Library to take advantage of opening activity and use SubSector for Groups. Order Groups in Sequential Order by Percent Underlying Change. Volatility Analysis for the options uses the MidVol Change View in the Options Landscape.
This view just after the open helps identify stocks that are gapping up or down early and might present early opportunities.
Focus: Semiconductor Subsector
ASML is up sharply this morning (9:38 ET) with a small drop in January at the money implied volatility. February implied volatility is trading below the HV60.
There is early strength in Banking and Savings and Loans Sub Sectors.
Use the AlphaVision 3D Ticker View in the View Library to take advantage of opening activity and use SubSector for Groups. Volatility Analysis for the options use the MidVol Change View in the Options Landscape
I do get questions about when, or if Aqumin’s AlphaVision Pro will get an alert system. My simple answer is for right now the AlphaVision View is a giant alert for the whole market. Our users just get to see when things “cross a boundary” by changing color.
For the view below (which is the Above Average Option Volume View) green building are trading at 2x their 1 month average option volume. You can change the sliders and color boundaries but the default is set at 2x Average Volume. What you also get is the height which is the Percentage Value of Today’s move from One Standard Deviation. Taller buildings are moving more than the Implied Volatilities would indicate. Something is up in the name and it might be worth checking out. The plates are arranged by the Industry Group (by Morningstar) so you get a good detailed look.
For instance Noble Corp (NE) just got added to the S&P 500 and the name spiked with a big uptick in option volume. Usually that is good for a stock. Also note, lots of dark green buildings did not move at all today (flat). I wonder what happened in those. By using AV Pro, you can click the names and find out. I would use this view to set up potential activity prior to the open.
The best market tools are the ones that give you information instantly that actually can point you in the right direction. At Aqumin I helped develop the Option Landscape from my experience as a CBOE and PCX Member for 15+ years. So, what does it do?
Essentially the Option Landscape allows you to see relative volatility patterns and relationships for every series in a name at once. It goes beyond a volatility surface because the 3D environment allows you to see 1000’s of strikes at once, in real time. How is the current market pricing implied volatility of the options versus how the stock is actually moving? Knowing this information ahead of time helps you to pick which side of the market (buying or selling options) you want to be on before you initiate a trade. Let’s see a sample below for a hot name right now, MCP.
The Option Landscape is laid out like a standard quote screen where strikes go from highest (in front) to the lowest (in back) in rows across the plate. Each column is a strike month where the nearest expiration (could be a Weekly) is on the left side of the plate and the time to expiration increases as you move across from left to right. In this view the height of each building is the Mid Point of the Implied Volatility to show the skew that exists in the options. What is most interesting for this landscape shown of MCP is color. A white option series means the current Mid Volatility for the series is trading about the same as the 30 Day Historical Volatility for the underlying, red series have the options trading cheaper than the 30 Day HV and green series have the options trading more expensive.
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Now in a glance you can see several things. Near term, the puts are trading at higher implied volatilities than the calls for the same strike. This tells you that MCP is a hard to borrow stock and a potential (or current) short squeeze candidate. You are giving some edge to the market wanting to short MCP using options because the name is difficult to borrow. You would have to sell the calls down and pay up for puts given the current 30 Day HV. If you want to pick up cheaper gamma, you would do it on the call side and not the put side of the equation in the front month. Most of the options (red ones) are trading at a discount to the last 30 days underlying movement. The market is signaling it expects a drop in volatility over the mid and later expirations. Buying naked options out there right now means you could be walking into a volatility collapse so better to use spreads. Near term, in January, the puts are very reflective of all of the recent volatility (larger near term moves are priced in) and are more richly priced which makes them the most expensive options in MCP right now.
So, by using an Option Landscape with known market indicators arranged in a visual way (no gimmicks), the trader can put on the correct position to fit the volatility environment and at least take what opportunity the market is giving today.
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