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posted by:Paul Foster on Aug 27, 2008, 3:42 pm
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VIX (news,
chart,
quote) - Volatility Index S&P 500 Options-VIX down 57c to 19.92.
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posted by:Paul Foster on Aug 27, 2008, 3:41 pm
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AMLN (news,
chart,
quote) - Option volume leaders today were: LEH AMLN FRE AAPL & C according to Track Data.
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posted by:Paul Foster on Aug 27, 2008, 3:26 pm
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Progenics Pharmaceuticals PGNX (news,
chart,
quote) - PGNX call volume & volatility Elevated
PGNX is recently up 76c to $12.89. Relistor manufactured by PGNX &WYE is expected to be fully launched this autumn. Relistor, helps restore bowel functions in patients with late-stage, advanced illness who are receiving opioids on a continuous basis. PGNX call option volume of 2,551 contracts compares to put volume of 771 contracts. PGNX September option implied volatility of 88 is above its 26-week average of 78 according to Track Data, suggesting larger price uncertainty.
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posted by:Paul Foster on Aug 27, 2008, 3:25 pm
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Amylin Pharma AMLN (news,
chart,
quote) - AMLN volume & volatility Elevated; shares near four-year low
AMLN is recently down $7.01 to $20.23. AMLN disclosed there have been four additional deaths of patients taking the diabetes treatment Byetta. AMLN call option volume of 45,705 contracts compares to put volume of 69,719 contracts. AMLN option implied volatility of 88 is above its 26-week average of 56 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 3:25 pm
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Geoeye GEOY (news,
chart,
quote) - GEOY volatility Elevated at 130 into satellite launch
GEOY, a provider of geospatial information, is recently down 62c to $22.49. GEOY's new GeoEye-1 satellite is scheduled to be launched on September 4th. GEOY call option volume of 1,148 contracts compares to put volume of 426 contracts. GEOY September option implied volatility of 130 is above its 26-week average of 76 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 3:01 pm
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MSCI Brazil Index EWZ (news,
chart,
quote) - EWZ volatility at 37; shares near seven month low
EWZ is recently up $1.71 to $73.19. EWZ over all option implied volatility of 37 is near its 6-month average according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Aug 27, 2008, 3:00 pm
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Williams-Sonoma WSM (news,
chart,
quote) - WSM volatility Flat; shares near six-year low
WSM is recently up 40c to $18.37. RBC Capital Markets has a 12-month price target of $21. WSM over all option implied volatility of 51 is near its 6-month average of 50 according to Track Data, suggesting non-directional price fluctuations.
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posted by:Paul Foster on Aug 27, 2008, 2:58 pm
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Layne Christensen LAYN (news,
chart,
quote) - LAYN volatility Elevated into EPS
LAYN is scheduled to report Q2 EPS on August 28. LAYN, a provider of drilling and construction services, is recently down $1.07 to $47.78. Morgan Joseph say's "we think full-year expectations are, at present, appropriately reflected in the price of the shares." LAYN September option implied volatility of 60 is above its 12-week average of 51 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:30 am
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Lehman LEH (news,
chart,
quote) - LEH volatility Elevated; shares Up from record lows
LEH is recently up 61c to $14.64. LEH call option volume of 32,621 contracts compares to put volume of 30,454 contracts. LEH September option implied volatility is at 140; October is at 131; above its 6-month average of 74 according to Track Data, suggesting larger price fluctuations.
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posted by:Paul Foster on Aug 27, 2008, 11:30 am
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Solarfun Power SOLF (news,
chart,
quote) - SOLF volatility decreases as shares sell off on earnings
SOLF is recently down $1.90 to $17.05. SOLF reported Q2 net revenue of $197.1 million, an increase of 12.7% from the first quarter of 2008, and 192% from the second quarter of 2007. SOLF is a manufacturer of silicon ingots and photovoltaic cells and modules in China. SOLF call option volume of 8,623 contracts compares to put volume of 2,288 contracts. SOLF September call option implied volatility is at 85, puts are at 92; below a level of 130 from August 26 and near its 6-month average of 95 according to Track Data, suggesting flatter price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:29 am
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EMC EMC (news,
chart,
quote) - EMC calls active on Flat volatility
EMC is recently up 28c to $15.59. EMC is scheduled to report Q3 EPS on October 22. EMC spun out VMW on 8/14/07. EMC owns 82% of VMW. INTC has a 2.5% position; CSCO has a 1.6% position in VMW. EMC call option volume of 26,587 contracts compares to put volume of 11,218 contracts. EMC October option implied volatility of 36 is below its 26-week average of 39 according to Track Data, suggesting decreasing price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:28 am
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Valero Energy VLO (news,
chart,
quote) - VLO calls active as shares rally 6%
VLO is recently up $1.87 to $35.50. Crude oil futures are recently up 2.01% to $118.61. VLO call option volume of 17,103 contracts compares to put volume of 8, 480 contracts. VLO September option implied volatility of 51 is near its 26-week average according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:28 am
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VMware VMW (news,
chart,
quote) - VMW calls active on renewed chatter of CSCO increasing stake
VMW is recently up $1.33 to $38.31 on chatter that CSCO would be interested in acquiring a larger stake or the company from majority owner EMC. VMW call option volume of 5,648 contracts compares to put volume of 539 contracts. VMW September call option implied volatility is at 69, puts are at 73; above its 26-week average of 57 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:27 am
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Network Appliance NTAP (news,
chart,
quote) - NTAP calls active on low volatility
NTAP is recently up $1.28 to $25.36. NTAP is the frequent subject of buyout chatter. NTAP call option volume of 20,026 contracts compares to put volume of 1,974 contracts. NTAP September option implied volatility is at 39, May is at 37; below its 26-week average of 45 according to Track Data, suggesting decreasing price movement.
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posted by:Paul Foster on Aug 27, 2008, 11:24 am
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Tesoro TSO (news,
chart,
quote) - TSO calls active on Flat volatility; oil approaches $119
TSO is recently up $1.25 to $17.82. Crude oil futures are recently up 2.28% to $118.92 according to Bloomberg. TSO call option volume of 5,457 contracts compares to put volume of 810 contracts. TSO September option implied volatility of 68 is near its 26-week average of 65 according to Track Data, suggesting non-directional price fluctuations.
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posted by:Paul Foster on Aug 27, 2008, 11:22 am
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BB&T BBT (news,
chart,
quote) - BBT calls active as shares sell off on CEO retirement
BBT, a financial holding located in Winston-Salem North Carolina, announced John Allison will retire as CEO on December 31. BBY is recently down 85c to $27.36. BBT call option volume of 2,949 contracts compares to put volume of 195 contracts. BBT September option implied volatility of 64 is above its 26-week average of 52 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 10:13 am
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VLO (news,
chart,
quote) - Equity option family volume leaders in first 40-minutes of Trading: FRE VLO GM HK according to Track Data.
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posted by:Paul Foster on Aug 27, 2008, 9:44 am
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AMLN (news,
chart,
quote) - Active equity option families in first 10-minutes of Trading: AMLN FNM JCG MER according to Track Data.
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posted by:Paul Foster on Aug 27, 2008, 9:28 am
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Boeing BA (news,
chart,
quote) - BA volatility Flat into Union negotiations, Dreamliner & Elections
BA close at $63.46. Goldman Sachs has a Sell rating on GS. GS say's "catalysts for lower shares 1) a potential Machinist's union strike starting on September 4, and 2) further delays in the 787 program." BA October option implied volatility of 33 is near its 6-month average according to Track Data, suggesting non-directional price fluctuations.
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posted by:Paul Foster on Aug 27, 2008, 9:27 am
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Goldman Sachs GS (news,
chart,
quote) - GS volatility flat; shares near five-month low
GS closed at $155.91. GS September option implied volatility of 46 is near its 6-month average according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Aug 27, 2008, 9:27 am
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SunPower SPWR (news,
chart,
quote) - SPWR volatility of 56 at low end of range
SPWR closed at $91.69. SPWR over all option implied volatility of 56 is below its 6-month average of 63 according to Track Data, suggesting decreasing movement.
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posted by:Paul Foster on Aug 27, 2008, 9:26 am
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China Sunergy CSUN (news,
chart,
quote) - CSUN volatility at low end of range after sharp rally
CSUN, a manufacturer of solar cell products in China, closed at $11.13. CSUN over all option implied volatility of 75 is below its 6-movement average of 83 according to Track Data, suggesting decreasing price movement.
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posted by:Paul Foster on Aug 27, 2008, 9:26 am
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Suntech Power STP (news,
chart,
quote) - STP volatility at low end of range
STP is recently trading at $42 in pre-open trading, below its close of $43.13. STP over all option implied volatility of 62 is below its 6-movement average of 70 according to Track Data, suggesting decreasing price movement.
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posted by:Paul Foster on Aug 27, 2008, 9:26 am
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Solarfun Power SOLF (news,
chart,
quote) - SOLF volatility Up; Q2 net income rises 285% compared to Q2 2007
SOLF is recently down $1.60 to $17.34 in pre-open trading. SOLF reported Q2 net revenue of $197.1 million, an increase of 12.7% from the first quarter of 2008, and 192% from the second quarter of 2007. SOLF is a manufacturer of silicon ingots and photovoltaic cells and modules in China. SOLF September call option implied volatility of 130 is above its 6-month average of 95 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Aug 27, 2008, 9:25 am
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Amylin Pharma AMLN (news,
chart,
quote) - Amylin Pharma-AMLN volatility Elevated into additional safety issuesAMLN volatility Elevated into ad
AMLN is recently down $3.40 to $23.81 in pre-open trading. AMLN disclosed there have been four additional deaths of patients taking the diabetes treatment Byetta. AMLN over all option implied volatility of 66 is above its 26-week average of 56 according to Track Data, suggesting larger price movement.
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