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posted by:Paul Foster on Jan 8, 2009, 3:03 pm
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Volatility Index S&P 500 Options VIX (news,
chart,
quote) - VIX down .80 to 42.60.
Option volume leaders today according to Track Data: C WMT GE GM MSFT.
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posted by:Paul Foster on Jan 8, 2009, 2:52 pm
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Echostar DISH (news,
chart,
quote) - DISH volatility at four month lows; shares up 12%
DISH is recently up $1.48 to $13.50. DISH February option implied volatility is at 63, March is at 67; near its 26-week average according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Jan 8, 2009, 2:51 pm
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America Movil AMX (news,
chart,
quote) - AMX put volume & volatility Elevated
AMX a provider of wireless telecommunication services, closed at $28.36. AMX call option volume of 3,566 contracts compares to put volume of 8,846 contracts. AMX February option implied volatility of 70 is above its 26-week average of 61, according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:05 pm
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Sun Microsystems JAVA (news,
chart,
quote) - JAVA put volume & volatility Elevated
JAVA is recently down 63c to $4.46. Goldman Sachs lowered its rating on JAVA to Sell and lowered its price target to $3. JAVA call option volume of 4,610 contracts compares to put volume of 14,044 contracts. JAVA February option implied volatility of 94 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 Jan 8, 2009, 1:04 pm
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Rackable Systems RACK (news,
chart,
quote) - RACK February-March call spreaders adjust into EPS
RACK is recently up 7c to $5.03. RACK is expected to report Q4 EPS in early February. RACK call option volume of 7,829 contracts compares to put volume of 362 contracts. February and March option implied volatility of 75 is above its 26-week average of 57, according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:03 pm
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Wal-Mart WMT (news,
chart,
quote) - WMT volume heavy as volatility stays Flat; shares down 8% on lower Guidance
WMT is recently down $4.60 to $50.94 after lowering guidance. WMT call option volume of 99,363 contracts compares to put volume of 1061,956 contracts. WMT January 50 straddle is priced at $2.89, February 50 straddle is at $5.94. WMT February option implied volatility of 40, is near its 6-month average according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:03 pm
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US Bancorp USB (news,
chart,
quote) - USB volatility Elevated at 71 into EPS & Outlook
USB is recently down 41c to $22.96. USB is expected to report Q4 EPS on January 21. USB call option volume of 14,757 contracts compares to put volume of 11,650 contracts. USB February option implied volatility of 71 is above its 6-month average of 59 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:01 pm
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Avon Products AVP (news,
chart,
quote) - AVP option volume increases; volatility stays elevated
AVP is recently down $1.11 to $23.10. AVP expected to report Q4 EPS in early February. AVP options volume was heavy on January 7 with 43,253 contracts trading. AVP call option volume of 760 contracts compares to put volume of 3,520 contracts. AVP February call option implied volatility is at 61, puts are at 65, above its 6-month average of 51, according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:01 pm
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Vivus VVUS (news,
chart,
quote) - VVUS June volatility at 117 into Phase 3 data
VVUS is recently up 18c to $5.27. VVUS is expected to complete its phase 3 studies of obesity drug Onexa this summer. February option implied volatility is at 111; June is at 117; near its 26-week average of 107, according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:00 pm
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AMAG Pharmaceuticals AMAG (news,
chart,
quote) - AMAG volatility Flat into FDA reaction
AMAG is recently down 21c to $31.87. AMAG is waiting for an FDA reaction to AMAG's response to the FDA's comments regarding manufacturing of AMAG's Ferumoxytol (chronic kidney disease treatment). AMAG February and May option implied volatility of 104 is near its 26-week average of according to Track Data, suggesting non-directional price movement.
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posted by:Paul Foster on Jan 8, 2009, 1:00 pm
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Varian Medical VAR (news,
chart,
quote) - VAR puts active; shares near five year low
VAR, a supplier of equipment and software for treating cancer, is recently down $1.80 to $32.24 on concerns of decreasing hospital spending growth rates. VAR February option implied volatility of 59 is above its 26-week average of 50. VAR call option volume of 5,062 contracts compares to put volume of 8,324 contracts according to Track Data, suggesting traders are hedging downside risks with puts.
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posted by:Paul Foster on Jan 8, 2009, 12:59 pm
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Elan Corp ELN (news,
chart,
quote) - ELN calls active; shares up 11%
ELN is recently up 91c to $8.50. ELN January option implied volatility is at 140, above a level of 97 from January 5. ELN February option implied volatility of 121 is above its 26-week average of 98. ELN call option volume of 62,932 contracts compares to put volume of 19,445 contracts according to Track Data, suggesting traders are positioning for an upside move.
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posted by:Paul Foster on Jan 8, 2009, 11:35 am
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Eastman Chemical EMN (news,
chart,
quote) - EMN calls active on takeover chatter
EMN is recently up 71c to $32.87 on unconfirmed takeover chatter. EMN January and February option implied volatility of 59 is above its 26-week average of 55. EMN January 35 calls have traded 96 times on transaction volume of 2,249 contracts, above its open interest of 338 contracts according to Track Data, suggesting traders are positioning for an upside move.
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posted by:Paul Foster on Jan 8, 2009, 11:34 am
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Goodyear Tire GT (news,
chart,
quote) - GT volatility elevated at 102
GT is recently down 45c to $7.50. GT option volume was heavy on January 7 with 21,249 contracts trading. GT February option implied volatility of 102 is above its 26-week average of 88 according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 11:34 am
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Expedia EXPE (news,
chart,
quote) - EXPE calls active on renewed LBO chatter
EXPE is recently up 13c to $9.12 on renewed LBO chatter. EXPE January 10 calls have traded 89 times on transaction volume 2,980 contracts, near its open interest of 3,253 contracts. EXPE January 10 straddle is priced at $1.60, February 10 straddle is priced at $2.40. EXPE February option implied volatility of 78 is above its 26-week average of 65, according to Track Data, suggesting larger price movement.
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posted by:Paul Foster on Jan 8, 2009, 11:33 am
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Microsoft MSFT (news,
chart,
quote) - MSFT February volatility increases into events
MSFT is recently up 7c to $19.58. MSFT is expected to report Q2 EPS on January 22 and Windows 7 is expected out later this month. February option implied volatility of 54 is above a level of 46 from January 5, according to Track Data, suggesting larger price movement.
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