Options Intelligence Report

As of: Thu, 2 Jul 2009 03:57 PM EDT

As of: Thursday July 2, 2009 1:00 pm EST

Bullish Motorola play in options action

Today’s tickers: MOT, AXP, JOSB & ILMN

MOT – Motorola, Inc. – A large-volume bullish reversal initiated in the October contract on MOT today suggests some investors are positioning for a rally. Currently shares are off by more than 3% to stand to $6.25. Perhaps traders are anticipating that Motorola’s new lineup of phones, based on Google’s Android operating system, will boost sales for the firm. It appears that approximately 15,000 puts were sold at the October 5.0 strike price for 14 cents apiece in order to partially fund the purchase of 15,000 calls at the October 7.0 strike for 34 cents per contract. The net cost of the bullish stance amounts to 20 cents. Thus, shares of MOT would need to rev upward by 15% from the current price to $7.20 in order for investors to profit by expiration. Interestingly, it appears that today’s reversal has been added to similar bullish positioning as seen in the open interest at each of the strike prices described. Today’s activity could be the work of an investor who is merely adding to a position. Or, perhaps we are seeing traders hopping on the bull-bandwagon.

AXP – American Express Company – The global payments and travel company edged onto our ‘most active by options volume’ market scanner after one bearish trader dug his claws into the August contract. AXP shares are down 1% to $22.75. It appears that the investor has sold 5,000 puts at the deep in-the-money July 25 strike price for 2.54 apiece in order to get long of 7,500 puts at the closer-to-the-money August 23 strike price for 2.03 each. The trader likely took profits on the sale of the near-term put options and proceeded to reestablish a position in protective put options at a lower strike with more time to expiration.

JOSB – Jos. A. Bank Clothiers, Inc. – The designer of men’s clothing and accessories has surrendered more than 6.5% to stand at $32.44 today. Traders expecting further declines initiated interesting trades involving put options. It appears that about 3,000 puts were sold short at the deep in-the-money July 35 strike price for a premium of 2.19 apiece and spread against the purchase of some 3,000 puts at the more bearish August 30 strike price for 1.39 per contract. The net credit received from the transaction amounts to 80 cents. Writing puts in the near-term July contract leaves traders exposed to having shares of the underlying put to them at expiration at an effective price of $34.20. Perhaps the investors are willing to have shares put to them at such a high price because they expect the value of the long put position in the August contract to more than offset the difference in the price paid for the shares and the current market price of the stock. The value of the long-puts will grow if shares fall beneath the strike price of $30.00 by expiration in August.

ILMN – Illumina Inc. – The biotechnology firm engaged in the development of tools used for large-scale analysis of genetic variation and function has plummeted about 11.5% to $33.76. Shares were nearly 18% lower in pre-market trading after the company reported that its second-quarter revenue of $161 million failed to meet initial estimates of $168-$173 million. Option traders took advantage of the bearish decline by selling about 3,000 calls at the near-term July 35 strike for an average premium of 46 cents apiece. The full premium enjoyed by call-writers will be fully retained as long as the July 35 calls remain out-of-the-money by expiration in a few weeks.

• Gainers/Losers

  • Top Twenty Volatility Gainers and Losers

    The percent trading day's 30-day Implied Volatility is divided by the prior trading day's 30-day Implied Volatility to determine the change in volatility for the day and the top 20 gainers and losers are posted. Gainers are those symbols which the options markets believe will have the greatest up or down price movement in the future as compared to the past, and losers are those symbols which the options markets believe had a large up and down price movement and will stabilize in the future. Implied volatility, closing price, and change in price from the prior day are also displayed.

    • 30-day Implied Volatilities Gainers

      Underlying	Gain In Vol.	Imp Vol.	Last Price	Price Change
      SAI	45.13%	28.61%	18.53	-0.42
      FTR	17.90%	35.02%	7.15	-0.16
      STD	16.63%	44.70%	12.25	-0.40
      XOM	14.41%	28.02%	70.56	-1.68
      MTB	13.65%	56.29%	51.16	2.30
      GNW	13.55%	91.83%	6.84	-0.53
      EWJ	12.20%	23.65%	9.54	-0.24
      DTV	11.71%	30.00%	24.62	-0.54
      TNE	11.60%	46.23%	15.34	-0.36
      JNJ	10.98%	19.37%	57.07	-0.91
      UPS	10.67%	33.48%	50.85	-2.05
      AYE	10.59%	33.72%	26.22	-1.15
      TTM	10.58%	70.07%	8.85	-0.27
      CNP	10.16%	30.69%	11.20	-0.20
      T	10.00%	24.86%	25.07	-0.40
      SLE	9.92%	37.18%	9.96	-0.36
      HNT	9.79%	69.58%	15.71	-0.89
      HES	9.75%	54.02%	53.11	-3.69
      WFC	9.74%	62.85%	24.14	-0.68
      HMY	9.71%	56.26%	10.35	-0.70

    • 30-day Implied Volatilities Losers

      Underlying	Loss In Vol.	Imp Vol.	Last Price	Price Change
      NRG	-14.36%	46.73%	26.05	-1.41
      MSM	-12.48%	33.81%	36.27	0.06
      ELN	-9.79%	77.15%	7.00	0.66
      VR	-9.72%	38.19%	22.35	0.27
      EGO	-4.45%	60.61%	9.17	0.05
      MWV	-4.16%	48.24%	16.49	-0.30
      MYGN	-3.99%	49.62%	26.02	-0.01
      WIN	-3.31%	27.18%	8.47	-0.14
      LM	-3.22%	58.59%	24.59	-0.56
      MFC	-3.14%	52.39%	17.77	-0.66
      PBG	-2.94%	26.40%	34.00	0.06
      NAV	-2.55%	54.27%	42.52	-3.01
      SD	-2.42%	71.94%	8.61	-0.29
      IDTI	-2.38%	46.40%	6.24	-0.05
      VMC	-2.20%	49.77%	42.83	0.25
      AUO	-2.12%	50.02%	10.04	-0.05
      LDK	-2.11%	96.60%	11.25	-0.32
      MTL	-2.08%	97.87%	8.53	-0.18
      PCS	-1.78%	55.15%	12.63	-0.55
      PBCT	-1.61%	30.15%	15.25	-0.06

• Implied vs. Historical Vols

  • Implied vs. Historical Volatilities

    The 30-day Implied Volatility is divided by the 30-day historical volatility. This ratio highlights those symbols in which the market prediction of future volatility is much different from the volatility in the market over the last 30 days. The formula for historical volatility as defined by Garman-Klass. The top twenty symbols with the highest ratios as well as the top twenty symbols with the lowest ratios are displayed.

    Implied volatility, historical volatility, closing price, and change in price from the prior day are also displayed.

    • Lowest Implied/Historical Volatilities

      Underlying	Imp/Hist	Imp Vol.	Hist Vol.	Last Price	Price Change
      EXPE	0.37	60.02%	161.84%	15.55	-0.49
      NTES	0.58	49.97%	86.83%	34.63	-0.99
      JCG	0.65	55.51%	85.83%	26.48	-1.33
      ADI	0.65	36.32%	55.86%	24.86	-0.16
      PDCO	0.69	31.84%	46.39%	21.99	-0.31
      DTV	0.74	30.00%	40.72%	24.62	-0.54
      BCS	0.76	55.56%	73.50%	19.16	-0.45
      PAYX	0.78	27.62%	35.50%	25.59	-0.74
      ORCL	0.78	28.54%	36.37%	21.74	-0.64
      CAH	0.79	34.26%	43.39%	30.65	-0.74
      PETM	0.79	36.73%	46.43%	21.73	-0.44
      BBBY	0.80	37.29%	46.75%	30.76	-1.01
      GME	0.80	50.70%	63.48%	22.46	-1.48
      SNPS	0.80	28.92%	36.15%	19.66	-0.56
      PMCS	0.80	44.94%	56.12%	8.19	-0.27
      YGE	0.80	82.99%	103.58%	14.16	-0.51
      STX	0.80	48.56%	60.55%	10.60	-0.30
      KMX	0.81	55.99%	69.40%	14.71	-0.80
      PALM	0.81	72.53%	89.64%	16.34	-0.56
      HTZ	0.81	79.61%	97.99%	8.44	-0.36

    • Highest Implied/Historical Volatilities

      Underlying	Imp/Hist	Imp Vol.	Hist Vol.	Last Price	Price Change
      GOOG	1.66	37.07%	22.35%	418.99	-9.38
      WYE	1.65	22.61%	13.70%	45.37	-0.38
      WFC	1.47	62.85%	42.64%	24.14	-0.67
      MFE	1.39	36.84%	26.43%	41.71	-0.69
      SLE	1.39	37.18%	26.78%	9.96	-0.36
      MAT	1.38	43.58%	31.54%	16.36	-0.67
      SEPR	1.38	52.77%	38.27%	17.89	-3.24
      LUV	1.37	48.72%	35.45%	6.80	-0.30
      HNT	1.37	69.59%	50.70%	15.71	-0.89
      QSFT	1.37	34.73%	25.30%	13.79	0.31
      GS	1.36	40.80%	30.07%	147.32	-3.00
      AMLN	1.35	73.75%	54.51%	13.42	-0.52
      ENDP	1.34	44.40%	33.24%	17.82	0.16
      DF	1.33	33.45%	25.21%	19.69	-0.15
      PBG	1.32	26.40%	19.99%	34.00	0.06
      IBM	1.32	28.05%	21.29%	104.84	-2.47
      JPM	1.31	49.46%	37.67%	33.77	-1.02
      ZMH	1.31	34.80%	26.49%	41.87	-1.39
      APH	1.30	44.65%	34.24%	32.35	-0.29
      FAST	1.30	47.91%	36.92%	32.96	-0.93

• Volatilities

  • Top Twenty 30-day (V30) Implied Volatilities

    Implied volatility is the options market's prediction of how volatile a given underlying will be in the future. Implied volatility is calculated by inputting all known information into an options pricing model (i.e. option price, interest rates, dividends, strike price, and expiry date) and backing out the implied volatility.

    Twenty symbols with the highest implied volatilities are ranked in descending order and displayed on an annualized basis. Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options. Interest rates are calculated using the settlement prices from the day's Eurodollar futures contracts, and dividends are based on historical payouts.

    The IB 30-day volatility (V30) is the at market volatility estimated for a maturity thirty calendar days forward of the current trading day. It is based on option prices from two consecutive expiration months. The first expiration month is that which has at least eight calendar days to run. The implied volatility is estimated for the eight options on the four closest to market strikes in each expiry. The implied volatilities are fit to a parabola as a function of the strike price for each expiry. The at-the-market implied volatility for an expiry is then taken to be the value of the fit parabola at the expected future price for the expiry. A linear interpolation (or extrapolation, as required) of the 30-day variance based on the squares of the at market volatilities is performed. V30 is then the square root of the estimated variance. If there is no first expiration month with less than sixty calendar days to run we do not calculate a V30.

    Closing price, and change in price from the prior day are also displayed.

    • 30-day Implied Volatilities

      Underlying	Imp Vol.	Last Price	Price Change
      MTL	97.87%	8.53	-0.17
      LDK	96.60%	11.25	-0.33
      IVN	96.36%	6.88	0.05
      GNW	91.83%	6.84	-0.53
      LVS	89.20%	7.70	-0.35
      TRW	88.44%	12.00	-0.31
      CAL	85.47%	9.22	0.48
      DRYS	84.96%	5.68	-0.25
      YGE	82.99%	14.16	-0.51
      HIG	82.82%	11.97	-0.70
      XCO	82.48%	12.58	-0.58
      MGM	82.37%	6.25	-0.29
      DAL	80.63%	5.85	0.04
      HTZ	79.61%	8.44	-0.37
      CBG	79.59%	8.93	-0.21
      RRI	79.21%	5.07	-0.07
      SLM	78.96%	9.92	-0.36
      STEC	78.86%	25.49	-1.27
      KEY	78.63%	5.16	-0.08
      AKS	78.56%	19.04	-0.80

• Volumes

  • Top Twenty Options Volumes and Volumes Gainers

    Options volumes for the day are displayed for the top twenty symbols with the highest volumes.

    The trading day's options volumes are divided by the previous ten trading day's options volumes average and the top twenty gainers are posted by symbol.

    Closing price, and change in price from the prior day are also displayed.

    • Top Twenty Options Volumes

      Underlying	Volume	Last Price	Price Change
      PBR	1.6M	40.48	-1.54
      QQQQ	609.2K	36.40	-0.73
      BAC	190.3K	13.05	-0.33
      MSFT	188.5K	24.04	-0.56
      POT	125.5K	90.90	4.72
      GE	112.4K	11.78	-0.25
      AAPL	92.2K	142.83	-2.43
      JPM	84.5K	33.77	-1.01
      AA	68.5K	10.35	-0.47
      WFC	68.4K	24.14	-0.67
      ELN	68.2K	7.00	0.67
      RIMM	63.7K	69.96	-0.01
      MS	62.0K	28.36	-1.16
      INTC	53.6K	17.04	-0.29
      XOM	52.8K	70.56	-1.67
      GS	50.1K	147.32	-2.96
      F	48.0K	5.91	0.03
      MOT	47.6K	6.46	-0.19
      AMZN	42.4K	81.60	-2.04
      FCX	41.6K	50.57	-1.10

    • Top Twenty Options Volumes Gainers

      Underlying	Volume Gain	Imp Vol.	Last Price	Price Change
      PBR	43.14%	48.69%	40.48	-1.54
      SAI	35.11%	28.61%	18.53	-0.42
      SEPR	18.46%	52.72%	17.89	-3.23
      INFY	18.24%	46.93%	37.33	-1.21
      ILMN	17.01%	43.56%	38.14	-4.58
      LEAP	12.60%	57.13%	30.55	-1.35
      ELN	7.60%	77.12%	7.00	0.65
      HOT	6.21%	59.42%	21.31	-0.28
      DOX	5.86%	34.11%	21.41	-0.59
      VTR	5.79%	46.00%	30.38	-1.77
      IBN	5.64%	59.45%	30.73	-1.14
      SNPS	4.46%	28.91%	19.66	-0.56
      GIS	4.26%	20.05%	58.18	0.34
      AMAT	3.84%	44.40%	11.13	0.04
      FRX	3.81%	35.97%	25.23	-0.89
      TAP	3.72%	28.73%	43.52	-0.14
      AU	3.65%	54.10%	37.55	-1.45
      KIM	3.64%	61.70%	10.20	-0.74
      FDO	3.56%	43.00%	28.19	-0.12
      SYY	3.39%	27.29%	22.60	-0.72

• Put & Call Ratios

  • Top Twenty Put/Call Volumes and Call/Put Ratio Volumes

    Put option volumes are divided by call option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the put/call ratio, the HIGHER the value, the more negative the sentiment since it would indicate more puts traded than calls. A ratio of less than one indicates more call volume than put volume.

    Call option volumes are divided by put option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the call/put ratio, the HIGHER the value, the more positive the sentiment since it would indicate fewer puts trading than calls. A ratio of less than one indicates more put volume than call volume.

    Closing price, and change in price from the prior day are also displayed.

    • Call/Put Volumes

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      CNP	126.58	30.69%	11.20	-0.20
      TER	107.53	56.12%	7.03	-0.23
      BVF	68.49	51.89%	13.74	-0.51
      PBR	49.26	48.69%	40.48	-1.54
      KG	31.06	55.51%	9.82	-0.30
      CMCSK	23.53	41.46%	13.98	-0.42
      PBG	19.88	26.42%	34.00	0.06
      IVN	16.00	96.36%	6.88	0.05
      FST	15.53	65.01%	15.01	-0.77
      CA	14.90	33.46%	17.49	-0.63
      RRD	14.20	53.91%	11.71	-0.38
      OI	12.67	53.34%	28.96	-1.05
      MIR	11.76	48.48%	16.31	-0.44
      SWKS	10.73	54.34%	10.04	0.08
      ADTN	10.47	42.96%	22.39	0.64
      MHP	10.40	44.04%	30.63	-1.08
      EWT	9.46	34.10%	10.32	-0.07
      SH	9.31	24.19%	65.42	1.58
      EBAY	9.23	40.62%	16.78	-0.43
      LEAP	9.19	57.15%	30.55	-1.36

    • Put/Call Volumes

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      BAM	145.00	44.16%	16.94	-0.28
      STD	43.20	44.70%	12.25	-0.40
      BBD	41.88	47.56%	14.97	-0.41
      FTI	35.68	48.69%	37.98	-1.01
      L	24.42	33.15%	27.42	-1.14
      HST	22.96	64.51%	8.18	-0.44
      DOX	19.04	33.92%	21.41	-0.60
      HAR	18.47	60.66%	18.97	-0.78
      VTR	14.70	46.00%	30.38	-1.79
      HLX	13.91	71.47%	10.97	-0.71
      JBL	12.50	53.91%	7.67	-0.44
      SAI	11.57	28.61%	18.53	-0.41
      MAS	11.34	57.78%	9.38	-0.20
      CNI	10.45	38.29%	43.18	-1.36
      MFC	9.40	52.39%	17.77	-0.66
      FHN	8.56	56.67%	11.79	-0.37
      SNPS	7.65	28.92%	19.66	-0.56
      SO	7.38	22.89%	31.52	-0.34
      HNT	7.27	69.59%	15.71	-0.87
      PEG	6.67	28.21%	33.08	-0.85

• Put & Call Interests

  • Top Twenty Put/Call Open Interest and Call/Put Open Interest

    Put option open interest is divided by call option open interest, and displayed for the top twenty symbols with the highest ratios. This ratio may indicate negative sentiment in the options market.

    Call option open interest is divided by put option open interest, and are displayed for the top twenty symbols with the highest ratios. This ratio may indicate positive sentiment in the options market.

    Open Interest ratios reflect a longer time period than Put/Call and Call/Put daily volume ratios and therefore tend to be less volatile.

    Closing price, and change in price from the prior day are also displayed.

    • Call/Put Open Interest

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      SPN	8.64	56.04%	17.23	-0.40
      FTR	7.10	35.08%	7.15	-0.16
      KG	6.82	55.51%	9.82	-0.30
      RHT	5.80	42.04%	20.63	-0.29
      MSM	5.79	33.81%	36.27	0.06
      SH	5.72	24.19%	65.42	1.58
      SLE	5.64	37.18%	9.96	-0.36
      VIA B	4.92	49.83%	22.83	-1.31
      PCS	4.78	55.05%	12.63	-0.56
      HK	4.32	55.40%	21.82	-1.02
      PBCT	4.24	30.15%	15.25	-0.06
      HUN	4.15	72.39%	5.28	0.04
      GNW	4.07	91.83%	6.84	-0.53
      MDRX	4.03	54.78%	16.03	-0.40
      SYY	3.92	27.29%	22.60	-0.72
      EXC	3.76	32.56%	51.56	-2.25
      QSFT	3.70	34.73%	13.79	0.30
      HPT	3.61	51.67%	12.33	-0.45
      WIN	3.61	27.18%	8.47	-0.14
      PGN	3.56	23.15%	38.28	-0.69

    • Put/Call Open Interest

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      PMCS	7.18	44.94%	8.19	-0.26
      VR	5.83	38.18%	22.35	0.24
      SBAC	5.59	42.81%	24.41	-0.65
      LBTYA	4.77	55.83%	15.99	-0.53
      ATHR	3.62	41.86%	19.46	0.01
      OMC	3.51	34.80%	32.28	-0.89
      STD	2.60	44.70%	12.25	-0.40
      JWN	2.56	59.01%	20.06	-1.23
      CNW	2.49	55.74%	36.33	-1.18
      MFC	2.35	52.39%	17.77	-0.65
      TLAB	2.32	41.61%	5.83	-0.22
      ASML	2.32	45.12%	22.27	-0.30
      JCI	2.31	51.74%	22.75	-1.84
      CYH	2.31	55.16%	25.64	-0.62
      FIS	2.21	25.76%	20.35	-0.25
      VTR	2.21	46.00%	30.38	-1.83
      NRG	2.17	46.78%	26.05	-1.38
      MCO	2.17	48.91%	26.92	-0.81
      BWA	2.14	52.04%	34.40	-1.34
      EQR	2.11	49.80%	22.33	-1.21

The IB Options Intelligence Report presents vital market information that is extremely useful to serious traders based on Interactive Brokers Group's experience of professionally trading the markets for nearly three decades. Option pricing data has built-in information that provides the option markets' consensus outlook for future activity in the markets. These leading indicators can provide a guide to traders and investors before news is widely disseminated to the public at large or reflected in underlying prices.

The most important of these indicators, implied volatility, represents the markets' view of uncertainty associated with future price movements. When the current implied volatility is compared to the prior day's implied volatility, a large increase can foretell unexpected news developments and provide an opportunity to adjust positions accordingly. This gain indicates that option market participants anticipate greater price movement than in the past, possibly because of information that is not yet readily available. Conversely a large decrease in implied volatility indicates the expectation of subsiding price movements, possibly because all recent news has been reflected in current underlying prices. Large premium or discount of implied volatility to historical volatility over the past 30 days is frequently not justified and may represent significant trading opportunities. Other options market data presented in our report such as volumes, and call/put ratios also plays a role in understanding sentiment in the markets.

For the purpose of the tables, those symbols with less than a $5 stock price, and less than 200 options contracts traded, and whose company has less than $1 billion in capital are screened out to eliminate symbols whose information may be more indicative of lack of liquidity in the markets. All tables are posted every trading day on the hour from 12:00 to 16:00 ET under normal circumstances. To view volatility and volume as well as other market summary statistics in real-time within our premier direct access trading platform, Trader Workstation, you must have an account with Interactive Brokers.