Options Intelligence Report
Written Commentary
As of: Friday May 25, 2012 at 2:15pm Bulls snap up Wal-Mart weeklies as shares extend gains Today’s tickers: WMT, GNOM & ZNGA WMT - Wal-Mart Stores, Inc. – Wal-Mart weeklies worked out well for some bullish traders this week. For example, buyers of the May 25 ‘12 $62.5 strike call on Monday paid an average premium of $0.64 apiece for options that are now worth more than four times that amount on their final day of trading ahead of expiration. Trading traffic in call options that expire next Friday suggests some traders anticipate this same strategy could pay off next week as well. The sharp rally in Wal-Mart’s shares since the New York Times published a report regarding a cover up of alleged bribery in the company’s Mexico operations indicates investors have largely shrugged off the news for now, with shares in the world’s largest retailer currently trading at their highest level in more than a decade. The stock has posted double-digit gains since mid May, and added another 0.65% today to touch an intraday high of $65.50. Bullish players positioning for further gains in WMT shares stepped in this morning and purchased more than 1,500 calls at the June 01 ’12 strike for an average premium of $0.69 apiece. Call buyers profit at expiration next week if shares in the retailer exceed the average breakeven price of $65.69. Wal-Mart’s annual shareholders’ meeting is scheduled to take place next Friday. GNOM - Complete Genomics, Inc. – Options on biomedical company, Complete Genomics, Inc., have been humming with activity this week as shares in the name move sharply higher. The stock soared 42.5% to an intraday high of $3.32 this morning, taking gains in GNOM up to 101% since Monday. Call open interest levels in Complete Genomics have been on the rise this week, and some traders appear to have landed overnight paper profits on bullish positions established in the front month options. The number of open positions in the June $2.5 strike call increased more than doubled overnight to 536 contracts from 199. A portion of the fresh interest was initiated by traders buying around 170 calls for an average premium of $0.20 apiece on Thursday. The bid price currently available on the calls is $0.65, indicating traders long the calls at $0.20 each could potentially sell them today to bank significant overnight profits. Shares in GNOM are currently up 24.5% on the day at $2.90 as of 12:55 p.m. ET, but are down roughly 85.0% since June of last year. ZNGA - Zynga, Inc. – Weekly call options on the social game developer attracted an influx of buyers this morning despite the impending end to the lockup period, and amid continued weakness in the shares following Facebook’s IPO. Zynga’s shares are down 3.5% today to stand at $6.56, having recovered somewhat off Monday’s fresh all-time low of $6.36. The June 01 ’12 $7.0 strike calls have changed hands more than 8,200 times, and it looks like most of the contracts were purchased for an average premium of $0.17 each. Call buyers could be positioning for shares in the name to rebound next week, in which case profits may be available, should shares rally more than 9.3% to trade above $7.17 at expiration. Alternatively, the long calls may be used to hedge short positions in the stock that make money if Zynga’s shares continue to pull back. Caitlin Duffy
Equity Options Analyst
Option Market Indicator
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Gainers/Losers
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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.
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30-day Implied Volatilities Gainers
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30-day Implied Volatilities Losers
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Implied vs. Historical Vols
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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.
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Lowest Implied/Historical Volatilities
Underlying Imp/Hist Imp Vol. Hist Vol. Last Price Price Change ARBA 0.17 7.60% 44.62% 45.08 
0.03
COP 0.19 22.51% 118.71% 52.14 
-0.01
HGSI 0.24 49.10% 201.03% 13.62 -0.02
CBE 0.26 18.29% 70.71% 71.53 -0.30
MDRX 0.30 47.67% 159.75% 10.93 0.06
PSS 0.34 7.37% 21.72% 21.32 0.01
GMCR 0.38 61.72% 162.90% 25.09 0.22
ARNA 0.46 104.01% 227.82% 6.04 -0.08
EXPR 0.49 39.00% 79.36% 18.25 0.47
VRTX 0.51 53.61% 105.93% 64.09 0.46
GILD 0.52 26.73% 50.99% 50.62 -0.24
MNST 0.53 38.75% 73.13% 72.95 -1.57
BIG 0.55 38.45% 69.53% 35.75 1.49
RVBD 0.58 61.26% 105.85% 15.52 0.96
EXPE 0.61 41.35% 68.24% 45.16 -0.38
DECK 0.61 43.67% 72.04% 56.12 2.05
TPX 0.61 54.59% 89.50% 47.10 1.82
AAP 0.65 30.65% 47.42% 72.93 0.43
DELL 0.65 34.35% 52.53% 12.45 0.00 WMT 0.67 16.10% 24.16% 65.07 0.21
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Highest Implied/Historical Volatilities
Underlying Imp/Hist Imp Vol. Hist Vol. Last Price Price Change VVUS 2.08 99.44% 47.73% 24.77 -0.21
PGN 1.87 27.32% 14.62% 54.58 -0.14
VIP 1.72 53.32% 31.00% 8.73 -1.45
HMA 1.70 57.21% 33.61% 6.60 -0.03
ELN 1.68 60.88% 36.16% 13.19 1.01
CIEN 1.66 76.40% 46.00% 11.95 -0.11
FNSR 1.61 68.44% 42.56% 14.35 0.22
RIMM 1.60 70.64% 44.05% 10.71 0.24
FMCN 1.55 82.90% 53.37% 21.46 -0.06
KR 1.53 23.81% 15.51% 22.15 0.23
JOY 1.51 56.26% 37.26% 59.74 0.25
ARIA 1.49 57.58% 38.59% 16.85 -0.15
CIE 1.47 83.60% 56.75% 22.02 -0.06
LVLT 1.47 54.91% 37.42% 22.47 -0.54
PNC 1.44 29.26% 20.30% 62.20 -0.17
USB 1.43 27.40% 19.19% 31.13 -0.27
LLY 1.42 16.72% 11.73% 41.16 -0.08
IDIX 1.42 111.58% 78.82% 10.08 -0.49
OMC 1.41 26.61% 18.80% 50.10 -0.36
LULU 1.41 55.47% 39.40% 72.67 -0.67
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Volatilities
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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.
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30-day Implied Volatilities
Underlying Imp Vol. Last Price Price Change IDIX 111.58% 10.08 -0.49
ARNA 104.01% 6.04 -0.08
VVUS 99.45% 24.77 -0.21
ZNGA 94.09% 6.80 -0.22
GRPN 92.14% 11.89 0.21
AMRN 91.80% 11.15 0.33
DNDN 90.48% 7.22 -0.10
FSLR 87.12% 14.22 0.13
CIE 83.60% 22.02 -0.05
FMCN 82.45% 21.46 -0.06
CIEN 76.26% 11.95 -0.11
ACI 75.32% 7.30 -0.02
LCC 75.13% 12.16 -0.01
MTL 74.93% 5.64 -0.07
ANR 74.74% 11.17 0.02
PCS 72.53% 6.44 0.07
CHK 71.91% 15.58 0.22
WPRT 71.86% 26.28 -0.90
FIO 71.63% 20.56 -0.72
P 70.99% 11.60 -0.15
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Volumes
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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.
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Top Twenty Options Volumes
Underlying Volume Last Price Price Change AAPL 467.6K 565.32 -4.30
QQQ 402.3K 62.15 -0.19
CHK 114.0K 15.58 0.22
BAC 111.6K 7.14 0.00 GOOG 107.0K 603.66 -13.64
KMI 91.1K 32.11 0.24
JPM 88.1K 33.97 -0.56
MSFT 70.2K 29.07 0.00 C 63.5K 26.66 -0.23
GE 63.0K 19.25 -0.09
RIMM 60.7K 10.71 0.24
HPQ 58.0K 21.77 0.42
T 52.3K 33.64 0.01
AMLN 45.9K 25.80 1.95
INTC 44.0K 25.65 0.02
AMZN 43.5K 215.24 -2.63
PAY 40.9K 45.00 -7.01
ZNGA 39.4K 6.80 -0.22
YHOO 38.4K 15.35 -0.03
FCX 38.3K 32.57 -0.12
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Top Twenty Options Volumes Gainers
Underlying Volume Gain Imp Vol. Last Price Price Change NFX 23.26% 44.61% 29.72 1.25
IDIX 18.10% 111.58% 10.08 -0.49
SFL 8.71% 35.08% 15.01 1.28
PAY 6.36% 46.32% 45.00 -7.00
SNI 5.27% 27.24% 53.65 0.80
MENT 5.02% 41.02% 15.21 -2.25
MRX 4.54% 32.84% 36.50 0.40
BID 4.06% 48.89% 31.16 -0.27
CMCSK 3.50% 23.49% 28.64 -0.09
VVUS 3.43% 99.44% 24.77 -0.21
NWL 3.28% 31.54% 18.39 0.50
CIE 3.27% 83.60% 22.02 -0.05
SPF 3.24% 60.26% 5.40 -0.05
SNE 2.85% 43.13% 13.76 -0.48
AVGO 2.83% 35.24% 32.51 0.59
AMLN 2.80% 55.15% 25.80 1.94
IVN 2.54% 69.96% 9.67 -0.44
ELN 2.40% 60.88% 13.19 1.01
ARBA 2.26% 7.60% 45.08 0.03
TER 2.11% 42.02% 14.76 0.04
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Put & Call Ratios
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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.
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Call/Put Volumes
Underlying Ratio Imp Vol. Last Price Price Change MWW 181.82 62.89% 8.68 -0.05
WSM 131.58 35.29% 35.91 0.03
SEE 131.58 33.45% 16.08 -0.13
GSK 129.87 17.38% 44.24 -0.01
AVGO 86.21 35.26% 32.51 0.58
CIE 71.94 83.60% 22.02 -0.06
MCHP 69.93 24.75% 30.86 -0.02
SID 62.50 39.86% 6.50 0.04
MPC 51.02 33.21% 35.80 1.03
TSM 43.48 27.59% 13.96 -0.03
IVN 40.16 70.17% 9.67 -0.44
CCE 31.55 26.92% 27.48 0.01
MRX 28.33 32.84% 36.50 0.39
CY 23.98 44.78% 13.14 0.09
KEY 23.87 34.40% 7.54 -0.06
MSI 20.83 26.75% 47.72 0.22
MAS 19.01 48.64% 12.69 -0.11
AMTD 19.01 28.97% 17.05 0.09
CVH 18.94 34.94% 29.98 0.61
NBR 18.80 53.94% 13.85 -0.07
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Put/Call Volumes
Underlying Ratio Imp Vol. Last Price Price Change CMCSK 23.84 23.49% 28.64 -0.09
CPB 13.59 13.43% 32.56 0.01
ITUB 12.92 40.86% 13.81 0.43
NFX 10.66 44.61% 29.72 1.23
BID 10.61 48.89% 31.16 -0.29
DPS 8.57 18.72% 40.76 0.30
DISH 8.35 37.31% 28.51 -0.31
MDRX 7.85 47.67% 10.93 0.06
STD 7.84 68.12% 5.67 -0.05
AMAT 7.23 28.92% 10.38 0.12
MCO 6.40 30.18% 37.25 0.04
CS 6.26 45.42% 20.13 -0.40
GPOR 5.42 59.31% 18.97 0.30
LYB 5.32 43.13% 38.97 0.46
CSX 5.02 29.72% 21.35 -0.02
HBC 4.84 29.42% 40.52 -0.37
STLD 4.78 45.39% 10.57 0.08
OMC 4.37 26.61% 50.10 -0.36
PSSI 4.29 33.72% 19.58 0.41
EXPD 4.22 27.46% 38.74 -0.27
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Put & Call Interests
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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.
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Call/Put Open Interest
Underlying Ratio Imp Vol. Last Price Price Change CPWR 29.67 36.11% 9.03 0.03
UNM 11.24 29.70% 20.19 -0.17
SNI 8.61 27.26% 53.65 0.79
HMA 8.34 57.21% 6.60 -0.03
NWL 7.79 31.54% 18.39 0.50
GGP 7.57 27.75% 16.98 -0.15
MENT 6.88 40.27% 15.21 -2.25
XRX 6.72 30.26% 6.94 0.10
CPB 6.12 13.33% 32.56 0.00 HNZ 5.08 15.54% 53.55 -0.18
AEM 4.83 44.56% 39.62 0.08
PSS 4.76 7.37% 21.32 0.01
NIHD 4.56 62.42% 10.94 0.18
LPX 4.51 53.62% 9.63 -0.10
PSX 4.51 31.23% 31.13 0.03
KEG 4.28 54.27% 10.07 0.06
WFT 4.14 48.89% 12.76 0.13
PMCS 4.09 42.10% 6.33 0.07
BX 3.99 42.97% 12.01 0.20
GFI 3.88 36.02% 13.15 0.10
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Put/Call Open Interest
Underlying Ratio Imp Vol. Last Price Price Change HRB 4.24 33.26% 14.99 0.21
NRG 4.18 35.37% 15.69 -0.05
SLM 3.51 32.24% 13.56 0.02
GGB 3.15 45.77% 7.91 0.13
CTRP 3.06 47.81% 18.54 -0.14
TWO 2.99 16.89% 10.25 0.01
PGN 2.85 27.32% 54.58 -0.14
PBI 2.74 36.42% 13.82 0.12
ITUB 2.35 40.86% 13.81 0.43
DF 2.27 32.10% 15.07 -0.10
BIG 2.26 38.42% 35.75 1.50
HMSY 2.23 28.49% 26.26 0.05
GCI 2.10 36.46% 13.10 -0.11
TJX 2.08 25.49% 40.90 -0.07
SNY 2.03 24.99% 34.23 0.04
NDAQ 1.99 36.07% 21.80 0.20
SMTC 1.97 35.05% 23.70 0.40
CMI 1.96 36.48% 100.26 -1.47
HBAN 1.95 34.16% 6.49 -0.03
PSSI 1.95 33.72% 19.58 0.41
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Table Definition
Options Brief
The IB Options Brief 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.
