Options Intelligence Report

As of: Fri, 20 Nov 2009 03:57 PM EST

As of: Friday November 20, 2009 3:15 pm EST

Investor plants WFC short straddle - set to bloom in April 2010

Today’s tickers: WFC, IYT, RYL, YHOO, XLE, MU, ADCT, KBH, DELL, NE & GPS

WFC - Wells Fargo & Co. – Shares of the financial holding company surrendered 1.5% today to stand at $27.88. One investor initiated a sold straddle on WFC in the April 2010 contract. The trader sold 10,000 calls at the April 32 strike for 1.59 apiece in conjunction with the sale of 10,000 now in-the-money puts at the same strike for 5.81 each. The gross premium on the transaction amounts to 7.40 per contract. The investor will retain the full premium if shares settle at $32.00 by expiration. The premium received acts as a buffer against losses in the event that shares swing in either direction away from the $32.00-level. However, the trader will accumulate losses if shares breach the upper breakeven price of $39.40, or if shares decline beneath the lower breakeven point at $24.60, by expiration in April.

IYT - iShares Dow Jones Transportation Average Index ETF – The exchange-traded fund, which measures the performance of the transportation sector of the U.S. equity market, appeared on our ‘hot by options volume’ market scanner this afternoon after one investor initiated a bearish put play. Shares of the fund moved 0.5% lower to $70.53 during the session. The trader established a put spread by purchasing 5,000 puts at the December 70 strike for 1.80 each, and by selling the same number of puts at the lower December 65 strike for 40 cents apiece. The net cost of the trade amounts to 1.40 per contract and provides downside protection beneath the breakeven price of $68.60 down to $65.00 through December’s expiration.

RYL - The Ryland Group, Inc. – Shares of homebuilder and mortgage-finance company, Ryland Group, declined nearly 4% this afternoon to stand at $18.86. Investors exchanging options on the stock today spread pessimistic sentiment through to expiration December. Traders sold 10,000 calls at the December 19 strike for an average premium of 1.10 apiece. The full 1.10 premium pocketed by investors is retained in full as long as shares of RYL remain below $19.00 through expiration day. Call-sellers do not seem to expect that shares of Ryland will recover before the start of 2010.

YHOO - Yahoo!, Inc. – We observed two different option strategies in play on Yahoo this afternoon. A large-volume sold strangle in the January 2011 contract suggests shares are likely to remain stagnant through expiration. The transaction involved the sale of 20,000 puts at the January 12.5 strike for 1.10 each, and the sale of 20,000 calls at the higher January 17.5 strike for 1.65 apiece. The investor responsible for ‘strangling’ Yahoo retains the gross premium of 2.75 per contract if shares stay within the confines of the two strike prices described through expiration. Perhaps the trade was inspired by Goldman Sachs’ earlier recommendation of selling “covered strangles” in the January 2011 contract. Approximately 30 minutes before the strangle took place, a large credit spread was initiated in the same January 2011 contract. It looks like 24,000 calls were sold at the January 20 strike for 97 cents, spread against the purchase of the same number of calls at the higher January 30 strike for 10 cents each. The trader pockets a net credit of 87 cents on the spread, which is safe in the bank as long as shares of YHOO remain beneath $20.00. The investor responsible for the trade is exposed to large losses should Yahoo’s shares double by expiration. The 87 cent reward on the trade pales in comparison to the massive loss potential of 9.13 per contract that the investor faces if the stock jumps to $30.00 by expiration.

XLE - Energy Select Sector SPDR – The exchange-traded fund, which mirrors the performance of the Energy Select Sector of the S&P 500 Index, popped up on our ‘most active by options volume’ market scanner after a butterfly spread unfurled its wings in the December contract. Shares of the XLE are off 1.5% to stand at the current price of $56.30. The spread indicates one bearish investor expects shares of the fund to gravitate lower by expiration next month. The trader established the pessimistic play by purchasing 5,300 in-the-money puts at the December 57 strike for a premium of 2.47 apiece [wing 1] and by picked up another 5,300 puts at the lower December 51 strike for 66 cents premium each [wing 2]. Finally, the trader sold 10,600 puts at the central December 54 strike for a premium of 1.27 apiece [body].The net cost of the transaction amounts to 59 cents per contract and yields maximum potential profits of 2.41 each if shares settle at $54.00 by expiration. Profits begin to amass if shares slip beneath the breakeven point at $56.41.

MU - Micron Technology, Inc. – Options activity on the manufacturer of semiconductor devices suggests shares may recover slightly by expiration in December. Micron’s share price suffered significant declines throughout the latter portion of the trading week, and continued lower today by 1.25% to $7.03. Bank of America’s downgrade of the sector was largely responsible for a more than 4% slide on Thursday. A ratio bullish risk reversal by one investor offers a glimmer of optimism on the stock. It appears the trader sold 10,000 puts at the December 7.0 strike for 45 cents premium in order to offset the cost of buying 20,000 calls at the higher December 8.0 strike for 15 pennies apiece. The investor pockets a net credit of 15 cents per contract, which he retains in full as long as shares remain higher than $7.00 through expiration. Additional profits are available in the event that the stock rallies 14% from the current price to surpass the breakeven point at $8.00.

ADCT - ADC Telecommunications Inc. – Shares of the telecommunications equipment manufacturer fell 15% this morning to $5.66 and was downgraded to ‘accumulate’ from ‘buy’ at Craig Hallum. ADCT’s shares slipped after the firm forecast first-quarter revenue of $250-$275 million and stated client spending is likely to decline. Despite the gloomy reports, option traders initiated bullish stances on the stock. It appears some 3,100 in-the-money calls were purchased for an average premium of 90 cents apiece at the December 5.0 strike. Shares of ADCT must increase above the breakeven point at $5.90 by expiration in order for call-buyers to accrue profits on the trade.

KBH - KB Home – Perhaps a little nervous about how the remainder of the trading session might unfold, one option trader banked profits today by closing out a previously established short put position on the homebuilding company. Shares of KB Home are currently down 3.5% to $14.10. The investor originally sold 15,200 puts short at the November 14 strike for a premium of 50 cents per contract back on October 9, 2009. Today the trader reeled in net profits of 35 cents apiece – for total gains of $532,000 – by buying back the puts for just 15 cents. Next, it appears like the same trader employed a similar strategy in the December contract. Approximately 14,000 puts were sold short today at the December 14 strike for an average premium of 90 cents apiece. The investor keeps the full premium if shares remain above $14.00 through expiration next month. The trader may also decide to close out the short position ahead of expiration as was the case with the November contract transaction. The December contract breakeven stands at $13.90 on account of today’s premium of 90 cents. Below that point the investor will bear rising losses should shares fall further.

DELL - Dell, Inc. – The just-in-time manufacturer of personal computers revealed weaker-than-expected third-quarter earnings of 23 cents per share after the closing bell on Thursday. Shares plummeted more than 9% this morning to $14.41 – the lowest level experienced during the month of November. Investors traded more than 83,000 contracts on the stock by 10:20 am (EDT). Dell’s option implied volatility retreated 12.5% after earnings to stand at 35%.

NE - Noble Corp. – The offshore drilling contractor’s shares slipped 5.5% lower to $39.34 as of 10:25 am (EDT). Option traders initiated fresh put positions in the November contract even though the options expire today. Investors exchanged more than 1.5 put options for each call option in play on the stock. The demand for puts on Noble boosted option implied volatility up 8.5% to an intraday high of 43.98%. Approximately 11,800 option contracts were traded on NE in the first hour of the trading day.

GPS - The Gap, Inc. – Shares of the clothing retailer are up nearly 0.5% this morning to $21.93 after the firm posted better-than-expected third-quarter profits of 44 cents per share. Option trades exchanged more than 8,200 option contracts on the stock within the first 40 minutes of the trading session. Option implied volatility contracted 14.26% to $36.26% following the earnings report.

• 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
      COMS	41.09%	7.43%	7.44	0.03
      CLWR	24.69%	71.74%	5.72	-0.04
      PCS	16.71%	85.25%	6.12	0.42
      PDCO	12.42%	30.78%	26.21	-0.35
      MJN	11.40%	39.24%	43.75	0.72
      CPB	9.47%	21.61%	34.05	0.08
      BRCD	8.17%	71.74%	8.04	-0.03
      SLW	7.93%	60.96%	15.87	-0.30
      RX	7.78%	16.21%	21.38	0.09
      BKS	7.67%	64.02%	22.31	-0.06
      DKS	6.79%	41.70%	22.52	-0.96
      AES	6.62%	44.92%	12.85	-0.21
      AMKR	6.21%	61.40%	5.86	-0.10
      JDSU	6.15%	50.13%	7.39	-0.12
      BNI	5.14%	8.32%	98.08	0.06
      NUAN	5.06%	54.13%	13.58	0.17
      F	4.96%	46.85%	8.73	-0.10
      KEP	4.93%	32.29%	14.12	-0.06
      NE	4.49%	42.32%	41.70	-1.76
      DO	4.41%	34.29%	100.20	-2.62

    • 30-day Implied Volatilities Losers

      Underlying	Loss In Vol.	Imp Vol.	Last Price	Price Change
      TRA	-44.34%	13.53%	38.10	1.91
      INTU	-26.99%	21.38%	30.27	-0.56
      GPS	-21.88%	33.03%	21.86	0.12
      PVX	-21.34%	46.18%	6.36	-0.17
      DBRN	-20.92%	42.58%	20.52	1.12
      SJM	-20.55%	21.24%	53.48	2.93
      FL	-20.02%	44.73%	10.59	-0.23
      CDNS	-17.33%	44.18%	6.02	0.10
      DELL	-14.51%	34.29%	15.87	-1.57
      EWJ	-13.50%	22.07%	9.24	0.09
      LINTA	-13.12%	36.43%	10.74	-0.12
      LYG	-13.01%	53.66%	5.99	-0.16
      GTE	-11.40%	47.18%	5.72	-0.11
      AMT	-11.30%	24.59%	40.42	0.24
      PGR	-11.06%	27.27%	16.78	0.08
      CF	-10.95%	49.27%	82.87	-0.31
      MR	-10.86%	37.99%	29.04	-0.21
      HMA	-10.76%	58.04%	6.30	0.02
      AEE	-9.59%	17.87%	25.35	-0.09
      GENZ	-9.52%	31.80%	49.63	0.54

• 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
      COMS	0.08	7.43%	89.71%	7.44	0.03
      BNI	0.11	8.32%	76.52%	98.08	0.04
      RX	0.23	16.14%	70.02%	21.38	0.09
      TRA	0.28	13.53%	48.72%	38.10	1.92
      CVS	0.36	27.96%	76.64%	31.08	0.61
      HGSI	0.54	58.23%	107.66%	27.22	0.27
      BIDU	0.55	37.08%	67.07%	428.01	-1.08
      AMZN	0.60	36.24%	59.99%	128.99	0.90
      PCLN	0.61	37.84%	62.01%	207.64	1.13
      MSFT	0.65	22.72%	35.21%	29.78	-0.12
      SGMS	0.65	46.91%	72.04%	15.01	-0.34
      ORLY	0.66	27.42%	41.70%	38.97	-0.08
      PLCM	0.69	39.94%	57.86%	22.22	-0.02
      EL	0.70	29.96%	43.05%	47.61	0.24
      GT	0.70	52.48%	75.42%	14.45	-0.35
      AMD	0.72	62.02%	86.66%	7.05	-0.11
      AOC	0.72	22.75%	31.46%	39.07	-0.03
      PETM	0.73	30.19%	41.56%	25.86	-0.21
      BSX	0.73	36.38%	49.78%	8.21	-0.12
      NOK	0.74	33.91%	45.54%	13.61	-0.28

    • Highest Implied/Historical Volatilities

      Underlying	Imp/Hist	Imp Vol.	Hist Vol.	Last Price	Price Change
      NUAN	1.78	54.13%	30.38%	13.58	0.17
      KG	1.63	50.85%	31.16%	11.76	0.05
      BIG	1.62	44.15%	27.18%	24.72	-0.57
      RIMM	1.54	58.45%	38.04%	58.84	0.88
      CEPH	1.53	35.07%	22.84%	59.71	-0.02
      KR	1.50	29.94%	20.00%	22.82	0.05
      ING	1.49	96.61%	64.93%	14.35	-0.54
      PALM	1.47	87.99%	59.85%	11.63	0.11
      CIEN	1.45	71.64%	49.40%	13.47	-0.31
      HRB	1.43	34.80%	24.34%	20.40	-0.01
      PCS	1.42	85.25%	59.86%	6.12	0.41
      TIF	1.41	43.48%	30.81%	41.17	0.14
      CPB	1.40	21.61%	15.43%	34.05	0.08
      KMX	1.38	47.70%	34.61%	20.16	-0.09
      ARRS	1.38	48.62%	35.27%	10.31	-0.26
      HNZ	1.36	21.19%	15.56%	42.01	0.23
      MDT	1.35	31.67%	23.41%	39.61	-0.01
      GIS	1.35	19.40%	14.35%	67.51	0.48
      BKS	1.35	64.02%	47.37%	22.31	-0.05
      NKE	1.34	31.23%	23.24%	63.56	0.34

• 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
      AIB	106.26%	5.30	-0.12
      ING	96.66%	14.35	-0.55
      PALM	87.99%	11.63	0.11
      PCS	85.25%	6.12	0.41
      CAR	80.82%	10.34	-0.20
      HL	80.80%	6.33	-0.06
      GCI	76.21%	10.89	-0.51
      AMR	75.53%	5.55	-0.06
      UAUA	75.45%	7.07	-0.07
      DRYS	74.59%	6.53	-0.21
      SAY	72.74%	4.99	0.16
      MGM	72.05%	11.23	-0.48
      CLWR	71.74%	5.72	-0.04
      BRCD	71.74%	8.04	-0.03
      CIEN	71.64%	13.47	-0.32
      PCX	70.69%	13.68	-0.25
      LVS	70.07%	16.95	-0.56
      TSL	69.36%	45.57	-1.20
      MTL	69.17%	20.82	-0.21
      SVM	69.12%	7.30	-0.02

• 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
      QQQQ	670.9K	43.66	-0.18
      BAC	584.7K	16.08	0.04
      AAPL	236.7K	200.51	-0.52
      DELL	179.1K	15.87	-1.55
      WFC	150.0K	28.32	-0.41
      PFE	133.5K	18.11	0.26
      JPM	122.8K	42.55	0.00
      RIMM	117.6K	58.84	0.88
      YHOO	114.1K	15.61	-0.21
      GE	103.1K	15.76	-0.14
      INTC	102.9K	19.30	-0.03
      POT	101.3K	113.17	1.23
      GS	88.1K	172.83	-2.71
      MSFT	85.6K	29.78	-0.12
      BMY	80.3K	24.03	0.42
      DRYS	76.7K	6.53	-0.20
      F	73.7K	8.73	-0.10
      AMZN	66.2K	128.99	0.90
      DHI	65.5K	12.25	-1.84
      QCOM	63.6K	45.09	0.02

    • Top Twenty Options Volumes Gainers

      Underlying	Volume Gain	Imp Vol.	Last Price	Price Change
      AMKR	18.97%	61.40%	5.86	-0.11
      WFSL	16.16%	38.05%	19.17	-0.27
      MHP	11.08%	37.23%	31.73	-0.77
      SJM	9.96%	21.24%	53.48	2.91
      NE	9.12%	42.32%	41.70	-1.72
      BCS	8.80%	43.12%	20.76	-0.46
      KG	8.72%	50.85%	11.76	0.05
      AINV	8.33%	39.40%	9.52	-0.18
      MU	8.04%	62.58%	7.12	0.16
      INTU	7.95%	21.38%	30.27	-0.56
      IPG	7.67%	60.15%	6.77	0.07
      WCRX	7.41%	38.81%	23.15	-0.25
      ABC	7.16%	22.59%	24.21	0.28
      DHI	6.92%	59.74%	12.25	-1.84
      KBH	6.65%	55.74%	14.62	-0.48
      ERIC	6.32%	36.72%	10.24	-0.14
      BKC	6.11%	26.62%	17.48	0.01
      SII	6.03%	46.64%	26.77	0.16
      COCO	5.79%	49.43%	15.51	-0.08
      PBCT	5.62%	25.54%	16.47	0.01

• 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
      VIA B	500.00	31.83%	30.73	-0.80
      AMKR	434.78	61.16%	5.86	-0.11
      FTR	106.38	21.29%	7.45	0.05
      TS	94.34	41.32%	41.24	-0.60
      RRI	55.87	63.66%	4.97	0.08
      MHP	50.25	37.18%	31.73	-0.78
      IPG	45.45	60.09%	6.77	0.06
      MBT	42.02	49.07%	50.95	0.31
      LINTA	40.65	36.43%	10.74	-0.13
      MTU	39.06	43.51%	5.13	0.16
      BVN	34.48	49.81%	40.09	-0.54
      WIN	25.58	19.49%	10.03	0.02
      LXK	24.10	39.15%	25.50	-0.21
      ALL	21.98	30.64%	28.87	0.27
      COMS	21.93	7.43%	7.44	0.03
      HCP	19.34	34.37%	29.77	0.27
      RX	18.42	16.14%	21.38	0.09
      PDCO	18.32	30.76%	26.21	-0.36
      AOC	18.05	22.75%	39.07	-0.03
      MFA	17.79	29.38%	7.55	0.00

    • Put/Call Volumes

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      AINV	283.42	39.40%	9.52	-0.18
      SGMS	29.13	46.91%	15.01	-0.34
      COCO	20.76	49.48%	15.51	-0.08
      EIX	17.35	21.05%	32.91	0.17
      HST	14.67	48.75%	10.16	-0.08
      KIM	14.01	52.29%	12.45	-0.04
      NITE	13.04	36.84%	15.51	-0.01
      CDNS	12.84	44.18%	6.02	0.09
      NRG	11.64	40.13%	23.40	0.38
      PH	10.35	32.96%	54.31	-0.31
      LYG	10.31	53.83%	5.99	-0.16
      CBG	8.24	55.80%	11.21	-0.08
      DDR	7.00	64.58%	9.88	-0.08
      DRI	6.67	37.40%	31.70	-0.29
      PWR	6.60	37.51%	19.76	-0.12
      MHK	6.24	43.80%	41.65	-0.69
      ORLY	6.02	27.42%	38.97	-0.08
      CPN	5.79	43.10%	11.01	0.08
      TLM	5.52	37.53%	17.45	-0.09
      DPS	5.50	34.53%	26.79	0.50

• 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
      MFA	17.54	29.38%	7.55	0.00
      VSH	8.69	47.86%	7.50	0.02
      FTR	6.21	21.29%	7.45	0.05
      SH	6.01	19.07%	53.76	0.15
      FLEX	5.76	46.61%	7.20	-0.01
      GTE	4.57	47.18%	5.72	-0.10
      GFI	4.19	49.83%	14.68	-0.07
      LEAP	4.17	65.45%	12.75	1.52
      BEXP	4.08	64.42%	10.73	-0.08
      PBCT	4.06	25.48%	16.47	-0.01
      LSI	3.91	0.00%	5.51	-0.05
      DPS	3.79	34.53%	26.79	0.50
      TSM	3.66	28.11%	10.42	-0.04
      HCP	3.64	34.37%	29.77	0.27
      TIBX	3.61	38.96%	8.90	-0.07
      RDS A	3.59	25.07%	61.78	-1.15
      TE	3.58	20.40%	14.43	0.12
      HUN	3.54	57.80%	8.82	-0.06
      VIA B	3.48	31.83%	30.73	-0.80
      MWW	3.47	57.53%	15.74	-0.33

    • Put/Call Open Interest

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      LBTYA	3.74	45.92%	20.95	-0.52
      WFSL	3.63	38.05%	19.17	-0.27
      RGC	3.40	32.40%	13.46	0.01
      SBAC	3.18	35.18%	31.70	0.04
      ASBC	3.07	57.96%	11.49	-0.21
      HTZ	2.79	57.97%	9.89	-0.10
      IRM	2.76	32.75%	24.45	-0.11
      CAT	2.61	34.91%	58.61	-0.61
      IACI	2.58	24.24%	19.61	-0.20
      MCO	2.43	45.92%	23.19	-0.26
      MTB	2.33	34.00%	65.33	0.54
      PNC	2.20	39.96%	55.24	-0.28
      UN	2.17	26.37%	31.04	-0.10
      OMC	2.11	25.61%	36.18	-0.05
      GSIC	2.08	40.04%	21.97	0.19
      MAC	2.06	54.45%	30.63	-0.66
      STD	2.01	34.80%	17.40	-0.41
      CYH	2.00	40.86%	31.62	-0.91
      WHR	1.99	42.81%	70.72	-1.22
      SLG	1.99	51.99%	45.37	-0.37

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.