Options Intelligence Report

As of: Fri, 9 May 2008 03:56 PM EDT

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Options suggest upside for Sprint, as deal arbs eye Penn Gaming, Countrywide

Today’s tickers: S, PENN, CFC, NAT, EK, AIG, XLF, NVDA, PCLN, ENER, GNW

S- With news of Sprint’s WiMax venture with Clearwire now safely digested by the market, option traders are turning their attention to Sprint earnings on Monday. Shares in the telecom closed 3.8% higher today at $9.32, and while the fact that implied volatility rose by 45% today suggests heightened risk of volatile price action to the upside or the down (front month options are pricing in as much as a $1.25 move), the volume heavily favors the call side of the equation. Heavy buying in May calls at strikes of 9 and 10 was observed on a total volume of nearly 82,000 lots, with long interest extending into the same strike in the June contract.

PENN- Deal arbitrageurs have done a brisk business speculating on the fate of Penn National Gaming, the owner of West Virginia’s Charles Town Races and 17 other casinos and horse racing outfits nationwide. Last June the company agreed to a $67-per-share takeover by a consortium led by Fortress Investment Group, but the company has failed to trade anywhere near that level ever since – and in fact, hasn’t traded above $60 this year. Uncertainty over the outcome of the deal is written all over its implied volatility reading, which has continued to gap ever higher above the historic reading since the Mississippi Gaming Commission approved the merger on April 17, and now at 86.6% is two and a half times the historic measure. Today its shares took another 2.3% hit on the chin to read $40.59, and the 9-fold increase in option activity looks like the result of traders using ratio call spread activity in the July contract to express a view on a settling price for the stock. It looks as though traders sold 2 July 60 calls for $1.30 for 1 July 50 call for $4.20. The resulting $1.60 debit would break even for the trader if shares penetrated $51.60 by July – still more than $10 above current levels.

CFC- Merger arbitrage has also been a prevalent driver in options of Countrywide Financial over the past week, as the company still reels from an S&P downgrade and ongoing uncertainty as to the terms and conditions of its storied bailout by Bank of America. The 146% implied volatility reading – which dwarfs the 84% degree of fluctuation that Countrywide shares have already endured – is a strong indicator that option traders feel its share price faces particular peril over the next 30 days and are pricing the option accordingly. Countrywide shares closed 5.5% lower today at $4.76. Puts – which protect against downside share price action – will be particularly dear in this environment, but the higher prices didn’t detract option traders from deploying 5 times as many puts as calls today. Nearly half today’s 62,000-lot volume was situated in June 3 puts, which traded to the middle of the market at 35 cents – which looked to us like a play on renewed concern that Bank of America will either look for a lower sale price for Countrywide, take on less of its debt, or perhaps even walk away from the deal entirely.

NAT- Crude oil’s continued ascent to nosebleed-level prices continued today with a breach of the $126-per-barrel price level today. This marked the fifth consecutive day of record highs for the commodity, whose fiery trail has been fueled by fundamental demand pressures and its flames fanned by a weak dollar. It was against this backdrop of U.S. demand both tense and rampant that we observed a 20% intraday spike in options implied volatility of Nordic American Tanker Shipping, the Bermuda-registered, Norwegian-based worldwide transporter of crude oil from the oil-rich Scandies to the Americas. Shares tacked on a 7% gain to $39.28 and the disparity between historic and implied volatility suggests even more turbulence in the weeks to come, this fully three days after the company reported bullish quarterly earnings. Its numbers in the most recent earnings cycle owed much of their zest to higher spot prices in the shipping business and a shortage in the number of Very Large Crude Carriers (VLCC), making Nordic American’s services much dearer in the current oil-crazed climate. Today’s option volume of 5,000 lots was modest in absolute terms, but stacked up to more than a third of the company’s total open interest, and was characterized by fresh call-buying at the $40 strike in the May and June contracts. Upside ahoy…?

EK- Turnaround buzz continues in camera giant Eastman Kodak, which despite a 3.5% gain for shares to $17.11 today is still lingering around multi-year lows. Earlier today its 20,000-strong option volume elicited a brief appearance on our market scanner of “Most Active Option Contracts,” with the 9-to-1 overweight of calls marking a second consecutive day of pronounced call volume. Most of today’s action was tied up in call buying at the June 17.50 and 20 strikes, with no particular news catalyst to readily ascribe the action. Curiouser still is this week’s 30% move higher in implied volatility, with the current 47.6% implied volatility reading suggesting particularly acute price risk in Eastman Kodak shares over the next 30 days.

AIG- Today’s 8.8% drop for American International Group shares to $40.27 on back of a $7.8 billion Q1 net loss and outlook for even more sent shudders through the broader market – but the rise in put volume we observed in recent session was a strong indication that option traders sensed this might be the case. The May $43 puts that traded heavily late Wednesday at 44 cents fetched $2.30 today, representing quite a windfall for traders who bought defense early. There’s still a broad willingness among many option traders to seek protection at out-of-the-money put strikes, notably at the May $40 line, but buying interest in May 45 calls was also observed – at 16 cents it’s hard to say whether this is a cheap-bet on post-selloff stabilization or simply a shrewd price point at which to close out an open short position in the call.

XLF- Shares in the financial sector ETF closed .46% lower today at $25.96, respectable enough given AIG’s staggering quarterly loss yesterday evening. With more than 272,000 options trading today, the XLF was once again one of the most heavily trafficked tickers on our platform. Volume of note earlier today included selling in May 26 puts at 54 cents apiece on a volume of 35,000 lots that is still within existing open interest at that strike. Selling in June 28 calls at 33 cents apiece and buying in 23 puts for 28 cents on comparable volumes suggest to us that a trader may be looking to protect a long position in the financial sector from AIG-related aftershocks by buying a collar at those strikes. Long exposure to the lower-priced put would protect a trader from another leg lower in financials, while the price difference between the two positions would still allow him or her to take a 5-cent credit on the transaction.

NVDA-Shares in semiconductor maker Nvdia rose 3% this afternoon to $22.64 despite reporting Q1 profits that fell short of the consensus. The outlook for more positive future earnings led to an analyst upgrade that appears to have stoppered any selloff in the stock. This disparity between present facts versus future outlook in Nvidia also offered a rare opportunity for option traders to arbitrage on option prices. We think this explains the level of two-way traffic at the 22.50 May line, where the calls traded to buyers and sellers on a volume of some 18,500 lots today – nearly a quarter of the current volume as of noon – and the puts traded to buyers and sellers more than 12,000 times.

PCLN- Standing almost as a bullish foil to the meltdown in shares of high-end auction house Sotheby’s today was Priceline.com. Shares in the discount travel agency rose 11% to $137.70 after guiding year-end profits far higher than prior street estimates. The forecast appeared to underscore the thirst for bargains in the present economic environment, giving option traders reason to believe that Priceline will find a stable and dependable reception for its services. Implied volatility on all Priceline.com options declined nearly 30% as a result, and option volume more than doubled from average daily levels. Most of this was situated in two-way traffic in May calls at the 140, 145 and 150 strikes.

ENER- Energy Conversion Devices - Shares in the maker of thin-film solar laminates pulled back 4% to $47.75 this afternoon after brushing the $50 level (a new high) in early trading. Activity in its options remained unusually juiced, showing a near 7-fold increase in trading according to our market scanner. What’s noteworthy here is that much of the option activity was fresh – exceeding prior open interest even after a Thursday session in which its options garnered 24 times the normal level of activity. Also interesting is the implication from today’s volume that some option traders feel this morning’s pullback was overdone and may be looking for a new leg higher. This seemed to be the message of activity in May 45 puts, which sold heavily on a total volume nearly triple the open interest. Calls at the May 50 line were bought more often than sold, with the 95-cent premium reflecting a 1-in-3 chance of Energy Conversion Devices closing above $50 next week.

GNW- Despite the dreary tone set back AIG’s loss, we observed bullish price and options action in another multiline insurer, Genworth Financial. Shares gained .31% to $22.40 today, as options volume showed an 8-fold increase from the normal level, trading more than twice as often to calls as to puts. Most of today’s volume was localized in the January contract, with heavy buying at the 25 line for $2.10 per contract. Additional long interest at the 25 put line would ordinarily suggest that some traders were buying these positions together in long-straddles – we note, however, that at $6.60 a straddle at this strike would represent nearly 30% of today’s share price, requiring a massive move by January just to break even.

• 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
      ATVI	52.77%	38.26%	27.70	3.81
      S	44.06%	89.85%	8.98	0.37
      HBC	30.93%	25.08%	86.06	-1.82
      NAT	26.95%	38.58%	36.64	2.71
      MBI	25.23%	132.87%	10.36	-1.04
      BMRN	24.58%	54.61%	37.51	1.54
      MGM	24.48%	59.21%	49.02	2.03
      ELN	24.05%	89.69%	27.01	0.43
      AES	21.57%	35.88%	17.93	1.17
      HRS	21.33%	35.72%	54.41	2.36
      ATPG	18.56%	54.61%	38.51	-0.58
      WTR	18.06%	28.26%	17.20	-0.17
      SONC	17.43%	41.43%	22.13	-2.18
      HBAN	16.64%	58.89%	9.39	-0.22
      ED	15.70%	19.05%	41.88	0.01
      BMY	14.39%	30.32%	22.79	-1.10
      CNP	14.35%	25.88%	15.39	-0.19
      MO	13.81%	22.38%	21.33	-0.37
      ORA	13.26%	42.23%	53.44	-3.73
      MFE	12.55%	37.46%	35.33	1.07

    • 30-day Implied Volatilities Losers

      Underlying	Loss In Vol.	Imp Vol.	Last Price	Price Change
      MLNM	-90.13%	1.43%	24.90	0.07
      PCLN	-32.62%	44.92%	123.78	15.43
      BID	-29.82%	49.69%	27.47	-2.49
      WIN	-29.50%	27.78%	12.41	0.37
      LEAP	-27.64%	44.13%	50.10	4.31
      NVDA	-26.04%	43.81%	21.95	0.46
      MYL	-24.57%	45.24%	12.46	-1.19
      SGMS	-24.10%	41.27%	27.56	2.01
      UBS	-20.63%	36.04%	31.05	-0.09
      PWE	-19.44%	19.84%	31.73	0.48
      AGO	-17.03%	41.91%	25.39	-0.59
      HRB	-16.16%	30.48%	21.86	1.65
      SD	-15.67%	40.32%	49.45	1.05
      IPG	-14.95%	25.72%	9.65	0.07
      AYR	-14.36%	54.93%	15.75	0.16
      VRSN	-14.16%	30.64%	36.76	1.21
      CVC	-13.49%	28.57%	24.76	0.15
      WMS	-13.40%	33.65%	38.66	0.10
      UDR	-13.31%	26.03%	24.13	-0.14
      ALNY	-12.72%	55.24%	25.39	2.38

• 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
      MLNM	0.01	1.43%	119.54%	24.90	0.06
      SAF	0.10	11.43%	112.55%	66.74	-0.13
      WWY	0.13	8.25%	62.07%	76.70	-0.07
      SGP	0.35	35.56%	102.71%	18.71	-0.06
      BRL	0.44	29.05%	65.56%	38.10	1.49
      MRK	0.46	25.72%	56.20%	39.09	-0.10
      MCRS	0.47	32.70%	69.05%	30.80	0.44
      JAVA	0.48	31.91%	66.99%	12.95	0.10
      GE	0.49	20.32%	41.91%	32.59	-0.38
      HOLX	0.52	44.45%	85.25%	22.69	-0.50
      APOL	0.53	49.21%	93.18%	47.95	0.04
      NCC	0.56	56.67%	101.60%	5.77	0.11
      GILD	0.56	29.84%	53.34%	54.11	-0.59
      PDLI	0.58	40.80%	70.80%	9.45	-0.35
      GOOG	0.58	35.72%	61.28%	583.01	-10.91
      PM	0.59	19.68%	33.34%	52.20	-0.42
      ISIS	0.59	69.53%	117.15%	11.26	0.54
      NOK	0.60	30.96%	51.43%	28.94	-0.33
      BJS	0.61	37.78%	61.91%	29.32	0.59
      MO	0.61	22.38%	36.51%	21.33	-0.38

    • Highest Implied/Historical Volatilities

      Underlying	Imp/Hist	Imp Vol.	Hist Vol.	Last Price	Price Change
      HUN	2.88	58.74%	20.32%	23.23	-0.56
      ATVI	2.83	38.26%	13.49%	27.70	3.80
      TTWO	1.89	42.38%	22.54%	26.60	0.00
      ELN	1.80	89.69%	49.85%	27.01	0.44
      CCU	1.78	78.74%	44.29%	29.84	0.14
      BUD	1.51	30.32%	20.00%	51.12	-0.19
      AES	1.50	35.88%	23.97%	17.93	1.17
      IMCL	1.50	51.59%	34.45%	44.51	0.23
      GNA	1.48	54.29%	36.67%	16.12	0.24
      XLP	1.47	13.81%	9.37%	28.00	-0.21
      AA	1.46	54.61%	37.46%	39.65	-0.73
      DUG	1.43	61.59%	43.02%	29.50	0.16
      MIR	1.42	27.46%	19.21%	39.70	-0.63
      PVX	1.41	29.53%	20.95%	11.37	0.24
      MYL	1.41	45.24%	32.23%	12.46	-1.19
      CPB	1.40	23.65%	16.83%	35.34	0.06
      XMSR	1.39	58.74%	42.23%	12.29	-0.49
      MRX	1.39	46.99%	33.81%	20.20	2.01
      LMC	1.38	66.51%	48.26%	7.78	-0.12
      HBC	1.37	25.08%	18.26%	86.06	-1.84

• 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
      MBI	132.87%	10.36	-1.04
      SOL	109.85%	17.43	1.88
      NWA	106.99%	8.50	0.16
      DAL	100.33%	7.57	0.05
      JASO	94.93%	21.84	1.69
      CIT	92.87%	12.25	-0.58
      UAUA	90.96%	13.54	0.18
      S	89.85%	8.98	0.35
      ELN	89.69%	27.01	0.45
      AMR	88.42%	8.31	-0.15
      MTG	86.83%	12.56	-0.36
      CAL	84.29%	16.86	0.45
      YGE	81.75%	22.82	0.11
      GA	80.48%	15.56	-0.06
      SWC	79.85%	14.20	-1.12
      CCU	78.74%	29.84	0.16
      LDK	76.36%	35.01	1.98
      GRS	74.93%	8.94	0.52
      FRE	74.13%	25.43	-0.25
      GFIG	73.82%	11.88	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
      SPY	632.6K	139.16	-0.32
      QQQQ	570.1K	48.40	-0.23
      IWM	495.4K	71.71	0.09
      XLF	270.9K	26.08	-0.19
      AIG	235.5K	44.15	-3.90
      YHOO	216.5K	26.22	-0.34
      AAPL	204.4K	185.06	-2.06
      C	171.1K	24.30	-0.69
      NVDA	117.6K	21.95	0.48
      V	113.6K	87.30	-4.38
      XLE	108.8K	84.90	-0.28
      X	96.3K	173.31	-1.91
      RIMM	92.1K	131.18	1.29
      S	91.9K	8.98	0.42
      GOOG	83.0K	583.01	-11.08
      MSFT	80.9K	29.27	0.08
      CCU	71.8K	29.84	0.13
      VLO	64.5K	46.27	-1.66
      PBR	63.9K	63.78	0.80
      GE	62.9K	32.59	-0.36

    • Top Twenty Options Volumes Gainers

      Underlying	Volume Gain	Imp Vol.	Last Price	Price Change
      ED	26.96%	19.05%	41.88	0.00
      DRQ	18.31%	44.29%	60.92	-1.61
      AES	16.84%	35.88%	17.93	1.16
      ATVI	13.13%	38.26%	27.70	3.82
      ENER	12.37%	64.45%	49.91	-2.23
      AGO	9.17%	41.91%	25.39	-0.59
      MRX	8.60%	47.15%	20.20	2.00
      DBC	8.36%	28.73%	39.96	0.54
      HRS	8.27%	35.72%	54.41	2.37
      GNA	7.56%	54.29%	16.12	0.23
      AMSC	7.27%	57.78%	32.77	-2.92
      NAT	6.58%	38.58%	36.64	2.71
      LTR	6.44%	29.37%	44.10	2.09
      CPB	6.29%	23.65%	35.34	0.06
      BRL	6.12%	29.05%	38.10	1.51
      PCLN	6.12%	44.92%	123.78	15.42
      CG	6.11%	25.56%	67.66	1.62
      RGC	6.05%	26.19%	18.40	0.40
      LEAP	6.02%	44.13%	50.10	4.23
      PCU	5.93%	51.43%	116.18	-4.62

• 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
      EDS	135.14	28.42%	19.05	-0.21
      GFIG	79.37	73.82%	11.88	0.02
      MHP	56.82	29.84%	40.80	-0.05
      GLBL	53.19	44.29%	18.92	-0.02
      ALU	48.08	39.85%	7.07	-0.10
      PMCS	39.53	40.16%	8.41	-0.04
      AET	39.22	31.75%	43.53	-0.28
      STM	30.03	33.81%	12.55	-0.13
      CVS	29.50	23.65%	41.52	-0.22
      BWA	28.99	33.50%	52.91	-0.73
      CVC	28.74	28.57%	24.76	0.15
      SY	27.78	28.10%	29.84	-0.06
      GNA	27.62	54.29%	16.12	0.23
      CE	27.03	31.43%	45.59	0.80
      CNI	26.18	28.42%	54.69	-0.06
      DRE	25.77	29.84%	25.95	-0.43
      SEPR	23.42	49.85%	19.39	0.29
      MNST	23.42	45.08%	26.58	0.12
      DNR	22.03	46.99%	32.38	0.40
      GTI	21.41	47.62%	22.25	-0.27

    • Put/Call Volumes

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      XLP	63.83	13.81%	28.00	-0.21
      EAT	54.82	37.94%	22.74	-0.86
      LTD	50.09	45.40%	17.93	0.02
      WYN	32.80	38.58%	22.91	-0.07
      ELNK	25.80	40.32%	9.23	-0.02
      LBTYA	20.00	30.48%	35.21	-0.42
      SRE	20.00	22.54%	57.16	-0.16
      DBC	19.86	28.73%	39.96	0.55
      CX	19.78	38.42%	28.44	0.05
      ABI	19.00	27.94%	33.76	0.15
      RL	17.50	40.16%	58.87	0.74
      SAP	16.63	26.51%	49.03	-0.44
      LUV	15.43	36.99%	13.23	-0.24
      HOT	14.53	41.43%	52.43	-0.48
      SHW	13.79	34.61%	56.24	0.25
      THQI	12.43	42.86%	18.86	-0.31
      PEG	12.36	25.88%	42.29	-0.15
      XLV	11.18	13.81%	31.59	-0.18
      NSM	11.08	43.81%	20.80	-0.23
      MTG	9.91	86.83%	12.56	-0.36

• 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
      WIN	8.05	27.78%	12.41	0.37
      GRS	7.81	74.93%	8.94	0.51
      PVH	7.64	44.45%	42.71	-0.60
      GW	7.18	35.40%	7.57	0.00
      KEG	6.53	37.78%	15.28	0.46
      VRX	6.09	39.85%	13.56	1.04
      SPN	5.15	37.94%	51.32	1.20
      EGO	5.04	59.85%	7.21	0.22
      BZP	5.04	66.99%	21.90	1.66
      CVC	4.71	28.57%	24.76	0.14
      HK	4.18	52.86%	26.64	-0.28
      MRVL	4.04	43.65%	13.30	0.09
      ICO	4.03	59.37%	9.38	0.22
      LSI	3.88	52.70%	6.62	0.07
      DRS	3.82	31.43%	73.89	0.74
      TMO	3.79	24.13%	56.95	-0.74
      SWKS	3.76	51.27%	8.39	-0.11
      ELNK	3.65	40.32%	9.23	-0.02
      ISIS	3.56	69.53%	11.26	0.54
      IAG	3.49	53.50%	6.12	-0.01

    • Put/Call Open Interest

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      LBTYA	6.36	30.48%	35.21	-0.42
      FULT	5.43	46.35%	12.98	-0.23
      SHW	5.09	34.61%	56.24	0.25
      CNI	4.92	28.42%	54.69	-0.06
      LMDIA	3.96	34.29%	27.00	-0.99
      PNM	2.93	47.62%	13.40	0.38
      APH	2.79	33.34%	47.20	-1.00
      AES	2.75	35.88%	17.93	1.16
      XLB	2.57	29.05%	43.98	-0.45
      AN	2.56	39.05%	15.94	0.07
      MCO	2.51	40.32%	39.32	0.06
      COF	2.47	50.00%	53.76	-0.78
      ITU	2.43	42.86%	27.91	-0.25
      JNS	2.41	40.96%	28.94	-0.38
      KBH	2.30	63.50%	24.04	-0.30
      JBHT	2.30	41.91%	34.15	-0.32
      MAS	2.27	40.80%	18.39	-0.17
      EL	2.26	29.21%	47.81	0.29
      IWO	2.21	23.34%	77.20	0.16
      UBS	2.17	36.04%	31.05	-0.09

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.