| As of: Wed, 16 May 2012 03:57 PM EDT. Tables updated hourly. Data available real-time to IB customers in Trader Workstation. |
Click for a Summary Explanation
The IB Options and Futures 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 and futures pricing data has built-in information that provides the option and futures markets’ consensus outlook for subsequent 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.
One of 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 undersaanding sentiment in the markets.
For futures markets we present two measures: Synthetic EFP Rates and Futures Arbitrage Premium/Discount Index. The Synthetic EFP Rates highlight financing opportunities where entering into an Exchange for Physical (stock for single stock future swap) will provide a lucrative investment return or a very low borrowing rate. The Futures Arbitrage Premium/Discount Index highlights discrepancies between major index future contracts and their underlying fair value.
For the purpose of the tables, those options 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, except the Fut Arb table, are posted hourly on each trading day from 11:45 to 15:45 ET (with a 15-minute market data delay) under normal circumstances. Tables are also posted at 16:15 ET to capture the market close. The Fut Arb table is updated every 15 minutes (with a 15-minute market delay), 12:00 AM Monday through 11:59 PM Friday. 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. Click "Open an Account" at the top right of the page.
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Table Definition
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. It 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 unknown parameter, 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.
Top Twenty Volatility Gainers and Losers
The current 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.
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.
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.
Top Twenty Put/Call Volume Ratios and Call/Put Volume Ratios
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.
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.
Written Commentary
As of: Wednesday May 16, 2012 at 1:30pm
J.C. Penney Co. options active after earnings disappoint
Today’s tickers: JCP, OSUR & GS
JCP - J.C. Penney Co., Inc. – The department store operator’s shares had their worst percentage drop in more than two decades on Wednesday after the Company reported a loss for the first quarter, sales that fell more than expected and discontinued its quarterly dividend. The stock trades 17.3% lower this afternoon at $27.54. May expiry options changing hands on J.C. Penney this morning appear to be looking for a modest rebound off the lows by the end of the week. Call buyers snapped up more than 500 of the May $28 strike calls for an average premium of $1.00 each and purchased another 1,700 calls at the higher May $29 strike at an average premium of $0.49 apiece. The May $30 and $31 strike calls attracted buyers as well, with more than 3,000 and 1,600 contracts purchased at each, at premiums of $0.31 and $0.13 each, respectively. Meanwhile, strategists betting shares in JCP are at their lowest for the week sold May $27 and $28 strike put options, pocketing average premiums of $2.96 and $0.15 per contract on the trades. Put sellers walk away with the full amount of premium in hand as long as shares in J.C. Penney settle above $28.00 at expiration. Overall activity in JCP options is up sharply following earnings, with more than 138,000 lots in play versus the stock’s 90-day average options volume of 36,354 contracts.
OSUR - OraSure Technologies, Inc. – Shares in the medical equipment maker hoping to bring the first at-home HIV test to market jumped as much as 35.0% to a more than 5-year high of $12.28 today after a unanimous vote yesterday by an advisory panel was viewed favorably by investors. The FDA is expected to make a decision on the test in the next few months. Calls and puts are changing hands in roughly equal numbers this afternoon and overall volume is currently up above 2,200 contracts as of 1:05 p.m. in New York. Open interest in OraSure options is greatest in the May $10 strike call, with 1,551 open positions. Most of the calls were purchased for an average premium of $1.28 each exactly four weeks ago. While the value of the now in-the-money calls is much improved today, buyers have yet to break even on the positions given the current bid/ask price on the contract at $0.70/$0.95. Traders long the calls could choose to take delivery of the stock at expiration, however, to share in any up- or downside moves in the stock through the FDA’s decision.
GS - Goldman Sachs Group, Inc. – Shares in Goldman Sachs are back above $100.00 this morning after closing below that level on Monday and Tuesday, the stock’s first run-ins with double-digit prices since January. Sharp 38.0% gains in the stock in the first quarter of 2012 evaporated in April and the first couple of weeks in May. Some May $110 strike call buyers who may have been aiming to get in at the bottom of the recent selloff were burned quite severely in the 1.5 month slump, with the $110 strike contracts nearing expiration and premium on the far out-of-the-money calls now near zero. Open interest in the $110 strike calls suggests some portion of the 13,988 positions were purchased at the end of April for an average premium of $5.98 per contract. The continued bearish movement in the price of the underlying shares in May pulled down the probability $110 strike calls will land in-the-money at expiration, thus slashing the value of long positions. Call options purchased for $5.98 on average just a couple of weeks ago, are now printing a bid/ask of $0.01/$0.04 apiece. Hope springs eternal, however, and the purchase of a large block of 8,872 $110 strike calls for $0.07 apiece this morning is a far cheaper bet on near term upside, which may payoff if shares in Goldman can extend gains in the next two trading sessions. Another up-day tomorrow or Friday could lift premium on the options to provide an opportunity to sell the contracts at an advantageous price prior to expiration. The calls will of course expire worthless at expiration this week should shares fail to rally more than 9.75% to top $110.00. Shares in Goldman Sachs are currently off their highs of the session, trading up 0.35% on the day at $100.22 as of 12:15 p.m. in New York.
Caitlin Duffy |
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The material presented in this commentary is provided for informational purposes only and is based upon information that is considered to be reliable. However, neither Interactive Brokers LLC nor its affiliates warrant its completeness, accuracy or adequacy and it should not be relied upon as such. Neither IB nor its affiliates are responsible for any errors or omissions or for results obtained from the use of this information. Past performance is not necessarily indicative of future results.
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