| As of: Tue, 22 May 2012 03:31 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: Tuesday May 22, 2012 at 1:45pm
Options activity pops as Express shares tumble
Today’s tickers: EXPR, DV & SA
EXPR - Express, Inc. – Shares in apparel retailer, Express, Inc., dropped nearly 30.0% today to a new 52-week low of $16.38 after the company projected full-year earnings below those expected by analysts. Options on EXPR are far more active than usual today, with overall volume on the stock currently at 4,460 lots, up nearly 2,000% over the stock’s 90-day average volume of 227 contracts. The June $17.5 strike call saw most of the action as traders exchanged some 2,365 of the contracts versus zero open positions in the first half of the session. A slight majority of the calls were purchased for an average premium of $0.78 apiece, suggesting some traders are positioning for shares in the name to rebound somewhat in the near term. Call buyers stand ready to profit at expiration next month in the event that EXPR shares rally 5.7% over the current price of $17.30 to top the average breakeven point at $18.28. On the flip side, June $17.5 strike put buyers anticipate shares in the name could go lower from here. Around 340 of the $17.5 puts were purchased this morning for an average premium of $0.88 each. Finally, some traders that initiated bearish strategies on Express prior to the earnings report saw the value of their positions appreciate big-time today. Buyers of around 720 of the June $22.5 strike put last Thursday paid an average premium of $1.18 per contract. Today those put options are trading at more than four times the average purchase price given the last-traded price of $5.20 each as of 12:45 p.m. ET.
DV - DeVry, Inc. – The for-profit education provider’s shares could hit their lowest price in more than five years in the next few weeks by the looks of bearish options trades initiated on the stock this morning. Shares in DeVry, Inc., which have dropped nearly 60.0% since last summer, are down 2.2% on the day at $28.21 as of 12:50 p.m. in New York. One or more traders appear to have purchased 2,915 puts at the June $25 strike for an average premium of $0.25 apiece at the start of the session. Long $25 strike puts may be profitable at expiration next month should DV shares decline another 12.3% to breach the average breakeven price of $24.75. Shares in the name last traded below $24.75 in 2006.
SA - Seabridge Gold, Inc. – Notable volume is building in Seabridge Gold, Inc. call options today, with shares in the Toronto, Ontario-based company climbing 7.3% to $13.28 in early-afternoon trading. Options on Seabridge, which acquires and explores gold properties in North America, have traded more than 22,000 times so far today and are nearly all changing hands in the January 2013 expiry. The Jan. 2013 $15 strike call is most active, trading upwards of 18,900 times against open interest of 338 open positions. It looks like most of these calls were purchased for an average premium of $1.65 apiece. Call buyers profit at expiration next year should the price of the underlying gain another 25.4% to surpass the average breakeven point at $16.65.
Caitlin Duffy |
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