Options Intelligence Report

As of: Wed, 19 Oct 2011 03:56 PM EDT. Tables updated hourly, provided in real-time for IB customers.

As of: Wednesday October 19, 2011 at 1:00pm

Bears mine for put options on Agnico-Eagle as shares nosedive

Today’s tickers: AEM, ANF, LEN & ALTR

AEM - Agnico-Eagle Mines Ltd. – News that Agnico-Eagle Mines indefinitely suspended operations at its Goldex mine in Quebec took the luster out of shares in the gold mining company today. The stock fell nearly 20.0% to a multi-year low of $45.78 at its lowest point of the session. Some options traders are positioning for the stock to look even more tarnished by the end of the week. Meanwhile, demand for longer-dated put options on Agnico-Eagle Mines suggests the shares may remain under pressure through AEM’s third-quarter earnings release next Wednesday, for the remainder of 2011, and into the New Year.

Near-term bears jockeyed for put options in the October contract. The Oct. $45 and $47.5 strikes are two of the most active, with the majority of positions in each largely initiated by buyers. Traders exchanged roughly 1,400 in-the-money puts at the Oct. $47.5 strike against open interest of 317 contracts. These contracts were purchased roughly 930 times for an average premium of $0.89 a-pop. Investors long the puts may profit if shares in AEM trade below the average breakeven price of $46.61 at expiration later this week. The Oct. $45 strike put is the most active in the front month, with more than 2,100 of the contracts in play against open interest of 578 lots. Investors purchased most of the put options for an average premium of $0.55 each, and may make money on the bearish position in the event that shares in the gold mining company slip beneath the average breakeven point at $44.45 by expiration day.

Buyers of November contract put options at the $40, $35 and $32.5 strikes may see the value of their deep out-of-the-money options rally should the company’s third-quarter earnings or forward guidance disappoint. Finally, longer-term pessimism cropped up in the Jan. 2012 $45 strike put where some 1,700 contracts were purchased for an average premium of $3.78 apiece. The investor or investors holding the put options may profit at expiration next year if shares in AEM slide 10.0% off today’s low of $45.78 to breach the average breakeven point on the downside at $41.22. Shares in Agnico-Eagle Mines last traded below $41.22 back in December 2008. The overall reading of options implied volatility on the stock popped up 26.7% to 57.2% in the first half of the session.

ANF - Abercrombie & Fitch Co. – Sizable prints in Abercrombie & Fitch Co. put options may be one investor’s look to position for bearish movement in the price of the underlying in the aftermath of the retailer’s third-quarter earnings report on November 16. Shares in ANF fell 2.05% to $68.92 by midday on the East Coast. Earlier in the week, the provider of apparel and accessories for tweens, teens and adults, was rated new ‘Outperform’ with a 12-month share price target of $85.00 at Macquarie Research.

Nearly all of the activity in Abercrombie options today is wrapped up in a large debit put spread, which may yield maximum profits to its owner in the event of substantial declines in the price of the shares within the next four weeks. The investor responsible for the transaction appears to have purchased roughly 8,000 in-the-money puts at the Nov. $70 strike for an average premium of $4.26 each, and sold around the same number of puts at the lower Nov. $60 strike at an average premium of $1.13 apiece. Net premium paid to initiate the spread amounts to $3.13 per contract, thus preparing the options player to profit should shares in ANF decline another 3.0% to breach the average breakeven price of $66.87. The put spreader may walk away with maximum potential profits of $6.87 per contract if Abercrombie’s shares plunge 13.0% to trade below $60.00 at expiration next month. Options implied volatility on the stock is running 5.8% higher in early-afternoon trade to stand at 54.6% as of 12:10 pm in New York.

LEN - Lennar Corp. – Activity in Lennar Corp. call options this morning suggests at least one options strategist is optimistic the homebuilding company’s shares will improve over the next seven months. Shares in the Miami, Florida-based homebuilder slipped 1.3% to $15.71 just before 12:30 pm in New York, reversing gains enjoyed earlier in the session on the heels of a reported jump in U.S. housing starts. More than 6,100 calls changed hands at the May $20 strike against paltry previously existing open interest of just 23 contracts. The largest single transaction at that strike was the purchase of a block of 3,000 calls at a premium of $1.15 apiece, initiated less than 15 minutes after the opening bell. The investor may profit at expiration in May if shares in Lennar Corp. jump 34.6% over the current price of $15.71 to surpass the effective breakeven price of $21.15. Time and sales data on the calls suggests some 5,750 of the contracts, including the block of 3,000, exchanged at the May $20 strike, were purchased at a volume-weighted average price of $1.13 a-pop. Lennar Corp. shares last traded above $20.00 in March 2011.

ALTR - Altera Corp. – Shares in the chip maker fell 3.5% to $33.85 this afternoon, and fresh put buying in the front month suggests the stock may extend losses through the end of this week. Bearish plays in Altera Corp. options may be profitable propositions for some traders if the company fails to meet or exceed third-quarter earnings estimates when it reports after the final bell tomorrow. The stock presently trades at more than 30.0% discount to its April 29, 52-week high of $49.59. Trading traffic in Altera Corp. puts is most active at the Oct. $33 strike, where more than 4,100 contracts changed hands against 1,527 open positions. It looks like most of the puts were purchased for an average premium of $0.55 a-pop in the early hours of the trading session. Investors long the puts may profit at expiration day if shares in ALTR decline another 4.1% from the current price of $33.85 to breach the average breakeven point on the downside at $32.45. Shares in Altera Corp. had been as low as $30.38 as recently as October 4.

• 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
      NGD	53.25%	88.80%	11.30	-0.57
      GMCR	31.90%	114.66%	82.11	-12.30
      ONNN	27.62%	72.39%	8.06	-1.26
      AEM	24.69%	56.28%	57.10	-10.75
      JNJ	19.79%	22.05%	64.42	-1.94
      NI	17.98%	33.32%	22.47	-0.23
      AIG	16.29%	63.50%	23.44	-0.91
      STM	15.62%	56.96%	7.42	-0.35
      HST	15.28%	51.37%	12.90	-0.30
      MPEL	14.86%	92.15%	10.78	-0.82
      KCI	14.86%	8.02%	68.12	-0.01
      V	14.68%	39.11%	93.91	-3.70
      FNF	14.68%	41.77%	15.85	-0.19
      MRVL	14.28%	54.04%	14.56	-0.88
      L	14.26%	33.02%	36.84	-0.37
      ARCC	13.99%	36.08%	14.76	-0.32
      MET	13.74%	59.34%	32.43	-1.02
      QQQ	13.54%	30.73%	57.99	-1.19
      SLW	13.27%	64.36%	31.16	-2.24
      NEM	12.89%	40.85%	65.50	-3.09

    • 30-day Implied Volatilities Losers

      Underlying	Loss In Vol.	Imp Vol.	Last Price	Price Change
      VSEA	-27.53%	9.48%	62.39	0.37
      ISRG	-24.44%	35.80%	382.76	34.92
      APOL	-24.42%	43.05%	43.33	3.42
      SVU	-19.41%	55.58%	8.17	-0.50
      CREE	-18.30%	77.04%	27.78	-3.47
      AAPL	-13.87%	32.91%	422.24	-23.94
      INTC	-13.50%	30.51%	23.40	0.88
      STJ	-12.30%	37.75%	37.34	1.69
      URI	-12.14%	63.61%	21.06	2.19
      ST	-10.53%	54.48%	30.12	-1.60
      TXT	-9.76%	46.35%	18.66	-0.10
      IVR	-9.42%	35.56%	14.20	0.08
      BEXP	-9.30%	6.73%	36.51	-0.07
      JNPR	-9.27%	54.04%	21.41	-1.25
      ESI	-8.78%	77.98%	63.49	1.12
      RRR	-8.76%	71.85%	9.58	0.37
      WMB	-8.35%	48.21%	29.06	0.43
      TIN	-8.19%	6.46%	31.51	0.00
      FDO	-8.18%	26.42%	56.44	1.18
      BIIB	-7.78%	55.04%	102.64	-0.59

• 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
      NETL	0.06	7.13%	119.96%	48.76	-0.14
      BEXP	0.08	6.73%	89.74%	36.51	-0.08
      EP	0.25	18.94%	74.82%	24.66	-0.35
      PPDI	0.25	19.18%	75.55%	33.10	0.02
      NDN	0.28	13.16%	46.99%	21.59	0.00
      CPX	0.41	52.94%	127.73%	30.99	-0.37
      ILMN	0.54	74.44%	139.09%	26.63	-0.42
      CROX	0.60	84.10%	141.12%	16.15	-0.74
      AGNC	0.64	24.41%	38.43%	27.79	-0.09
      IR	0.66	51.02%	77.18%	30.30	-0.56
      KCI	0.69	8.02%	11.60%	68.12	-0.01
      FDO	0.74	26.42%	35.75%	56.44	1.17
      DRI	0.75	32.67%	43.78%	46.76	-0.62
      RIMM	0.75	78.37%	104.09%	23.21	-0.92
      PEP	0.75	20.10%	26.67%	62.41	-0.28
      SDRL	0.78	37.21%	47.91%	32.08	-0.33
      NAV	0.78	54.12%	69.13%	40.38	0.01
      CCL	0.78	36.37%	46.40%	34.26	-0.55
      INFY	0.78	35.92%	45.81%	55.51	-0.52
      UNH	0.79	35.30%	44.89%	45.34	1.07

    • Highest Implied/Historical Volatilities

      Underlying	Imp/Hist	Imp Vol.	Hist Vol.	Last Price	Price Change
      RMBS	2.81	161.05%	57.28%	16.82	-0.39
      ETFC	1.68	111.28%	66.28%	9.65	-0.21
      LO	1.67	41.16%	24.59%	111.64	2.37
      BIIB	1.59	55.05%	34.53%	102.64	-0.60
      GMCR	1.59	114.66%	72.17%	82.11	-12.39
      CSC	1.57	57.91%	36.94%	30.11	-0.76
      LXK	1.52	62.50%	41.21%	29.20	-0.90
      HGSI	1.51	129.82%	86.14%	12.82	1.20
      AKAM	1.48	77.04%	52.08%	23.83	-0.91
      TIN	1.46	6.46%	4.43%	31.51	-0.01
      STX	1.45	76.53%	52.86%	12.10	-0.05
      AMRN	1.44	115.15%	79.83%	9.16	-0.33
      MBI	1.44	101.17%	70.50%	8.10	-0.16
      DF	1.41	64.93%	46.12%	9.64	-0.17
      ONNN	1.40	72.44%	51.81%	8.06	-1.26
      GNW	1.36	98.17%	71.98%	6.09	-0.27
      DNDN	1.36	96.49%	71.13%	9.57	0.22
      HOLX	1.35	57.21%	42.31%	15.02	-0.40
      FTNT	1.34	76.91%	57.24%	19.65	-1.24
      SNE	1.34	43.83%	32.72%	20.79	-0.54

• 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
      RMBS	161.05%	16.82	-0.39
      HGSI	129.82%	12.82	1.21
      YOKU	119.33%	20.17	-0.72
      AMRN	115.15%	9.16	-0.32
      GMCR	114.50%	82.11	-12.24
      ETFC	111.28%	9.65	-0.21
      RENN	108.95%	5.65	0.02
      IVN	106.95%	18.00	-1.50
      FMCN	106.15%	24.66	-1.55
      MTW	105.23%	8.25	-0.27
      IRE	104.23%	6.59	-0.89
      MBI	101.17%	8.10	-0.16
      GNW	98.17%	6.09	-0.27
      WLT	97.87%	74.88	-0.67
      SINA	96.49%	86.01	-2.94
      DNDN	96.44%	9.57	0.20
      FSLR	94.72%	55.91	-4.81
      MPEL	92.15%	10.78	-0.82
      SQQQ	91.34%	19.26	1.19
      FST	91.21%	12.43	-0.46

• 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
      AAPL	1.0M	422.24	-23.74
      QQQ	489.5K	57.99	-1.17
      BAC	462.3K	6.64	-0.25
      INTC	393.9K	23.40	0.90
      YHOO	211.9K	15.47	0.43
      C	209.2K	29.88	-0.51
      CAT	171.7K	84.72	-1.22
      MS	150.7K	16.63	0.03
      MSFT	142.3K	27.31	-0.21
      JPM	130.0K	32.87	-0.64
      SLE	101.2K	17.70	-0.38
      FCX	98.8K	35.38	-0.99
      NFLX	97.1K	111.74	-2.98
      WFC	89.5K	25.86	-0.65
      GMCR	88.5K	82.11	-12.41
      EBAY	87.9K	33.87	-0.67
      GE	85.2K	16.71	-0.19
      F	77.6K	11.78	-0.21
      AMZN	73.4K	243.88	-13.04
      GOOG	71.8K	590.51	-9.60

    • Top Twenty Options Volumes Gainers

      Underlying	Volume Gain	Imp Vol.	Last Price	Price Change
      NGD	35.74%	88.80%	11.30	-0.57
      SLE	27.80%	30.57%	17.70	-0.38
      TOL	27.40%	47.94%	17.07	-0.30
      ALL	18.57%	41.73%	25.44	0.09
      NI	17.52%	33.32%	22.47	-0.22
      ARCO	16.23%	66.36%	23.67	-1.07
      CTL	13.90%	25.62%	34.70	0.00
      FNF	11.67%	41.77%	15.85	-0.19
      FCFS	10.77%	50.91%	43.36	-2.89
      HGSI	8.85%	129.82%	12.82	1.19
      FL	8.58%	52.18%	21.39	0.50
      ISRG	7.96%	35.80%	382.76	34.79
      URI	7.78%	63.61%	21.06	2.18
      AES	7.70%	39.80%	10.70	0.11
      IRE	7.25%	104.23%	6.59	-0.89
      AEM	7.04%	56.28%	57.10	-10.75
      WLL	6.91%	70.13%	42.29	1.63
      EW	5.92%	54.97%	70.16	-2.29
      VSEA	5.73%	9.48%	62.39	0.37
      OAS	5.63%	65.16%	31.29	-0.39

• 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
      TIN	1,111.11	6.46%	31.51	-0.01
      RRR	454.55	71.85%	9.58	0.37
      BEXP	285.71	6.73%	36.51	-0.07
      LINTA	256.41	50.99%	15.36	-0.25
      IPG	156.25	66.96%	7.99	0.07
      HMY	128.21	51.43%	12.30	-0.69
      TLM	114.94	56.01%	13.69	-0.19
      MWW	80.65	89.91%	8.58	-0.38
      FL	67.11	52.18%	21.39	0.53
      RGP	62.11	27.94%	21.30	0.40
      PGR	60.61	33.54%	18.18	-0.07
      DNR	60.24	57.93%	14.93	-0.08
      AES	54.95	39.80%	10.70	0.09
      DISH	51.55	57.43%	26.13	-0.57
      QEP	49.50	67.50%	33.13	-0.58
      BRFS	45.05	43.43%	20.05	-0.14
      ALL	43.29	41.73%	25.44	0.08
      ITT	30.12	37.54%	44.96	-0.81
      ABV	29.15	29.03%	33.47	0.08
      PVX	26.32	32.19%	9.03	0.04

    • Put/Call Volumes

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      NAV	57.40	54.12%	40.38	0.02
      RRD	28.22	52.26%	15.49	-0.25
      SID	25.05	53.85%	8.34	-0.35
      TEL	21.74	43.45%	34.54	-1.22
      PTEN	19.55	67.78%	19.31	-1.00
      KWK	17.65	78.29%	8.41	-0.25
      CVS	16.96	27.80%	35.03	-0.33
      WCRX	16.36	53.59%	16.34	0.20
      ASML	13.84	43.69%	40.27	-0.81
      RENN	13.57	108.95%	5.65	0.02
      SOA	13.40	70.04%	15.09	-0.67
      VSEA	12.75	9.48%	62.39	0.36
      ANF	11.94	55.20%	70.37	-1.63
      HRB	11.38	41.97%	14.37	-0.17
      JEC	10.75	49.23%	37.21	-0.79
      APH	9.66	38.10%	44.10	-1.99
      PWR	9.54	48.42%	20.04	-0.33
      DAN	9.10	71.26%	13.38	-0.41
      SUN	8.98	49.62%	35.71	-0.50
      GCI	8.71	56.48%	10.72	-0.38

• 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
      DG	18.69	25.59%	40.04	-0.08
      TSS	12.79	32.13%	18.84	-0.38
      RRR	10.62	71.85%	9.58	0.37
      QEP	10.40	67.51%	33.13	-0.58
      PVX	9.10	32.19%	9.03	0.04
      PGH	6.94	36.97%	10.03	-0.10
      ENTG	6.91	62.89%	8.00	-0.21
      BRFS	6.89	43.40%	20.05	-0.13
      SOA	6.79	70.02%	15.09	-0.65
      CNP	6.37	28.43%	20.73	-0.08
      CPB	6.36	19.05%	33.64	-0.15
      NAV	6.19	54.12%	40.38	0.02
      CPN	6.01	40.69%	14.10	-0.02
      CMC	5.41	64.02%	11.08	-0.34
      FST	5.39	91.21%	12.43	-0.45
      ATML	5.37	65.47%	10.46	-0.22
      OPK	5.31	62.91%	5.37	-0.19
      TIN	5.02	6.46%	31.51	-0.01
      NI	4.69	33.32%	22.47	-0.23
      CNO	4.52	65.77%	5.79	-0.21

    • Put/Call Open Interest

      Underlying	Ratio	Imp Vol.	Last Price	Price Change
      ST	7.75	54.48%	30.12	-1.58
      RBS	5.26	86.26%	7.74	-0.09
      FCFS	3.26	50.91%	43.36	-2.91
      FBR	2.92	60.26%	8.43	-0.41
      RRD	2.81	52.26%	15.49	-0.24
      HRB	2.81	41.97%	14.37	-0.18
      TCB	2.80	52.21%	10.55	0.17
      ULTA	2.65	60.35%	68.75	-0.12
      SKS	2.57	56.75%	10.16	-0.32
      SID	2.38	53.85%	8.34	-0.35
      BBD	2.36	42.67%	16.79	-0.21
      TPX	2.26	65.83%	62.44	-1.22
      FAST	2.16	34.32%	34.19	-0.09
      DF	2.15	64.93%	9.64	-0.17
      IRE	2.09	104.23%	6.59	-0.88
      SPG	2.07	36.84%	117.21	-1.41
      CBG	2.06	61.16%	15.32	-0.87
      GGB	2.06	59.94%	7.95	-0.27
      MOLX	2.05	55.99%	22.80	-1.46
      TC	2.03	68.58%	7.12	-0.38

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.