VIX - Options Volatility Sonar: Monday Recap

by: Erick McKitterick

VIX - Market Sentiment

Monday saw a somewhat volatile pre-market after tech juggernaut Apple (NASDAQ:AAPL) announced a press conference. The press conference in turn announced a $10B stock buyback program and a quarterly dividend which everyone has been screaming to get for quite some time. AAPL was so volatile in the pre-market the stock was halted after trading up in the pre-market.

The spot CBOE Volatility Index (VIX) actually popped today but volatility ETFs (NYSEARCA:VXX) and 2x volatility (NASDAQ:TVIX) severely underperformed as futures again continued to lag. VXX saw some serious put selling today as some people rolled out of positions to again lower strikes. However, some call buying was evident as the April 22, 27 and 37 calls were active today. Front month VIX futures as well as the VXX were killed today as futures volatility continued to come in as shown below.


March VIX futures 16.50

April VIX futures 21.33

May VIX futures 23.55


March VIX futures 15.60

April VIX futures 19.93

May VIX futures 22.73

Options Paper

Denbury Resources (NYSE:DNR) today saw a large bull step in as 12K blocks went off all over the place. The May 18 puts appear to have been sold to buy the 20 - 22 call spread for a total net debit of .10. This would be more than 20x their money if DNR ran north of 22 prior to May expiration. I like this trade and will be looking to get in and have set some price triggers to get in on weakness. The net premiums showed large inflows into the calls and puts being sold across the board today. This name typically only trades 2.3K contracts a day and surpassed 41K on the day with calls outnumbering puts 2.4:1.

U.S. Steel (NYSE:X) was recommended on the sonar just a couple short weeks ago and has been ripping higher ever since. Today the March 32 calls were moving and moving heavy, driving up bids in early trading as bulls continue to pile into this name. Calls were bought on the ask 49% of the time on more than 2x average volume. Although it should be noted puts were also bought on the ask 46% of the time which also links up with the implied volatility increase. Calls outnumbered puts on the day 2.4:1

Popular ETFs and equity names with bullish/bearish paper in terms of call/put ratios:

Calls outnumbering puts:

OPNET (NASDAQ:OPNT) 1052:1 (Large May 35 call buyer for .80 ask)

Raytheon (NYSE:RTN) 31:1

Michael Kors (NYSE:KORS) 29:1

Agnico-Eagle (NYSE:AEM) 25:1

Masco Corp (NYSE:MAS) 23:1

Live Nation (NYSE:LYV) 22:1

Energy Solutions (NYSE:ES-OLD) 25:1

Puts outnumbering calls:

Polo Ralph Lauren (NYSE:RL) 12:1

KBW Regional (NYSEARCA:KRE) 13:1

SunTrust (NYSE:STI) 6:1

Talbots (NYSE:TLB) 4:1

Germany ETF (NYSEARCA:EWG) 7:1

El Paso (EP) 3:1

Alliance Data Systems (NYSE:ADS) 30:1

Volatility Explosion

Lions Gate (LGF) has a large release coming out this week and implied volatility is exploding to the upside. Today both calls and puts were mostly bought but call spreads were the most active. Buyers of the April 14-16 and 13-15 call spread were active all day long. Options activity was more than 6x average daily volume with calls outnumbering puts more than 4:1. The implied volatility move signals buying pressure in both strikes so some continue to bet this will be a big mover with the upcoming release of "The Hunger Games." Watch to see if price action continues to push this name higher into the release.

Volatility Implosion

Monster Worldwide (NYSE:MWW) saw IV drop heavy today on more than 2x average daily volume. Put sellers were hitting the sell button all day selling on the bid more than 80% of the time. Interesting here is the calls also were sold on the bid more than 42% of the time but some call buyers were also stepping in so these could be rolling positions. Keep an eye on open interest to look for any tells as to where this name could be going in the future. Both call and put open interest has been increasing of late so drops in either could be a tell for either bull or bear moves going forward. Calls outnumbered puts 1.6:1 on the day today.

As always happy trading and stay hedged.

Remember equity insurance always looks expensive until you need it.


I am long APC, TBT, FAZ, X, KERX,

I am short: PBI, DB, AAPL, LYV, YHOO

Disclaimer: The opinions in this document are for informational and educational purposes only and should not be construed as a recommendation to buy or sell the stocks mentioned or to solicit transactions or clients. Past performance of the companies discussed may not continue and the companies may not achieve the earnings growth as predicted. The information in this document is believed to be accurate, but under no circumstances should a person act upon the information contained within. I do not recommend that anyone act upon any investment information without first consulting an investment professional as to the suitability of such investments for his or her specific situation.

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