Implied Volatility Movers: 10/15
30-day implied volatility is often considered to be the hallmark of the options market. It allows traders to get a quick, relative snapshot of how big players are positioning in names.
So, let’s take a look at a few names hitting new 30-day IV 52-week high and lows…
InnerWorkings (INWK) – The global print management and promotional solutions provider is touched an IV30 52-week low this morning of 40.52% before traders came in to bid up premium. IV has been tracking lower over the past three months, chasing realized vol lower.
With shares forming a bullish flag pattern as of late, perhaps this represents a good opportunity to get long vol on the cheap.
Sprint Nextel (S) – In the largest-ever overseas Japanese acquisition, Softbank has agreed to buy a 70% stake in Sprint; this resulted in a massive gap higher last Thursday. With shares trading at two-year highs, IV30 is plummeting today as traders sell out of long premium.
IV30 is off 60.6% to 23.95%. Notice the massive divergence to 10-day realized vol of 92.95%. Traders are voicing the opinion that another deal is not on the table for Sprint by selling premium. With 284,000 options traded on the session so far, 50% of that has been sales on the bid.
Dynavax Technologies (DVAX) – this biotech stock is seeing IV30 shoot to fresh 52-week highs today, currently up 20.7% to 157.25%. Shares are up 2.2% on the session, testing the near-term high of $5.10 earlier in the session. A break above that level could send shares to the 52-week high, at $5.34, quickly on it’s way to four-year highs.
There is heavy action in November today, with the $5.00 call trading 2,280 times on open interest of just 1,528. Traders are reaching all the way up to the $7.50 strike is April 2013, bumping Apr13 IV up 3.4% to 105.76%.
Altisource Prtfolio Solutions (ASPS) - Shares of ASPS have been on a monster run over the past three months, moreover the past two years. With shares recently spiking higher to the $115 level, IV30 has been following suit. Today IV30 pushed to a fresh 52-week high of 45.83%, up 3.1%.
Clearly, traders want to own premium here as ASPS breaks out above it’s recent high. Looking at the spread to 10-day and 20-day realized vol (92.34% and 70.73%, respectively), you can understand why.
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