Implied Volatility Movers: 10/16
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…
Host Hotels & Resorts (HST) – Shares of the self-managed real estate investment trust have been in consolidation since reporting Q3 earnings last week. While the 50-day and 200-day moving averages have ticker higher, implied volatility has plummeted with traders ditching premium post earnings. IV30 touched a 52-week low of 23.21% this afternoon. 10-day historical vol is registering 12.22%, while HV30 is still near 23%.
With a large bearish engulfing candle today, it looks like shares have the chance to push lower. The next major resistance level is $15.00. A short stock, short put premium trade looks attractive here.
Whiting USA (WHZ) – This oil and gas trust has formed a tight consolidating pattern over the past two months, implied volatility, though, has been careening lower. Today IV30 pushed to a fresh low of 20.66%, off some 13%. 10-day realized vol is running at 8.5%, while 30-day realized is at 12.12%.
The chart pattern is favorable here with the stock breeching the 10-day high of $19.72 this afternoon. Shares look like they can pop and gap fill up to at least $20.26. Long stock or deep in-the-money calls look attractive here.
United Therapeutics (UTHR) – Shares of this biotech company have been on the rise over the past six months, with small, sharp pullbacks having been prime buying opportunities. With shares off from their recent 52-week high, funding support on the 20-day moving average implied volatility is popping.
IV30 pushed to 67.24% today, up 0.7%. This remains a large divergence to HV10 and HV30, at 26.73% and 23.34% respectively. Vol is skewed toward downside puts in November, presumably as traders buy protection. If you have a view on the name, a calendar spread is a great way to play it.
Nektar Therapeutics (NKTR) – This clinical-stage biotech has made a huge push higher over the past three months, forming a solid consolidation pattern over the past two weeks. With shares ticking toward the high end of the recent range, IV30 has exploded, up 27.2% today to 83.03%. HV10 and HV30 are at 25.26% and 32.54% respectively.
Out-of-the-money puts in November and December are seeing the highest skew levels.
The most notable trade in NKTR today has been the purchase of 10,000 December $11/14 call spreads for a net debit of $0.92.
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