Implied Volatility Movers: 10/17
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…
Mellanox Technologies (MLNX) – The fabless semiconductor company is seeing a sharp spike in implied volatility today as shares sell off into their Q3 earnings report. IV30 is currently up 8% on the session to 96.66%, a 52-week high; 10-day historical vol is registering just 36.46%.
Volatility is skewed massively toward October, not surprising given that earnings are just one day before options expiration. The far out-the-money strikes on both calls and puts are seeing the highest vol skew. On a technical basis, a break below $94.81 could send shares screaming toward $70.00.
PSS World Medical (PSSI) – Shares of this medical products supplier have begun to form a rising wedge pattern bookended by the 20-day and 50-day moving averages. Today’s action has the potential to print a bearish engulfing candle, which would hint at which direction the wedge will break.
IV30 is up 1.1% on the session, pushing PSSI to an IV30 52-week high of 63.43%. HV10 is registering 18.63%, while HV30 is at 19.71%. Options players are clearly betting on a major move in the name very soon. Vol is skewed to the put side in every month, especially the November $17.50 strike.
American Electric Power Company (AEP) – Shares of this utility holding company have been pushing higher for the better part of nine months; today they are touching fresh 52-week highs. This consistent upside trend has pushed IV30 lower and lower; today it touched a 52-week low of 11.18%, off some 6.4%. HV10 remains muted at 8%, with HV30 at just 9%.
Options premium is skewed heavily to the puts in nearly every contract month. With that said, protection is still nominally cheap even when you move to out months. Current long stockholders might consider some long put spreads here.
American Greetings Corporation (AM) – This greeting card manufacturer has seen a massive suck in options premium following its stellar Q2 earnings beat back on September 28th. Today, IV30 is crashing to fresh 52-week lows, off 22.1% to 14.65%. HV10 is registering just 5% with shares of AM consolidating at six-month highs.
Premium remains skewed to the put side in all contract months.
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