Implied Volatility Movers: 10/22
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 highs and lows…
Vishay Intertechnology (VSH) – Shares of VSH are stable today, but IV30 is plummeting to a fresh 52-week low of 16.66%, off 64.2% today. With HV10 and HV30 at 37.94% and $32.51%, this is a very odd situation. The company is set to report Q3 earnings before the open on October 30th.
If you have a head to trade the name one way or the other into earnings, now seems like a prime time to initiate a position. IV remains elevated in December and January, which would make for good sales against your position.
Krispy Kreme Doughnuts (KKD) – Shares of KKD have been consolidating above the 50-day moving average for the past ten weeks, but recently got smacked down at trend-line resistance. It seems likely that shares will be able to find support near $7.60.
IV30 pushed to a fresh 52-week low this afternoon, touching 32.50%. Currently, IV30 is off 14.6% on the session at 33.85%, HV10 is holding at 20.17%.
MAKO Surgical Corp. (MAKO) – This medical device company has been under pressure for the past six months, gapping dramatically lower twice during the period. With the stock forming a bit of a base here, options players are beginning to brace for another sharp move; this has pushed IV30 to a new 52-week high of 109.81%. HV10 and HV30 are registering 54.05% and 49.57%, respectively.
Options are similarly priced across both calls and puts with little skew differential. However, LEAP options are trading at a much-reduced implied vol, which makes them more attractive to play as limited-risk stock replacement.
DeVry (DV) – This educational services provider has been trending sharply lower for the past six months. With Q1 earnings scheduled for after the bell Thursday, IV30 is pushing to a 52-week high of 69.76%, up 10% on the session. HV10 is registering 31.17%.
Traders look like they are bracing for more downside with overall put volume running at 22x normal volume. The largest trade has been the sale of 5,189 November $22.50 puts for $1.65 (OI of 5,075), which coincided with the purchase of 3,850 Nov $25 puts for $3.35 (OI of 257).
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