Canadian Solar (CSIQ) - Stock Rises On Industry News; Vol Continues to Climb into Earnings

CSIQ is trading $4.09, up 14.3% with IV30™ up 11.3%. The LIVEVOL® Pro Summary is below.



-------------------------------------------------------------------


Click for Free Trial

-------------------------------------------------------------------

Canadian Solar Inc. (CSI) designs, develops, manufactures and sells solar cell and solar module products that convert sunlight into electricity for a variety of uses. The Company conducts all of its manufacturing operations in China.

This is an order flow note along with some interesting vol. First, the news:

---
Solar stocks are surging this morning after the first two Q4 reports (SPWR reported, STP preannounced) were better than expected (feared).
Source: Provided by Briefing (www.briefing.com)
---

So, this is an industry wide phenomenon. I've decided to look at a smaller player. CSIQ has traded over 10,000 contracts on total daily average option volume of just 717. Calls have traded on a 25.6:1 ratio to puts. The action is in the Mar 4 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the calls are mostly opening (compare OI to trade size). Based on the orders and the vol move, these feel like substantially purchases, though there is some ambiguity. When looking down the entire option chain for CSIQ, I don't see any OI larger than 3,200, and that's in the Feb options expiring today. In other words, this flow is quite large for CSIQ.



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see a monotonic increase in vol from the back to the front. We project CSIQ will have earnings in the Mar expiry cycle, so that elevated vol is reflecting not just the news today, but also the news "to come."

Finally, the Charts Tab (6 months) is below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Here's where it gets interesting. CSIQ was trading $7.87 in the middle of August. It hit as low as $2.07 in the Fall. Now it's trading nearly double that price. On the vol side, the IV30™ peeked at over 144% in Oct, then dropped to ~90% as recently as 2-6-2012. Since then it's followed essentially straight line up to over 120%.  Given the recent move in the underlying and with earnings approaching, it wouldn't surprise me if the IV30™ pushed through the annual high by early Mar.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 2-17-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Kohlberg Kravis Roberts (KKR) - Vol Pops in "Sleepy" Stock

KKR is trading $14.67, up 3.2% with IV30™ up 13.7%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Kohlberg Kravis Roberts & Co. is a private equity and venture capital firm specializing in acquisitions, leveraged buyouts, management buyouts, special situations, growth equity, mature, and middle market investments.

I found this stock using a custom scan searching for names where IV30™ is up at least 10% on the day. The scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.

Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The KKR Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



KKR just released an earnings report a few days ago, though the vol moved rather small. There's a trend that has formed in the implied -- namely it's going down. In early Oct the implied was trading over 68%, today it's in the low 30's.

The implied has essentially been following the historical realized vol (short-term). We can see that the HV20™ was as high as 79.47% in Nov and now has dipped to 24.75%. In English, what was once a relatively volatile stock with an implied that reflected that volatility, has now become rather quiet and again, the implied reflects that reality... That makes today's vol pop rather interesting. The vol comps are:

IV30™: 32.88%
HV20™: 24.75%
HV180™: 55.87%

The Skew Tab snap (below) illustrates the vols by strike by month.



Not a whole lot going on here -- the skew shape is normal across all three front expiries. It is interesting that the front (one and a half day expiry) isn't elevated.

Finally, let's look to the Options Tab, for completeness.



All three months are priced between 32% and 34%. It'll be interesting to see if this is just a weird hick-up, or if KKR turns back into a 70 vol stock.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

E*TRADE Financial (ETFC) - Vol Seller Pounds Depressed Vol

ETFC is trading $9.15 down 0.2%, with IV30™ down 6.7% as of ~11:00am EST. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

E*TRADE Financial Corporation (E*TRADE) is a financial services company, which provides online brokerage and related products and services to the individual retail investors, under the brand E*TRADE Financial.

This is a vol note tied to some very interesting order flow. Let’s start with the flow. ETFC has traded nearly 50,000 contracts in the first hour and a half on total daily average volume of just 8,037. The largest trade has been a sale of 19,200 Mar 9 straddles @ $0.80 (so, 38,400 contracts). The Livevol® Stats and Day’s Biggest Trades snaps are included below.





That order flow has helped push the vol down today. The interesting part of the vol sale is the level that was sold. Let’s turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™- blue vs HV180™- pink).



Check out the vol portion. We can see that the implied is trading at (or near) six month lows and substantially below the historical measures. One point to note, the HV20™ is artificially elevated because of the stock gap off of earnings a couple of weeks ago. Still, the 52 wk range in IV30™ is [24.15%, 109.60%], so the current level is in the 18th percentile (annual). That means the sale was of particularly depressed vol and bets on even lower vol in the future. Very interesting.

Let’s turn to the Skew Tab.



We can see the vol drops from the back to the front monotonically. Or, said differently, the vol is higher further out. The Mar vol that was sold is considerably lower than the Apr expiry.

Let’s turn to the Options Tab.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. But, I can say that I’ve highlighted the line that was sold. It looks like ~39% vol. We can also see that Apr is priced to 44.18%. The vol sale is simply a bet that the depressed vol is "correct" and that it will move even lower.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 2-16-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Apple Inc. (AAPL) - Risk Is Exploding, So Says the Option Market

AAPL is trading $511.93, up 0.5% with IV30™ up 12.9%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Apple Inc. (Apple) along with its subsidiaries is engaged in designs, manufactures and markets mobile communication and media devices, personal computers, and portable digital music players, and sells a range of related software, services, peripherals, networking solutions, and third-party digital content and applications. [Lol]...

I feel like the first sentence about the price and vol could be the entire blog, but... ya know, I'll actually write something... Perhaps a new perspective here.

Let's start with the Skew Tab, first. Though, it's the Charts tab (next), where the analysis really gets... going...



Line by line and month by month, the skew is quite normal (even pretty). The front shows a parabolic shape which is normal this close to expo as the OTM options remain "sticky." For more on what skew is, how it changes, what "normal" means and why it exists, you can read this post:
Understanding Options Skew.

 But, it's not the line by line vols that are interesting here, it's the holistic view that snapped my attention.

Let's now turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



First, in the stock portion, we can see that from mid Dec until now, the market has decided the stock is worth ~$130 billion more. Said differently, AAPL has gone up an entire Intel in two months. Or, try this, the rise in market capitalization alone would make the 18th largest company in the country. Is the company worth that much more? Or how about this, does the option market reflect a new valuation is in fact in equilibrium relative to the past?

Let's look to the most recent vol move. I've drawn the handy yellow arrow (also in the stock chart). While the "normal" behavior in an established company is to see vol drop as stock price rises, in fact, that is not what we see for AAPL. Ney, rather, the implied has popped from 18.29% on 2-6-2012 to 33.01%, as of this writing.

 Another data point for consideration, the IV30™ was 32.36% the day of earnings -- today it's higher than that level. Listen up -- the option market reflects 80% more near-term risk in AAPL form just nine calendar days ago. That risk level is greater than the risk associated with the most recent earnings release (the first without Mr. Steve Jobs).  Not enough.. How about this... Volatility is a percentage. With the stock up $130 and a higher vol, the implied confidence interval in AAPL has gone from +/- $136 to +/- $336.

That doesn't feel like equilibrium. That doesn't feel settled. That doesn't feel like safety.

I've included the Options Tab, for completeness.



This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Abercrombie & Fitch (ANF) - Stock Rips Off of Earnings; But Is It a Head Fake?

ANF is trading $48.60, up 9.0% with IV30™ down 16.6% as of ~9:55am EST. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Abercrombie & Fitch Co. (A&F), through its subsidiaries, a specialty retailer that operates stores and direct-to-consumer operations selling casual sportswear apparel, including knit and woven shirts, graphic t-shirts, fleece, jeans and woven pants, shorts, sweaters, outerwear, personal care products, and accessories for men, women and kids under the Abercrombie & Fitch, abercrombie kids, and Hollister brands.

The company is popping off of the earnings report this morning. Here’s a snippet to summarize:

---
Abercrombie & Fitch fourth-quarter profit tumbled 79%, but that didn’t stop its stock from shooting up in pre-market trading.

Excluding one-time items, the teen-clothing designer booked $1.12 in adjusted earnings per share, about 3 cents short of Wall Street‘s forecast. Abercrombie & Fitch earned $19.6 million in the fourth-quarter, down from $92.6 million a year ago.

The clothing company faced a highly promotional holiday season and cotton prices that reached an all-time high, CEO Mike Jeffries said. “Our results for the fourth quarter were below our expectations in an extremely challenging environment. However, we are confident that we are on track with our long term strategy of leveraging the international appeal of our iconic brands to build a highly profitable, sustainable, global business,” he said in a news release.

Source: Forbes via Yahoo! Finance -- Abercrombie & Fitch Shares Jump Despite Plummeting Q4 Profit.
---

It’s interesting that the stock movement is up. In fact, the article has a Freudian slip where it claims ANF “was down 7.02% at to $47.72 in pre-market trading.”

In any case, with the stock popping the front month skew is substantially to the second month. Let’s look to the Skew Tab, below.



We can see the parabolic shape in the Feb vols, while the back two expiries are rather normal. Those OTM puts and calls in Feb are in fact not trivial in terms of value. Let’s look to the Options Tab for actual prices.



Check out, for example, the Feb 50 calls priced to just under 55% vol, while Mar 50 calls are priced to 38.5% vol. On the downside, the Feb 47 puts are priced to 54.5% vol compared to Mar 47 puts priced to 41.16% vol. Of course, these elevated vols in Feb are normal (or at least expected) as the front month options will remain sticky for a while as the stock finds some sort of equilibrium after this large move (and news).

Finally, let’s look to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here.  But, we can see in the stock portion thatI’ve highlighted a series of gaps down in  ANF. Two off of earnings and two off of other news. The last bit is the pop today. The point being, the stock has a tendency to gap down and in all fairness, the news today wasn’t exactly awe inspiring. On the vol side, we can see how the HV20™ was already elevated from the recent drop of around 15% on 2-2-2012.

In terms of future direction, it’s not impossible that the stock rally is a mirage and that in the near-term the stock will find it’s way down. Then again, if the stock is rallying, perhaps it’s a turnaround story? Ok, that wasn’t very helpful.

Ultimately, I love the vol discrepancy between the front and the back, but this is certainly a case where that gamma in Feb, at least as of right now, is properly elevated. It's possible the vol in the front will price significantly lower by the close, but the move in parity may well offset that vol move. Ya know, or not?

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Pre-Market/Post Market: 2-15-12

To get an e-mail alert when a new pre-market report is posted please send an e-mail to support (support (at) livevol.com) with "Pre-market" in the subject line.

-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------



Download as .pdf: PDF Download




Download as .pdf: PDF Download

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Yahoo! (YHOO) - Stock Drops and Vol Explodes on News That Alibaba Walks Away

YHOO is trading $15.07, down 6.5% with IV30™ up 25.0%. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

Yahoo! Inc. (Yahoo!) is a digital media company. Yahoo! provides engaging and canvases for advertisers to connect with their target audiences.

The stock has plummeted midday with vol exploding up 25%. I've included the tick chart below -- the top is the stock price, the bottom the vol (one-minute ticks for day).



Check out the move -- the stock fell off a cliff as vol popped. Here's the midday news that acted as the catalyst:

---
(Reuters) - Yahoo Inc and its Asian partners, China's Alibaba and Japan's Softbank Corp, have called off talks over a tax-free sale of the U.S. company's prized Asian assets, a source familiar with the situation told Reuters.

Collapse of the proposed deal -- referred to as a cash-rich split-off -- would mark the latest setback for an erstwhile Internet media giant now struggling to turn its business around and appease unhappy shareholders.

The source, confirming a report by the influential technology blog AllThingsDigital, said the deal "hit a series of snags" that ultimately buried it. But the source said Yahoo and its Asian partners could still strike another, taxable deal, though that remained to be seen.

Source: Reuters via Yahoo! Finance Yahoo-Alibaba talks called off after snags: source
---

Ouch... Let's turn to the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see the stock has been a fairly tight range over the last three months -- don't let the gyrations fool you, look at the values on the vertical axis to see how "calm" the stock has been. On the vol side, it's very cool how the HV20™ has led the IV30™ down. Those measures are below the long-term historical realized vol (HV180™). The HV10™ is even lower, coming out to 13.53% (annualized). The vol comps right now are:

IV30™: 34.55%
HV10™: 13.53%
HV20™: 18.78%
HV180™: 41.30%

We see lower realized vols as the time-frame shortens. One thing to note, the HV is calculated close-to-close, so those short-term measures will show a spike tomorrow.

Let's turn to the Skew Tab.



Mar and Apr lie right on top of each other, while Feb is elevated (and rightly so, given the news). One point of interest, the next earnings release seems to be the Monday after Apr expo.

Finally, let's turn to the Options Tab.



The monthly vols are priced to 44.29%, 34.55% and 35.58%, respectively for Feb, Mar and Apr. It's incredible to see those Feb 16 calls @ $0.04 when the day high was $16.10 today and $16.24 yesterday.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html

Carbo Ceramics (CRR) - Vol Diff Still Open as Expo Approaches in Gapping Stock

CRR is trading $88.30, down 0.4% with IV30™ down 1.0% as of ~10:05am EST. The LIVEVOL® Pro Summary is below.



-----------------------------------------------------------


Click for Free Trial

-----------------------------------------------------------

CARBO Ceramics Inc. is a supplier of ceramic proppant. The Company is a provider of software, and consulting services, spill prevention, containment and geotechnical monitoring.

I wrote about CRR on 2-8-2012, during a rather large stock down today. I noted the elevated vol in the front to the back. You can read that article, entitled: Carbo Ceramics (CRR) - Calendar Spread Opens in Dropping Stock

Today I note the same calendar diff, but this close to expo, it’s all of a sudden a bit more compelling to me. Let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



In the stock portion, I’ve circled the stock drop off of the earnings report. Note how the stock continued to drop after the news making substantially lower lows. At the same time, the implied has stayed relatively stable. It’s not the holistic view of vol that caught my attention – it’s the skew. Let’s take a look.



There you go. The Feb expiry is super elevated to the back months. Given the recent volatility (realized volatility), that makes some sense.

Let’s turn to the Options Tab, for completeness.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. We can see that Feb is priced to 71.07% while Mar is priced to 53.40%. That Feb number is above the long-term historical realized vol (HV180™ is 67.80%), while the Mar implied is exactly the IV30™. Again, that vol diff does have some merit given the rather abrupt realized movement in CRR stock.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html