Coeur d'Alene Mones (CDE) - Rising Vol, Rising Skew, Dipping Stock

CDE is trading $30.80, up 0.6% with IV30™ down 2.4%. The LIVEVOL® Pro Summary is below.



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Coeur d’Alene Mines Corporation (Coeur) is a silver producer with gold assets located in North America. The Company, through its subsidiaries, is engaged in the operation, ownership, development and exploration of silver and gold mining properties and companies located primarily within South America (Chile, Argentina and Bolivia), Mexico (Chihuahua), United States (Nevada and Alaska) and Australia (New South Wales).

This stock has some interesting vol phenomena coming into earnings. Let's start with the Charts Tab. 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 dipped pretty sharply of late while the IV30™ has spiked. Last earnings cycle, the ATM straddle rose to ~53 vol. The options montage on 2-25-2011 close is included below (CDE closed $27.65).



The following day the stock gapped up more than $4 on the earnings release. Looking to the Options Tab as of today (below), we can see the ATM vol is just under 60, with a few weeks to go before earnings.



So, in English, the vol is higher today with a few weeks to go before earnings than it was the day of earnings on the last cycle. It's pretty obvious that the option market reflects elevated risk.  The Skew Tab also shows some cool vol.



We can see the upside is bid as the skew bends higher to the OTM calls. There's also an interesting bump in the May 38 call vol which is over 62 vol. I posted an article to TheStreet.com on CDE, so no specific trade analysis, but there's a lot going on here -- very cool vol to examine.

This is trade analysis, not a recommendation.

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BMC Software (BMC) - Calls Trade, OI Loaded Ahead of Earnings

BMC is trading $48.86, down 0.7% with IV30™ up 4.1%. The LIVEVOL® Pro Summary is below.



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BMC Software, Inc. is a software vendor. The Company provides systems management, service management and automation solutions primarily for large enterprises. Its portfolio of software solutions include mainframe, distributed and virtualized systems, applications, databases and information technology (IT) process management functions.

I'll post a vol story for the second article today, but for now, let's look at BMC and some earnings order flow. The company has traded just over 7,000 contracts on total daily average option volume of just 1,475. All but one contract are calls, yielding a 7044:1 call:put ratio. The action is in the front month where earnings are due out in a few weeks. The May 52.5 calls have traded over 5,100x (substantially purchases in my opinion) and the May 50 calls have traded 1,875x (also substantially purchases IMO). The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the May 52.5 calls are mostly opening (compare OI to trade size). The May 50 calls actually look like short OI against what I believe are purchases today. The only other OI that's near 5,000 is the May 55 calls -- those also seem long. Hmm...



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



The skew looks normal, though the upside is flat in May and Jun (i.e. vol is higher than "normal.")

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).



The stock has been relatively... uninteresting. The vol is elevated coming into earnings. The stock volume is on track for a normal day, so I don't see the calls getting turned into puts. The OI in the May 55 calls (and now the 52.5 calls) does have my attention. Yet another one to keep your eyes on. The skew does tend to bend on BMC when call volume picks up -- so watch for some interesting skew trades to the upside.

This is trade analysis, not a recommendation.

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Sony (SNE) - Calls Trade Ahead of Earnings on Elevated Vol

SNE is trading $29.25, down 1.5% with IV30™ up 8.3%. The LIVEVOL® Pro Summary is below.



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Sony Corporation (Sony) is engaged in the development, design, manufacture, and sale of various kinds of electronic equipment, instruments, and devices for consumer, professional and industrial markets, as well as game consoles and software.

Earnings are due out around the middle of May -- so, likely the May options cycle. The order flow caught my attention as did the vol.

The company has traded over 6,924 contracts on total daily average option volume of just 1,631. Calls have traded on a 4.5:1 ratio to puts. The action has been in the May 30 calls, where 4,614 contracts have changed hands. I believe the order flow to be mostly purchases. 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). When looking down the entire option chain for SNE, I don't see any OI larger than 2,200 and that's in Jan '12, so the volume in the May calls is quite high for this stock.



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



The upside skew sort of bends up in May on the 33 strike -- but in general the shape is pretty normal in both the front two months. I would have expected a bit more reaction in vol -- but alas, there isn't as of yet.

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).



We can see the stock collpased on the Japanese disaster and is actually plunging to new recent lows today. The IV30™ is substantially elevated to the short-term and long-term realized vols.

The stock volume is about half the daily average so it doesn't feel like the calls are geting turned into synthetic puts -- this does feel like a bullish play on dipping stock headed into earnings this cycle (or probably this cycle).

Possible Trades to Analyze
There isn't a whole lot going on in terms of skew bumps, etc. One trade that just feels sort of interesting is the May 31/33 call spread for $0.35 or the 32/33 call spread for $0.15. Both trades sell either equal (ish) or higher vol than they purchase in a call spread. Having said that, it isn't spectacularly interesting to me.

I'd keep an eye on this one - my guess is another day of similar order flow, and the skew will bend to open some nice spreads to examine.

This is trade analysis, not a recommendation.

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Tibco Software (TIBX) - Elevated Vol and Bent Skew

TIBX is trading $28.63, down 0.8% with IV30™ down 4.2%. The LIVEVOL™ Pro Summary is below.



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TIBCO Software Inc. (TIBCO) is an independent provider of middleware and infrastructure software. I can't discuss any specific trades as I posted this pone for TheStreet.com, but there is some cool vol and skew stuff happenin' here.

I found the stock using a real-time custom scan. This one hunts for high vols.

Custom Scan Details
Stock Price >= $7 <= $70
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 <=60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The TIBX 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).

 



We can see:
IV30™: 42.35
HV20™: 27.13
HV180™: 34.71

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. Let's turn to the Skew Tab.



Two things I saw here.
1. While May is elevated to Aug, the next earnings cycle is due out either at the end of the Jun cycle, or more likely, the beginning of the Jul cycle. Hypothetically one could purchase depressed Aug and sell May, then sell Jun (after May expo), and own earnings vol against two sales that might actually be higher than Aug. Dunno, just a thought..

2. Extending observation #1 a bit -- we can see that the 31-33 strikes show an even greater vol disparity between months.

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



The May 29 straddle is priced at ~ 41.5 vol.

This is trade analysis, not a recommendation.

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Lockheed Martin (LMT) - Stock Tumbles, Calls Trade Ahead of Earnings

LMT is trading $77.50, down 1.0% with IV30™ up 9.4%. The LIVEVOL® Pro Summary is below.



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Lockheed Martin Corporation is a global security company engaged in the research, design, development, manufacture, integration, and sustainment of advanced technology systems and products.

The company has sold off of late on the new budget cuts -- specifically defense related. Earnings are due out in late Apr (the May option cycle), and the order flow today in May calls has been quite substantial.

The company has traded over 17,000 contracts on total daily average option volume of just 2,864. Calls have traded over 13,000x on a 3.2:1 ratio to puts. The May 80 calls have traded nearly 10,500x on what appears to be substantially buyer initiated action. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the May 80 calls are mostly opening (compare OI to trade size). When looking down the entire option chain, I don't see any OI larger than 3,217, so this volume is quite substantial for LMT.



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



Quite disappointingly, the skew hasn't changed shape except for maybe the tail end of the May upside (the 85 strike). I don't see a whole lot of skew spread opportunities on the board. Actually, I don't really see any...

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).



A pretty cool chart on both sides. The stock headed up quite quickly in late 2010/early 2011, then found a quiet period. Of late it's dropped hard -- the stock was as high as $81.92 on 4-8-2011 (i.e. 6 days ago).

On the vol side, we can see that IV30™ tends to trade above both the short-term and long-term realized vols (might be a good idea to make a note of that).

Possible Trades to Analyze
The sentiment on the spec side seems to be that the sell off is over done. Purchasing the elevated earnings vol feels -- well, like purchasing elevated earnings vol. I dunno, maybe if IV stays above the HV's, this is a good front spread (vol sale) -- particularly the downside vol. For now, I don't have any specific trades to analyze.

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GameStop (GME) - Stock and Vol Pop... Is GME the Next Netflix?

GME is trading $24.98, up 5.0% with IV30™ up 8.0%. The LIVEVOL® Pro Summary is below.



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GameStop Corp. (GameStop) is a retailer of video game products and personal computer (PC) entertainment software.

The stock is up (from what I can tell) on an interesting research note from Janney Capital analyst Tony Wible this morning. Here's a snippet from a Forbes article where I found the news:
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GameStop (GME), the video game retailer, could be the next Netflix. He doesn’t think the company is quite there yet, and this is not to say that he thinks the company is going to compete with Netflix; he just means that the company is going through a similar transition from the physical world to the digital world. “GME is facing a digital transition similar to that undertaken by NFLX as it invests in new platforms to complement its packaged media, and as it leverages proprietary information to put the right content in front of the right investor at the right time.”

He goes on to offer 10 reasons to own the stock:
Source: GameStop: The Netflix Of Games? by Eric Savitz.
---

Ooo... The next Netflix.

GME company has traded over 15,000 contracts on total daily average option volume of just 6,342. Calls have traded on a 9.4:1 ratio to puts with the action in the May 27, Jul 27 and Jul 28 calls -- all appearing as substantially purchases. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the three calls listed above are mostly opening (compare OI to trade size). Option premium buyers are in today -- and to the call side. I do note that stock volume is already twice the daily average as well with more than 8 million shares trading.



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



We can see Apr has a notable upside skew bend. May is also slightly parabolic reflecting nearly equal risk to the upside and downside.

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).



We can see the stock climb of late and of course, the nice pop today. GME actually appeared on a high vol scan -- IV30™ is substantially elevated to HV20 and HV180. Apparently, with good reason...

This is trade analysis, not a recommendation.

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Big Lots (BIG) - Big Vol and Big News Coming in BIG

BIG is trading $42.86, down 0.9% with IV30™ down 1.6%. The LIVEVOL® Pro Summary is below.



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Big Lots, Inc. through its wholly owned subsidiaries is a closeout retailer. The Company’s merchandising categories include Consumables, Home, Furniture, Hardlines, Seasonal, and Other.

The news here is the vol -- and specifically, the vol reflected by the potential bid for a takeover. Here's a news snippet from Financial Times (FT.com)
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Several private equity firms are receiving management presentations from Big Lots (NYSE:BIG), two sources familiar with the process told dealReporter.

Some of the financial sponsors have formed consortiums to bid on the Columbus, Ohio-based closeout retailer. TPG and Bain Capital have formed one group, while Leonard Green & Partners and CVC Capital Partners have joined forces for another, these sources said. Thomas H. Lee Partners, meanwhile, may be working on it own, said the first source.

The next round of bids is expected around 20 April, although the date is not set in stone and could change depending on the progress of ongoing due diligence by potential suitors, the sources said.

Goldman Sachs, the financial advisor to Big Lots, is running “a robust sale process,” a third source said. However, bidders are intent on taking their time with due diligence, this source added.
Source:Leonard Green and CVC join Big Lots auction process By Bhavna Kaul, Yana Morris and Soma Biswas
---

Ah ha...

It's interesting to note that BIG likely has earnings after the May options cycle, but the vol in July (third month) is still substantially depressed to May b/c of the takeover news. I've inlcluded the Skew Tab below.



The shape of the skew is normal -- which in this case is a bit odd, or at least noteworthy. The option market does not reflect equal risk to the upside as the downside. That may be in part due to the stock price pop that occurred on first news of BIG going up for sale.

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).



I've highlighted two things:
1. The stock pop on the first news of BIG going for sale.
2. The notably elevated IV30™ relative to HV20 and HV180.

Finally, let's turn to the Options Tab.



Without delving too deep, we can see the ATM May straddle (42.5 strike) is worth about $4.55, or 10.7% of the stock price.

Possible Trades to Analyze
With the skew showing little shape changes and the uncertainty as high as it is, I actually don't see any compelling trades to analyze right now. I'd rather watch this thing play out and possibly find some skew trades as the story progresses. This is definitely one for the watchlist.

This is trade analysis, not a recommendation.

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Fairchild Semi (FCS) - Calls Trade Size Two Days Pre-Earnings

FCS is trading $19.00, with IV30™ up 8.3%. The LIVEVOL® Pro Summary is below.



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Fairchild Semiconductor International, Inc. is focused on developing, manufacturing and selling power analog, power discrete and certain non-power semiconductor solutions to a range of end market customers.

There's some interesting one-sided front month earnings order flow here. The company has traded over 7,604 contracts on total daily average option volume of just 822. All but 200 contracts have been calls, yielding a 37:1 call:put ratio. The action has been in the Apr 19 calls, where 7,211 contracts have changed hands -- substantially buyer initiated in my opinion. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the Apr 19 calls are mostly opening (compare OI to trade size). When looking down the entire option chain for FCS, I don't see any OI larger than 1,907, so assuming the order flow in the calls is substantially one-sided, the resulting open interest will be very large for this company..



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



The front month is hyper elevated to the back because of earnings and expo -- essentially Apr options come down to the single day of earnings. It is interesting that the upside skew isn't bending upwards toward order flow. It will be interesting to see the OI tomorrow, maybe it isn't one-sided, though that would surprise me.

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).



We can see the stock has steadily climbed over the last 6 months. On the vol side (bottom), we can see the IV30™ peaked in early/mid March, has come down and now is rising again into the earnings announcement.

This is trade analysis, not a recommendation.

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