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| As of: Fri, 10 Feb 2012 03:56 PM EST. Tables updated hourly. Data available real-time to IB customers in Trader Workstation. |
Click for a Summary Explanation
The IB Options and Futures Intelligence Report presents vital market information that is extremely useful to serious traders based on Interactive Brokers Group's experience of professionally trading the markets for nearly three decades. Option and futures pricing data has built-in information that provides the option and futures markets’ consensus outlook for subsequent activity in the markets. These leading indicators can provide a guide to traders and investors before news is widely disseminated to the public at large or reflected in underlying prices.
One of the most important of these indicators, implied volatility, represents the markets’ view of uncertainty associated with future price movements. When the current implied volatility is compared to the prior day’s implied volatility, a large increase can foretell unexpected news developments and provide an opportunity to adjust positions accordingly. This gain indicates that option market participants anticipate greater price movement than in the past, possibly because of information that is not yet readily available. Conversely a large decrease in implied volatility indicates the expectation of subsiding price movements, possibly because all recent news has been reflected in current underlying prices. Large premium or discount of implied volatility to historical volatility over the past 30 days is frequently not justified and may represent significant trading opportunities. Other options market data presented in our report such as volumes, and call/put ratios also plays a role in undersaanding sentiment in the markets.
For futures markets we present two measures: Synthetic EFP Rates and Futures Arbitrage Premium/Discount Index. The Synthetic EFP Rates highlight financing opportunities where entering into an Exchange for Physical (stock for single stock future swap) will provide a lucrative investment return or a very low borrowing rate. The Futures Arbitrage Premium/Discount Index highlights discrepancies between major index future contracts and their underlying fair value.
For the purpose of the tables, those options symbols with less than a $5 stock price, and less than 200 options contracts traded, and whose company has less than $1 billion in capital are screened out to eliminate symbols whose information may be more indicative of lack of liquidity in the markets. All tables, except the Fut Arb table, are posted hourly on each trading day from 11:45 to 15:45 ET (with a 15-minute market data delay) under normal circumstances. Tables are also posted at 16:15 ET to capture the market close. The Fut Arb table is updated every 15 minutes (with a 15-minute market delay), 12:00 AM Monday through 11:59 PM Friday. To view volatility and volume as well as other market summary statistics in real-time within our premier direct access trading platform, Trader Workstation, you must have an account with Interactive Brokers. Click "Open an Account" at the top right of the page.
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Table Definition
Top Twenty 30-day (V30) Implied Volatilities
Implied volatility is the options market's prediction of how volatile a given underlying will be in the future. It is calculated by inputting all known information into an options pricing model (i.e. option price, interest rates, dividends, strike price, and expiry date) and backing out the unknown parameter, the implied volatility.
Twenty symbols with the highest implied volatilities are ranked in descending order and displayed on an annualized basis. Implied volatility is calculated using a 100-step binary tree for American style options, and a Black-Scholes model for European style options. Interest rates are calculated using the settlement prices from the day’s Eurodollar futures contracts, and dividends are based on historical payouts.
The IB 30-day volatility (V30) is the at market volatility estimated for a maturity thirty calendar days forward of the current trading day. It is based on option prices from two consecutive expiration months. The first expiration month is that which has at least eight calendar days to run. The implied volatility is estimated for the eight options on the four closest to market strikes in each expiry. The implied volatilities are fit to a parabola as a function of the strike price for each expiry. The at-the-market implied volatility for an expiry is then taken to be the value of the fit parabola at the expected future price for the expiry. A linear interpolation (or extrapolation, as required) of the 30-day variance based on the squares of the at market volatilities is performed. V30 is then the square root of the estimated variance. If there is no first expiration month with less than sixty calendar days to run we do not calculate a V30.
Closing price, and change in price from the prior day are also displayed.
Top Twenty Volatility Gainers and Losers
The current trading day’s 30-day Implied Volatility is divided by the prior trading day’s 30-day Implied Volatility to determine the change in volatility for the day and the top 20 gainers and losers are posted. Gainers are those symbols which the options markets believe will have the greatest up or down price movement in the future as compared to the past, and losers are those symbols which the options markets believe had a large up and down price movement and will stabilize in the future. Implied volatility, closing price, and change in price from the prior day are also displayed.
Top Twenty Options Volumes and Volumes Gainers
Options volumes for the day are displayed for the top twenty symbols with the highest volumes.
The trading day’s options volumes are divided by the previous ten trading day’s options volumes average and the top twenty gainers are posted by symbol.
Closing price, and change in price from the prior day are also displayed.
Implied vs. Historical Volatilities
The 30-day Implied Volatility is divided by the 30-day historical volatility. This ratio highlights those symbols in which the market prediction of future volatility is much different from the volatility in the market over the last 30 days. The formula for historical volatility as defined by Garman-Klass. The top twenty symbols with the highest ratios as well as the top twenty symbols with the lowest ratios are displayed.
Implied volatility, historical volatility, closing price, and change in price from the prior day are also displayed.
Top Twenty Put/Call Volume Ratios and Call/Put Volume Ratios
Put option volumes are divided by call option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the put/call ratio, the HIGHER the value, the more negative the sentiment since it would indicate more puts traded than calls. A ratio of less than one indicates more call volume than put volume.
Call option volumes are divided by put option volumes for the trading day, and the symbols for the twenty highest ratios are displayed. For the call/put ratio, the HIGHER the value, the more positive the sentiment since it would indicate fewer puts trading than calls. A ratio of less than one indicates more put volume than call volume.
Closing price, and change in price from the prior day are also displayed.
Top Twenty Put/Call Open Interest and Call/Put Open Interest
Put option open interest is divided by call option open interest, and displayed for the top twenty symbols with the highest ratios. This ratio may indicate negative sentiment in the options market.
Call option open interest is divided by put option open interest, and are displayed for the top twenty symbols with the highest ratios. This ratio may indicate positive sentiment in the options market.
Open Interest ratios reflect a longer time period than Put/Call and Call/Put daily volume ratios and therefore tend to be less volatile.
Closing price, and change in price from the prior day are also displayed.
Written Commentary
As of: Friday February 10, 2012 at 1:00pm
True Religion falls apart at the seams after earnings
Today’s tickers: TRLG, KR & IGT
TRLG - True Religion Apparel, Inc. – Disappointing fourth-quarter earnings and weaker-than-expected 2012 guidance from high-end apparel maker, True Religion, saw shares down as much as 25.0% this morning to $27.57. The sharp pullback in the price of the underlying is a true kick in the pants for some traders holding bullish options, as the value of their positions tumbled overnight. One hard-hit strategy, a bull call spread initiated at $1.50 per contract yesterday afternoon, is practically worthless today. It looks like the trader purchased a 1,000-lot Feb. $37/$41 call spread for a net premium outlay of $1.50 per contract, looking for maximum possible profits of $2.50 per contract provided True Religion’s shares settled above $41.00 by February expiration. As of the close of trading on Thursday, with shares in TRLG at $36.80, the stock would have needed to rally % for the spread to yield maximum gains to the investor. But, with shares now sharply lower, the price of the underlying must soar nearly 40.0% to $38.50 in order for the trader to at least break even on the position. The trader takes maximum possible losses of $1.50 per contract on the spread if shares fail to rally above $37.00 by expiration next week. Meanwhile, investors that purchased bearish or protective put options heading into the earnings report saw the value of their positions soar. One such trade, the purchase of around 500 Feb. $31 puts for an average premium of $0.70 each at the end of January, is up big today. Investors buying the now deep in-the-money puts this morning paid an average premium of $3.22 per contract this morning, or nearly five times as much. Finally, investors positioning for shares in True Religion to extend losses ahead of February expiration snapped up some 500 puts at the $26 strike and another 140 puts at the $25 strike, at average premiums of $0.34 and $0.13 apiece, respectively.
KR - Kroger Co. – Supermarket operator, Kroger Co., reports fourth-quarter earnings in less than three weeks, and it appears at least one options player is hungry for downside protection. Shares in the Cincinnati, Ohio-based Company, wavering about its closing price of $23.58 for the better part of the session, are currently up one penny at $23.59 as of 12:45 p.m. ET. Trading traffic in Kroger Co. options is heaviest at the Mar. $23 strike, where more than 5,400 puts changed hands against open interest of 372 contracts. It looks like most of the put options were purchased for an average premium of $0.55 apiece. The strategist responsible for the majority of the volume may profit at expiration in March if Kroger’s shares decline 4.8% to breach the average breakeven price of $22.45. The put position may represent an outright bearish play on the supermarket stock, or could be a hedge against a long position in the underlying shares. Kroger’s shares last traded below $22.45 back on November 29, 2011.
IGT - International Game Technology – Shares in the world’s biggest maker of slot machines rallied briefly at the start of the session, but slipped into negative territory to stand 0.60% lower on the day at $15.50 as of 12:20 p.m. in New York. International Game Technology popped up on our scanners within the first 10 minutes of the opening bell due to heavier-than-usual activity in put options. It looks like one investor expecting shares in the gaming company to exceed $15.00 during the next several months sold around 3,200 puts at the April $15 strike for a premium of $0.65 per contract. The trader keeps the full amount of premium as long as shares settle above the strike price at April expiration. Selling the put options also means the trader could wind up having a large chunk of shares put to him at an effective price of $14.35 each in the event the contracts land in-the-money. Shares in IGT have traded above $15.00 since early October 2011.
Caitlin Duffy |
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The material presented in this commentary is provided for informational purposes only and is based upon information that is considered to be reliable. However, neither Interactive Brokers LLC nor its affiliates warrant its completeness, accuracy or adequacy and it should not be relied upon as such. Neither IB nor its affiliates are responsible for any errors or omissions or for results obtained from the use of this information. Past performance is not necessarily indicative of future results.
This material is not intended as an offer or solicitation for the purchase or sale of any security or other financial instrument. Securities or other financial instruments mentioned in this material are not suitable for all investors. Any opinions expressed herein are given in good faith, are subject to change without notice, and are only correct as of the stated date of their issue. The information contained herein does not constitute advice on the tax consequences of making any particular investment decision. This material does not take into account your particular investment objectives, financial situations or needs and is not intended as a recommendation to you of any particular securities, financial instruments or strategies. Before investing, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.
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| Current Price | Put Open Int | Weekly Change in Put OI | Call Open Int | Weekly Change in Call OI | Put/Call Open Int Ratio | 30-day Historical Vol (%) | Implied Volatility (%) | |
 Euro (EUR.USD) |
1.3171 | 307,785 | 31,071 | 98,058 | 5,787 | 3.1 | 10.1 | 11.9 |
 Yen (USD.JPY) |
77.6375 | 111,866 | 9,225 | 33,087 | 5,379 | 3.4 | 6.2 | 7.8 |
 Pound (GBP.USD) |
1.5737 | 6,192 | 554 | 3,224 | 186 | 1.9 | 6.6 | 7.8 |
 Canada (USD.CAD) |
1.0023 | 4,591 | 491 | 6,863 | 460 | 0.7 | 7.2 | 8.7 |
 Aussie (AUD.USD) |
1.0664 | 48,455 | 4,809 | 11,620 | -440 | 4.2 | 10.6 | 12.7 |
 Swiss (USD.CHF) |
0.9177 | 15,534 | 131 | 5,609 | 923 | 2.8 | 9.3 | 12.1 |
