Thursday, March 28, 2013

Post Market Report: 3-28-13

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Repros (RPRX) - Stock Pops 80% B/C Gay Cubans Have Lots of Sex...?


RPRX is trading $16.22, up 77.7% with IV30™ down 54.5%. The LIVEVOL® Pro Summary is below.



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Repros Therapeutics, Inc. is a United States-based company that develops products and services for the management of reproductive health.

I last wrote about RPRX on 3-1-2013 (i.e. about a month ago). You can read that post here (and I have included the Symbol Summary from that day below as well.:

Repros Therapeutics (RPRX) - Vol Rising in Gapping Stock; Headed to Multi-year Vol Highs into Earnings... Buckle Up

3-1-2013


3-28-2013


"Buckle up" indeed was correct. Here's the news moving the stock, and I am not kidding about the headline:

---
THE WOODLANDS, Texas (TheStreet) -- Yes, Repros Therapeutics(RPRX) CEO Joe Podolski really did get on a conference call Thursday morning to say that his experimental testosterone drug Androxal helped gay Cubans have more sex.

The gay Cubans entered the clinical trial with low testosterone. But after taking Androxal, their testosterone levels rose, leading to lots of sex, Podolski explained. The gay Cuban men had so much sex, in fact, that it caused their sperm counts to fall. Don't blame Androxal for lower sperm counts, Podolski said, blame gay Cubans having so much sex that their ammunition ran low.

At another point during the conference call, Podolski disclosed that a nurse at one of the Androxal clinical trial sites fabricated baseline sperm counts for patients. When Repros discovered the data fraud, the company changed the numbers and everything turned out fine.

Source: TheStreet via Yahoo! Finance;
Repros CEO: My Testosterone Drug Helped Gay Cubans Have Lots of Sex, written by Adam Feuerstein.
---

Well, there you go. There is some disturbing news about some fabricated sperm counts, but I guess that's kinda not a big deal?... As far as I can tell, this is not an FDA trial, it's just sort of circumstantial evidence of the drug's efficacy?

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



Three phenomena catch my eye:
1. This was a $4 stock a year ago... Whoa...
2. The incredible stock pop today.
3. The equally impressive vol drop.

Let's turn to the IV30™ chart in isolation below, for the same one-year time period.



Obviously, the point here is the vol drop. So, regardless of whether this is FDA relevant or not, the option market was reflecting heightened risk due to these results and now that they are out, the risk (vol) has collapsed.

Finally, let's turn to the Options Tab.



Across the top we can see Apr vol is priced to 81.84% and May is priced to 75.53%. ultimately this is some excellent news for the firm, or so the equity market says. i guess the potential impropriety by a nurse is nothing to be worried about?... So, everything else was measured correctly?

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Pre-Market/Post Market: 3-28-13

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Wednesday, March 27, 2013

Post Market Report: 3-27-13

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EBAY - Vol Breaches Annual High Well Ahead of Earnings as Stock Continues to Rise


EBAY closed Monday's session at 52.09, up 1.5% with IV30™ up another 6.2% going from 36.63% to 38.89%. The LIVEVOL® Pro Summary is below.



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eBay Inc. is a global technology company that enables commerce through three reportable segments: Marketplaces, Payments, and GSI.

I noticed eBay tonight perusing the market because of the vol -- namely vol that has reached an annual high well ahead of earnings due out in mid Apr -- very close to Apr expiry. It's certainly expected that vol will rise into the event, which is why the fact that the implied has breached its annual high already caught my attention.

The one-year eBay 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).



On the stock side we can see the rather consistent move upwards over the last twelve months. One year ago, this was a $38.08 stock, so it's up 37% Y-O-Y. For those that haven't looked recently, this is nearly a $70 billion company... eBay! Whoa!

But, unlike so many posts I've published recently, this is a stock that is seeing near annual highs in stock price and is also seeing new annual highs in vol. Let's turn to the one-year IV30™ chart in isolation, below.



We can see that hypnotic vol pattern into and out of earnings, like almost every other firm. But this time things are different. The implied has breached its annual high and we are several weeks away from earnings. As that event nears, unless there is some sort of pre-announcement, the vol will continue to rise. In English, the annual high as of today will likely be shattered by the times earnings roll around in mid Apr. But the stock has been going up, so what's the happs? Honesty, I dunno... But I thought it was interesting enough to write about at 10:22pm EST.

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



Across the top we can see the monthly vols are priced to 40.52% for Apr and 32.91% for May. Although it seems like there is some ambiguity as to when earnings will be announced, the option market reflects a date inside Apr expiry. The 52 wk high in IV30™ is the current level (38.89%) with Apr already priced to 40.52%. My best guess is we could see 50% IV30™ in a couple of weeks, not to mention Apr vol in and of itself (IV30™ is a weighted average of two months).

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Pre-Market/Post Market: 3-27-13

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Tuesday, March 26, 2013

Post Market Report: 3-26-13

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Pre-Market/Post Market: 3-26-13

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Monday, March 25, 2013

Post Market Report: 3-25-13

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Virinet (VHC) - Stock Breaches New Annual Low a Week After Catastrophic Legal Decision; Implied Pops Again.

VHC is trading $19.98, down 8.7% with IV30™ exploding up 22.8%. The LIVEVOL® Pro Summary is below.



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VirnetX Holding Corporation, is engaged in the business of commercializing a portfolio of patents.

I last wrote about VHC on 3-11-2013. You can that post here:
VirnetX (VHC) - Calendar Vol Diff Says One-Thing: Buckle Up, Something Huge is Coming in Five Days or Less

VHC just had an absolutely catastrophic ruling come against them with respect to a patent infringement lawsuit they were prosecuting against CSCO. In short, they lost, even though the firm (VHC) had won something similar against AAPL prior. The stock has cratered since then… But today the stock is down another 10% and has breached an annual low. Further, I found VHC using a real-time custom scan that hunts for vol gainers on the day, and it’s on the very short list.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The goal with this scan is to identify names with rising IV30™ that also have a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

The one-year VHC 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).



If we look at that stock chart we can see not only the recent implosion, but the continued stock drop from that implosion (including today’s ~10% drop). The price today is now a new annual low. But, this is also a vol note, so let’s check out the IV30™ chart in isolation for the last year.



That recent dip in the implied occurred after the bad news (court ruling) and it has now turned back up on today’s stock drop. Given the recent news on this stock, I just don’t understand how it could have been priced in the 70% vol range, and quite frankly, 90% doesn’t exactly feel high (though it’s definitely more befitting than 70%).

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



Across the top we can see Apr vol is priced to 94.13% and May is priced to 84.79%. In fact, the entire vol term structure shows reduced risk monotonically was we move to further out expirations. To more clearly demonstrate this phenomenon, I have included the Skew Tab for VHC as of today below.



We can see how the further we go out in time, the lower the vol. For now I say, 90% implied feels a lot more like fair value than the 75% (or whatever) it was a few days ago.

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Pre-Market/Post Market: 3-25-13

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Friday, March 22, 2013

Post Market Report: 3-22-13

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Eldorado Gold (EGO) - Massive Call Buying in July Changes Skew; Pushes Back Month Vol as Stock Nears Multi-year Lows


EGO is trading $9.80, up 1.5% with IV30™ down 6.4%. The LIVEVOL® Pro Summary is below.



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Eldorado Gold Corporation (Eldorado) is a gold exploration, development, mining and production company. The Company owns and operates mines worldwide.

This is an order flow and skew note -- with action in the July calls. The company has traded 51,851 contracts on total daily average option volume of just 2,405. Calls have traded on a 16.6:1 ratio to puts with the action in the July 10 calls. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the July 10 calls have traded more than 44,000 times on existing OI of just 2,779. When looking down the entire option chain for EGO, I don't see any OI even close to five-figures, so the volume in July calls is enormous for this name. Further I note that while Apr vol is down, July vol is up quite substantially pointing to circumstantial evidence that this is call buying. While the stock volume is higher than average, given that these are 50 delta options, the lion share of the calls are potentially going unhedged.



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



I have included just the July skew and I note simply that the skew flattens at the 9,10, 11 strikes then continues in a normal shape (decreasing vol to OTM calls). In English, the order flow does seem to have an effect on the skew shape.

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



On the stock side we can see price is near a multi-year low, so the call buying may be opportunistic. The 52 wk range in IV30™ is [32.20%, 59.72%], putting the current level in the 23rd percentile. Certainly July vol is higher than IV30™, but still, this looks like call buying in a depressed stock with depressed vol. At the very least, it looks like vega buying if not directional wrt delta. One to add to the watchlist I would say...

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Pre-Market/Post Market: 3-22-13

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