What’s Up With Weeklys? – August 21, 2013

Tonight marks the beginning of a regular feature for the CBOE Options Hub where we will highlight what is going on in the world of short dated options.   Mid-day on Wednesdays a preliminary list of securities that will have short dated options available appears at www.cboe.com/weeklys.  Our goal is to highlight changes to the list along with any potential short term catalysts that are on the horizon for stocks on the Available Weeklys list.

There are a handful of new names on the list today –

Exchange Traded Funds Ticker Price
WisdomTree Japan Hedge Equity Fund DXJ 44.49
Consumer Staples Sector XLP 39.81
Utilities Select Sector XLU 37.14
Stocks Ticker Price
Cheniere Energy LNG 27.58
Molson Coors Brewing Company TAP 49.88

It is worth noting that last week Vertex Pharmaceuticals (VRTX – 76.35) debuted on the list and is considered active enough to warrant multiple listings also called serial options.  This means there are five consecutive expiration weeks in a row available for trading in VRTX.   I checked the implied volatility history over the past twelve months and noted at the range is between the mid-30’s and mid-70’s.

This time of year the earnings calendar is fairly light, but there are a few stocks with short dated options that report next week.   The table below shows when the earnings report is scheduled along with the average one day change for each stock over the last twelve earnings releases.   Many option traders like to focus on this average one day move when considering bullish, bearish, high volatility or low volatility trades into earnings.

Stock Ticker Earnings Date Time Last Move Average Move
Tiffany & Company TIF 27-Aug Before Open 3.95% 6.07%
Joy Global Inc. JOY 28-Aug Before Open 0.96% 4.74%
Salesforce.com CRM 29-Aug After Close -5.33% 8.32%

 

As a note of explanation the last price move is the one day price change for the first trading session after the earnings announcement.  If a company reports before the market open then it would be that trading day.  If a company reports earnings after the close then it is the price reaction on the following day.  Finally, the average move is an average of the absolute value of price changes over the last three years (12 reports).  This is done to show what sort of move higher or lower might be expected for an average report.

We are still building out our calendar but hope to include other company specific events such as analyst meetings, FDA announcements, and new product introductions in future blog posts.  Any sort of event that may result in a bigger than expected move in a stock with short dated options trading will be included along with earnings reports.