High implied volatility

In our earlier note we commented that the broader level of volatility remains low even as the market slips, yet remains close to record highs. That might be true of the broad market – the CBOE Vix index measures implied volatility across the entire S&P 500 index components in its calculation of market volatility.

The following selection of companies exhibit higher readings of implied volatility according to IB’s Market Scanners. These companies have a market cap of at least $1-billion and have share prices greater than $5.00, and trade volume in excess of 1 million shares on average over 30-days.

A strategy some options traders may use when faced with high levels of implied volatility is to write straddle or strangle combinations to capture premium. For example, FireEye (Ticker: FEYE) is on our ’Highest Option Implied Volatility’ scanner today. With its 75.4% reading of implied volatility, the $3.85 premium on a 31-day June 30/33 short strangle for this $31.20 stock infers a breakeven range of between $25.95 and $37.05.

 

Table: Highest option implied volatility

 

Contract

Last

Change %

Opt. Implied Volatility %

Opt. Volume

Average Option Volume

Market Cap

Volume

Average Volume

 
 

FEYE

31.20

7.8%

75.4%

             28,497

27.3K

        4,526,804,010

     6,723,400

        5,362,200

 

SPLK

43.89

-0.2%

73.3%

               2,114

5.21K

        5,187,313,094

     1,700,600

        3,607,700

 

GOGO

14.63

1.0%

67.9%

               2,110

13.0K

        1,244,221,889

     1,355,300

        3,684,100

 

EJ

9.16

12.0%

64.8%

               4,924

1.49K

        1,308,135,345

     2,881,300

        2,690,200

 

ARIA

6.48

-1.8%

63.1%

               1,471

7.49K

        1,210,453,200

     2,519,600

      11,542,700

 

ITMN

37.87

-2.7%

62.3%

               2,273

4.77K

        3,744,704,698

     1,049,400

        3,745,600

 

CSIQ

22.59

4.1%

62.0%

               3,008

6.87K

        1,237,257,734

     2,408,000

        4,396,800

 

SCTY

48.99

-1.4%

61.3%

               4,784

40.7K

        4,512,009,569

     1,649,300

        5,516,500

 

MNKD

7.52

1.8%

59.9%

             20,568

17.4K

        2,922,385,970

     5,515,000

      10,455,200

 

HIMX

7.33

3.6%

59.8%

               1,564

6.13K

        1,250,236,071

     2,468,700

        6,986,600

 

  

 

 

About the Author
Andrew Wilkinson

Andrew is a seasoned trader and commentator of global financial markets. He worked for several London-based banks trading cash and derivatives before moving to the U.S. to attend graduate school. Andrew re-joins Interactive Brokers following a two-year stretch at a major Wall Street broker-dealer as their Chief Economic Strategist. His coverage of stocks, options, futures, forex and bonds regularly surfaces in global media, and over the last several years Andrew has made many TV appearances on Bloomberg, BBC, CNBC and BNN and Yahoo Finance.

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