The uptick in realized and implied volatility this week has dramatically changed the prevailing sentiment from the cheap money-fueled endless bull run to a much more cautious stance. CBOE Volatility Index (VIX) was well below 13 for a few days last week and has spent much of this week near 17- simple rule of 16 (divide that annualized volatility number by the square root of 252) tells us that statistically speaking the expected daily range has grown by nearly a third- from a 0.8% daily standard deviation to more than 1% per day.
This shakeup in equity prices presents opportunities for many types of traders- from algo-based strategies that were stalled due to low volatility, to value and earnings traders who have seen some price moves outside of recent ranges. While the overall market sentiment has turned decidedly cautious (SPY put/call ratio lifting from 1.5 to 1.8 since January), there are still a number of bullish spots worth watching for an outright long or outperformance position vs. SPY.
Genetics firm Illumina (ILMN) is seeing opening June 60 call buying this morning as shares trade near $56.78. Earnings are to be released next week. The focus is on the June 60 strike. 1,900 contracts so far, with a $2.35 average price. Skew bent to call side.
ON Semiconductor (ONNN) saw aggressive buying of April and May 8 strike calls yesterday- shares sold off with Intel (INTC) and are a bit lower today ($7.70) but flow suggests some buying on weakness in the name. Earnings are due in early May. The 52 week range on shares is $5.82 (Nov) to $8.68 (Feb).
Another semiconductor Micron (MU) seeing some notable call buying this morning- 10 strike May calls for $0.28 to $0.31, might close an existing position.
Medical supplies company Baxter International (BAX) is near flat after earnings and a buyer stepped in to pick up nearly 5,000 August 72.50 calls today. Yesterday we saw a bullish collar in August 65-75 7,500x to open, and today looks like it may add to that bullish bet on the name.
Abercrombie & Fitch (ANF) shares have bounced between near 45 and 50 a few times this year and a call spread trading this morning suggests a bullish view- initiator bought the June 52-57 call spread for $0.71 and then $0.72 a total of 2,500x as shares traded near 46.01.
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