Ophir Gottlieb | Apr 13, 2012 01:52AM ET
Safeway Inc. (Safeway) is a food and drug retailer in North America. As of December 3 1, 2011, the Company had 1,678 stores.
I found this stock using a custom scan searching for names where IV30™ is up at least 10% on the day. This is a takeover rumor name with earnings likely in the second month, making for an interesting vol set-up. The implied in this name has been up nearly 75% over the last four weeks and today's news adds to that trend pushing IV30™ to nearly a double since 3-19-2012.
The scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.
Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10
Let's start with the news today that's pushing vol today:
Rumor Round Up
* Safeway (SWY) spiked higher following takeover rumors.
While many rumors circulate during the day, and the validity of the source of these rumors can be questionable, the speculation may increase volatility in the near term.
Source: Provided by Briefing.com (www.briefing.com)
The SWY Charts Tab is included below and helps illustrate the awesome vol climb of late. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).
The implied is now well above both of the historical measures. The vol comps are:
IV30™: 38.51%
HV20™: 23.23%
HV180™: 31.98%
The Skew Tab (below) illustrates the vols by strike by month and uncovers another interesting phenomenon.
I was wondering how much the rumor today moved the skew, specifically wrt the Apr to May comp. I've included the Skew Tab snap from yesterday, below.
Finally, let's turn to the Options Tab, for completeness.
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