Big changes in implied volatilities (IV) are a harbinger of big moves in the underlying stock. For example, if there is a big increase in the VIX (the fear gauge), investors expect a big move in the S&P 500. Raltin has created synthetic VIX like trackers for every stock & ETF to check for big changes in implied volatility. Based on that analysis, here are the stocks that have a big change in IV and are likely to be big movers in the coming weeks. Douglas Emmett - DEI Douglas Emmett Inc. is a NYSE listed real estate investment trust company. The below chart from Raltin’s Options Analytics indicates that the IV for the 30 Day At the Money (ATM) call is 32% which is its 52 week high as well. The ATM straddle premium is 7.83% and also close to a yearly high of 9.14%. The ATM straddle premium implies that the underlying stock has to move 7.83% before it becomes profitable for an ATM straddle buyer. The put call ratio (based on open interest) is at 0.58. National Beverage Corp. - FIZZ National Beverage Corp. is an American beverage developer, manufacturer, and distributor based in Fort Lauderdale, Florida, focused on flavored soft drinks, has a significant downtrend in this year’s Quarterly financials. The IV for the 30 day ATM has shot up from 40% to 59% take the straddle break even point to 13.74% before an ATM straddle premium seller can make a profit. The Put call ratio (based on Open Interest) has also shot to 2.31.
FIZZ is a good one. Your screener is right... its always a volatile play around earnings and this particular one (next week) should be a doozie. Its at a multi-year low and 33% of the float is short. The founder (CEO) is quite the animated character. Some would say a nut. He's always spouting off about something. His discussion of last Q's results (shaking head)... he's certainly out there lol. http://ir.nationalbeverage.com/static-files/59145949-41c2-4459-bf1f-25352569f187