Implied Volatility Alert: DNDN, XLF
11/24/09
DNDN January volatility at 58, May at 99 into PDUFA date
Dendreon (DNDN) is recently down 26 cents to $27.28.
Dendreon's Provenge, a drug that prolongs the lives of advanced prostate cancer patients, has a Prescription Drug User Fee Act (PDUFA) date of May 1, by which time the FDA said it will respond to Dendreon's amended Biologics License Application (BLA) for the drug.
DNDN January option implied is at 58, February is at 67, and May is at 99, versus its six-month average of 74, according to Track Data, suggesting larger price movement this spring.
XLF volatility at 17-month lows
The Financial Select Sector SPDR (XLF) is recently down 13 cents to $14.68.
XLF overall volatility of 31 is below a level of 121 from Dec. 9, 2008, according to IVolatility. XLF average option implied volatility over the past 26 weeks is 38, suggesting decreasing price movement.
Posted at 12:30 p.m.
More Implied Volatility Alerts
Researcher Paul Foster has 23 years of professional experience in the capital markets, investments, trading, corporate finance, arbitrage, options, and mergers and acquisitions.
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