Implied Volatility Alert: JAZZ, GIS
09/08/09
JAZZ calls active; September put volatility at 182; shares up 12%
Jazz Pharmaceuticals (JAZZ), a developer of neurological and psychiatry solutions, is recently up 93 cents to $10.20.
JAZZ is presenting at the Rodman & Renshaw Annual Global Investment Conference on Sept. 10.
JAZZ Sept 12.50 Calls (JWQIV) have traded 61 times on transaction volume of 675 contracts, above its open interest of 430 contracts.
September call option implied volatility is at 161, and puts are at 182; October calls are at 115, and puts are at 156; versus is 11-week average of 116, according to Track Data.
Puts area more expensive than calls because JAZZ is difficult to borrow.
GIS volatility low into EPS and outlook
General Mills (GIS) is recently up $1.74 to $60.25.
The company is scheduled to report Q1 EPS on Sept. 23.
GIS September and October option implied volatility of 23 is below its 26-week average of 26, according to Track Data, suggesting decreasing price movement.
Posted at 2:05 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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