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Biotech / Medical : Biotech Valuation
CRSP 53.85-4.5%Jan 9 9:30 AM EST
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From: Robohogs4/23/2007 2:03:52 AM
  Read Replies (3) of 52153
 
Just doing some maintenance work this weekend and notice that the avg vol for MNTA has dipped back about 10% as measured by website ivolatility.com - unclear what they are measuring (vega weighted index but of which months/strikes?). The 52 week IV high per them was in early Feb (Feb 6) at 131% - puts and call were almost the same with 130.4 for calls and 131.2 for puts. I noticed midweek last week the numbers were approaching 130. They have now eased to 120. Notice the volume in the May 15 puts? Very large. Someone thinks news is coming in next 4 weeks - for the life of me, I cannot figure it out unless there is an appeal decision expected/due on the Teva suit against SNY or unless someone is looking for news out of earnings report (like approval/non-approval).

Moving to my old earnings fave, but not this year, SEPR IVs are stuck in the mud in mid 30s where they have been for last month. Does this mean something surprising comes out? This stock has always been a major earnings mover.

Moving on to more volatile stocks, DNDN. I notice the vols are in the same place almost exactly for puts and calls - at 226.1%. Seems to indicate synthetic shorts are not being created which would drive put prices up (with buying) and call prices down (with shorting) which makes me think the hedgies have backed off (for now - still 3 weeks to go) and the recent stock move was retail. I would note though that an Aug 07 synthetic would cost about 50 cents to put on getting one short at 14.50 (vs. 15.10 stock price). Still, I have seen worse.

Jon
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