Option update 4-27-07: MSFT option implied volatility Collapses

Posted Apr 27th 2007 1:52PM by Paul Foster
Filed under: Microsoft (MSFT), Apple Inc (AAPL), Amazon.com (AMZN), Options

Dendreon (NASDAQ: DNDN) option implied volatility suggests large risk into PDUFA.

DNDN is recently down $0.27 to $15.18. DNDN Provenge has a May 15th PDUFA date. On 3/29 the FDA Advisory Panel said DNDN's Provenge is safe for prostate cancer. DNDN May option implied volatility is above 210 according to Track Data, suggesting large risk.

Microsoft (NASDAQ: MSFT) implied volatility collapses after EPS; suggesting less risk.

MSFT, is recently up $1.21 to $30.31, after reporting a third-quarter profit increase of 65%. Prudential Securities said "Strong F3Q results driven by better than expected Vista sales to the consumer market; provides largely inline FY08 guidance." MSFT call option volume of 135,478 contracts compares to put volume of 58,345 contracts. MSFT May option implied volatility of 19 is below yesterday's level of 26 and below its 26-week average of 21 according to Track Data, suggesting decreasing risk.

Option volume leaders today are: Apple Inc. (NASDAQ: AAPL), Amazon.com, Inc. (NASDAQ: AMZN) and Microsoft Corp. (NASDAQ: MSFT).

Daily Option Update is provided by Stock Options Specialist Paul Foster of theflyonthewall.com.

Tags: aapl, amazon, amzn, apple, dendreon, dndn, implied volatility, ImpliedVolatility, Microsoft, msft, Option volume, OptionVolume, Securities