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Options Update: Sears Holding volatility elevated into EPS and holiday outlook

Posted Nov 4th 2009 8:00AM by Paul FosterPaul Foster RSS Feed
Filed under: Sears Holdings (SHLD), Options

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Sears Holding (NASDAQ: SHLD) closed at $68.09. SHLD is scheduled to report Q3 EPS on November 19. SHLD November call option implied volatility is at 49, puts are at 50; December calls are at 52, puts are at 62; verses its 26-week average of 50, according to Track Data, suggesting larger price movement. SHLD puts are more expensive than calls because SHLD is difficult to borrow.

Financial Select Sector - XLF overall volatility at 41; 26-week average is 43.

ISE Sentiment Index-ISEE closed at 154 on 11/3/09. ISEE 10-day moving average is 126.

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

Tags: ISE Sentiment Index-ISEE, IseSentimentIndex-isee, option implied volatility, OptionImpliedVolatility

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Last updated: November 26, 2009: 08:05 AM

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