Scan for Next Week Opportunities

As of the end of trading last week the scan for low implied volatility stocks provides the following result:



Not that many opportunities. In fact, they are even less if we filter out mergers and buy-outs. FSL agreed on September 15 to to sell itself to a private-equity consortium led by the Blackstone Group for $17.6 billion, or $40 per share. UNV is being purchased by a group of private equity firms and media mogul Haim Saban for $12.3 billion, or $36.25 in cash per share. HCA is about to go private in a $21 billion management-led leveraged buyout. CVC received an offer by the Dolan family to buy all the shares they do not already own for $27 a share.

The following charts show the price and standard deviation of the remaining stocks over the past year of trading:


The following charts focus on the past two months:




Categories: stock options, volatility, delta neutral
Technorati Tags: stock options, volatility, delta neutral