Report Date: 13-Dec-2017
On the day, ACCO has moved +1.6%, while SPY has moved 0.0%.
Over the last two weeks, ACCO has moved -5.6%, and SPY has moved +1.5%.
ACCO's stock volume on the day is 421,989, which is 0.8x relative to the 90-day average of 553,468
SPY's relative volume on the day is 1.4x, trading 95,720,583 shares against an average of 67,341,705 for the last 90 days.
The current 1-Day OHLC Volatility for ACCO is 27.5 for the day. The 20-day average is 27.0, and the 52-week average is 28.1.
The 1-Day OHLC Volatility for SPY is 4.2, while the average over the last 20 days is 6.5, and for the last 52 weeks is 6.2.
The current 30-Day Implied Volatility (IV30) is 26.2, and has moved +18.2% from the previous day. Its IV % Rank is 0.13, which is considered Subdued.
As a comparison, the current IV30 for SPY is 7.5, up +3.7% from the previous day. SPY's IV % Rank is Subdued at 0.23.
Over the last 52 weeks, the IV30 Range is 18.8 - 49.2.
Over the same span, SPY's IV30 Range is 6.4 - 13.5.
Based on the IV30, a synthetic put to protect downside risk would cost 2.9%, compared to a 52-week range of 2.1% - 5.5%.
|ATM Straddle||Expected Range|
|Expiration||$ Premium||% Premium||Low||High|
The current downside put implied volatility is trading 0.0% equal to the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 0.0% higher than the upside call.
On the day, ACCO traded 0 contracts, with 0.0% being put options. This represents a relative volume of 0.0x compared to the last 90 days, when the average volume was 68 and 11.8% puts.
|In the Money||At the Money||Out of the Money||Total|
|Option Type||Volume||% Volume||Total
Most Active Options:
|Option Symbol||Volume||# Trades||Last Price||Low Price||High Price||Open Interest||IV||% IV Change|
|ACCO 15Dec17 P 17.5||0||0||0.00||0||134.6||-4.0%|
|ACCO 15Dec17 C 10||0||0||0.00||6||164.0||+27.4%|
|ACCO 15Dec17 P 10||0||0||0.00||35||126.0||+28.0%|
|ACCO 15Dec17 C 2.5||0||0||0.00||0||200.0||0.0%|
|ACCO 15Dec17 C 17.5||0||0||0.00||0||133.0||+1.1%|
Biggest Open Interest Increases:
|Option Symbol||Open Interest||Previous
|Change||% Change||Current Volume|
|ACCO 19Jan18 P 12.5||2||0||+2||0|
|ACCO 16Mar18 C 7.5||9||8||+1||+12.5%||0|
The next dividend for ACCO has not yet been announced. Its indicative dividend yield going forward is 0.00%.
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