Most of the straddles are fairly priced. MA and GS and CME look like possibilities.  The last column is the probability to exceed either break even point, stock + straddle and stock – straddle value.

Australia: -0.76%

Nikkei 225 (Japan): +0.26%

Europe at mid-day:

FTSE 100 (UK): +1.11% at 1:27 PM

DAX (Germany): +2.18% at 2:27 PM

CAC 40 (France): +1.35% at 2:43 PM

SPY after hours: -0.5% at 8:44 AM At 97.36.

QQQQ after hours: +0.3% at 8:44 AM up in honor of Microsoft and Yahoo search deal.

Economic Indicators: Durable Goods orders dropped 2.5% in June, it was expected to drop 0.6%. A negative surprise. But taking out cars, the durable goods orders rose 1.1% when it was expected to be flat, a positive surprise. Crude oil inventories and the Federal Reserve Beige Book on business activity is coming out later.

Before the market opens: Sprint Nextel (S) wireless phone service provider, General Dynamics (GD) defense contractor, Watson Pharmaceuticals (WPI) makes generic and brand drugs, announce earnings.

During the day: Praxair (PX) seller of industrial gasses, discusses earnings.

After the market close: Symantec (SYMC) PC security, Teradyne (TER) semiconductor test equipment maker, Express Scripts (ESRX) pharmacy benefit management company, announce earnings.

Australia: +1.02%

Nikkei 225 (Japan): +0.55%

Europe at mid-day:

FTSE 100 (UK): +1.65% at 11:30 AM

DAX (Germany): +1.61% at 12:30 PM

CAC 40 (France): +1.71% at 12:52 PM

European markets are up steadily since their open.

SPY after hours: +0.8% at 6:50 AM Getting close to the 950 level, it will be critical to see if we can close above it.

QQQQ after hours: +0.8% at 6:50 AM

Economic Indicators: Leasing economic indicators for June, are announced at 9:59 AM EST. This is expected to be up 0.5%, the third monthly rise.

Before the market opens: Halliburton (HAL) an oil services company, and Hasbro (HAS), a toymaker,  announce earnings.

During the day:Johnson Controls (JCI), supplier to car industry,  discuss earnings.

After the market close: Legg Mason (LM), a money manager, Texas Instruments (TXN),  a computer manufacturer, and Boston Scientific (BSX), announce earnings.

Hang Seng (Hong Kong): +2.09%

Australia: +3.41%

Nikkei 225 (Japan): +0.88%

Europe at mid-day:

FTSE 100 (UK): +1.58% at 11:15 AM

DAX (Germany): +1.77% at 12:15 PM

CAC 40 (France): +1.88% at 12:15 PM

Europe up nicely, perhaps on news of 14 month high in new car registrations.

SPY after hours: 1.0% at 6:21 AM

QQQQ after hours: 1.7%

Economic Indicators: June Consumer Price Index (CPI) comes out at 8:29 AM EST. CPI is half of a percent lower than last year.

The Empire Manufacturing report for June comes out at 8:29 AM too. It shows manufacturing in New York State and is expected to decline.

Industrial production is expected to show a June drop of 0.6% after Mya’s drop of 1.1% when announced at 9:14 AM EST. Capacity utilization is also expected to decline to 67.9% from 68.3%.

9:00 AM Abbott Labs (ABT), drug company, has Q2 earnings call.

9:15 AM Yum! Brands, Inc. (YUM), fast food restaurants, has Q2 earnings conference call.

10:00 AM Gannett (GCI), newspaper publisher, has Q2 earnings call.

11:50 AM Best Buy Co., Inc. (BBY), electronics retailer has a webcast from the Oppenheimer & Co. Consumer, Gaming, Lodging & Leisure Conference.

1:30 PM KLA-Tencor (KLAC), designs and manufactures equipment for the semiconductor industry, briefs analysts.

Australia: -1.65%

Nikkei 225 (Japan): -2.55%

Asia down quite a bit.

FTSE 100 (UK): +0.11% at 10 AM

DAX (Germany): +0.14% at 11 AM

CAC 40 (France): -0.11% at 11 AM

Europe flat from a down open.

S&P 500 (Globex): -0.7%

Nasdaq (Globex): -0.14%

Economic Indicators: Treasury budget for June at 2 PM EST. May deficit was $33.5 B, June is expected to be -77.5B.

CSX Corp (CSX), a railroad, Fastenal (FAST), maker of screws and other construction suppleis, and Novellus, a semiconductor manufacturer, announce earnings. So we get indications of the future from three directions today.

Europe is a stronger indicator of our open, so it might be flat to up at the open.

Yesterday, Friday, I was in the Burger Loft at Lake George when I got a call from the host telling me that the site had been shut down again.   When we got to Vermont, they put the site back up.

I am trying to find out what we can do to stay up and running no matter how many people are on the site.

Thanks for your patience.

Here is a link to today’s ONN.tv video about options trades in Paychex, Arcelor-Mittal, and Akamai Technologies.

Sidewinder with Jared Levy

Meanwhile, I notice that yields among AAA insured, general obligation municipal bonds have backed up over the past month. Two-year yields moved from .92% to 1.05%; five-year yields from 1.84% to 2.32%; seven-years from 2.37% to 2.87%; and ten-years from 3.13% to 3.59%. While those ten-year muni rates are meaningfully down from 4.4% in December, they are once again close to overtaking the rates on equivalent but taxable Treasuries, as concerns about municipal financing continue. At least one savvy investor, however, thinks that the markets have overreacted to muni risk.
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SVNT closed Monday at $9.27 so buying the $10 straddle would cost $4 paying the asking price.

You see from the profit graph above that SVNT has to move a lot for the straddle to make money. The blue line is the profit graph for Tuesday. Here is what Tuesday’s graph looks like if the volatility collapses from 400% to 180% (July implied volatility).

Tuesday’s return graph drops a lot, hugging the expiration return graph.

Dual Calendar Spread

Since the straddle costs $4, the options market is saying that the most likely outcome of the hearing Tuesday is that SVNT move to $6 or to $14. So we can try to build the dual calendar out of -3 June 5 P ($0.45 bid) and +3 Sep 5 P ($1.25 ask) and -1 June 12.5 C ($0.65 bid) and +1 Sep 12.5 C ($2.15 ask). This would cost $489 to put on.

If the June volatility drops to the Sep level it is good for the position.
Tuesday’s blue graph moves up to the expiration graph (Friday).