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Jan. 26, 2007 17:38

Credit Default Swaps or the change in the swaps market can reveal the potential for change in volatility of the underlying equity options. I have been posting this information in my reports on a weekly basis for my customers and will now post this info on the day after I send the report to my customers. Below are listed the best and worst performers according to Bloomberg for the previous 5 days.

Credit Default Swaps , 5 day performers by percentage moves, 5 yr. term - according to Bloomberg

Best performers :

Overall = Nexen Inc and Western Union ; honorable mention in the news = the Gap Inc.

Basic Materials = Inco Ltd and Phelps Dodge

Communications = Alltel Corp and Sprint Nextel ;in absolute terms = Cablevision (in the news) and Clear Channel

Consumer Cyclical = The Gap Inc and DR Horton ; in absolute terms = Toys R Us and Lear Corp

Consumer non-cyclical = Western Union and Baxter International

Energy = Nexnen Inc and Buckeye Partners

Financial = Radian Group and Vornado Reality

Industrial = Arrow Electronics and Stanley Works

Tech = Seagate Tech. and IKON Office Tech

Utilities = Northeast Utilities and American Electric Power Co.

Worst performers :

Overall = Dow Chemical and Temple Inland

Basic Materials = Dow Chemical and Temple Inland

Communications = Walt Disney and Lucent Tech ; in absolute terms =Intelsat Bermuda and Lucent Tech

Consumer Cyclicals = Southwest Airlines and Sabre Holdings

Consumer non-cyclical = Coca-Cola Enterprises and Manor Care

Energy = Spectra Energy Capital and Anadarko Petroleum

Financial = Fairfax Financial Holdings and Daiwa Securities Group

Industrial = United Parcel Service and Ryder System Inc

Tech. = Sun Microsystems and Hewlett Packard Co.

Utilities = SCANA Corp

Equity Options: Trades from Jan. 25th, 2007

EBAY apr 27 p vs 33.25 .375 buyer for 1700 ; MOT Jan'08 17 puts vs 18.85 5k traded at 1.075 ; MSFT feb 30 puts crossed 5k at .35 ; WB Mar 55 put seller 3k at .70 vs 56.45 ;

YHOO march/july 30 cs vs 28.85 2500 traded at 1.525 ; BMY mar 27 calls 4k traded at .45 vs 26.45 ; CVX jan08-65 calls 1k saw seller at 10.75 vs 71.97 ; CSCO Jan' 09/27 puts 5k trade 3.625 vs 26.40 ; AAPL 2/100 calls .175 bid 2500 ; YHOO jul 25 /27 cs sold 1.55 2800 ; EK Jan' 08 30 call buyer 2500 1.175 vs 25.4 ; EBAY o8 30 35 1x2 put spread trades .15 10kx20k ; XMSR Jan' 08-17 calls 1.925 bid 5k vs 14.05 ; GE jan08-37 puts 2.525 bid 7500 vs 36.30 ; BMY 08 25 straddle cust pays 4.45 on 2k vs 26.30 stk

Equity Indexes : IWM saw put buyers in the same strikes from the previous sessions all day.

Regards,

Harley E. Evans

optionadvice@aol.com

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