Ambarella Inc (NASDAQ:AMBA) jumped to a record high of $129.19 this morning, and was last seen up 2.8% at $125.94. Since the start of 2015, shares of the GoPro Inc (NASDAQ:GPRO) supplier have soared nearly 150%. Option traders are responding to today's technical milestone, with calls changing hands at 1.8 times the usual intraday rate.

Diving deeper, AMBA's weekly 7/24 130-strike call is the most active option, and signs point to buy-to-open activity. By purchasing these out-of-the-money calls, speculators are expressing confidence the shares will topple the round-number $130 level by tomorrow's close, when the series expires.

This marks a change of pace, relative to recent data from the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). During the last 10 weeks across those exchanges, AMBA's amassed a put/call volume ratio of 0.89 -- outstripping 82% of comparable readings taken over the previous year. In other words, traders have initiated long puts over calls at a faster-than-usual clip.

It's worth noting that now appears to be an opportune time to purchase AMBA's short-term options. The stock's Schaeffer's Volatility Scorecard (SVS) of 80 suggests the shares have tended to make outsized moves over the past 12 months, relative to what the options market has priced in.

As alluded to earlier, Ambarella Inc (NASDAQ:AMBA) has a close relationship with GPRO, providing the camera maker with microchips. The latter company is making headlines today, amid its integration with real-time streaming app Meerkat. GoPro Inc (NASDAQ:GPRO) shares are also crushing it, up nearly 5%, at last check.

At Schaeffer's, we use numerous indicators in our writing to describe stock and trader behavior. While at first some of these things may seem confusing, in reality, they're quite simple to understand -- and can provide valuable insight for options traders. Below, we'll look at a few terms we regularly use in our coverage at SchaeffersResearch.com to clear up any confusion you might have.

Among our go-to data points are option volume ratios derived from information we receive from the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). Basically, we take all of the puts and calls that have been bought to open across these exchanges and put them into ratios. So we may say something like, "XYZ's 10-day call/put volume ratio at the ISE, CBOE, and PHLX comes in at 2.50." This means that for every XYZ put that's been bought to open during the specified time frame (10 sessions, in this case), 2.50 calls have been bought to open.

Since, based on the above information, long call volume has easily outweighed long put volume, it'd be easy to say that XYZ speculators have been extremely bullish (since they've bought to open more calls) during the past 10 days. However, we like to see how that ratio stacks up against XYZ traders' previous behavior, so we compare it to all other 10-day ratios from the previous year. Therefore, using our hypothetical 10-day ISE/CBOE/PHLX call/put volume ratio of 2.50, we could say something like, "This ratio lands in the 95th percentile of its annual range."

If you've ever taken a standardized test, this terminology should be familiar to you. A call/put volume ratio in the 95th annual percentile tells us that it is higher --  and seemingly more bullish -- than 95% of others from the past year. In other words, XYZ option traders have bought to open calls over puts at a faster rate only 5% of the time in the past year.

Another one of our favorite indicators is the Schaeffer's put/call open interest ratio -- or SOIR. The main difference between this and the volume ratios we just described is that SOIR accounts for all open interest -- whether bought or sold -- not just buy-to-open activity. More specifically, the SOIR measures the open interest for puts and calls in a stock's front three-month series, which let's us see how traders with short-term objectives are positioning themselves. Like the volume ratios, we highlight SOIR percentile ranks to determine how call- or put-skewed speculators are.

The last indicator we'll highlight here is the Schaeffer's Volatility Index, or SVI, which can be particularly useful during earnings season. In the simplest terms, SVI essentially tells us if traders are overpaying or underpaying for a stock's front-month options, from a historical perspective. The SVI averages the implied volatility of front-month options that are at the money. Then, by using a percentile rank, we can determine if those options are seemingly cheap or expensive, from a volatility perspective. So, if you hear us say that "XYZ's SVI of 49% ranks in the 95th annual percentile," you may want to put your money elsewhere, as volatility expectations are historically high. 

To get real-time options updates using these and other indicators, follow @Schaeffer's on Twitter. 

It's been a rough week for oil-and-gas names, which have struggled in step with crude. Chesapeake Energy Corporation (NYSE:CHK) is no exception, with the shares down 19% from last Friday's close. In addition to feeling the heat from a sell-off in crude, CHK has also been pressured by news of  suspended dividend payment and a subsequent bearish brokerage note. Today, in fact, CHK hit a 12-year low of $8.40, and was last seen down 2.2% at $8.85.

The worst isn't over, according to option players. With a little over an hour left in today's trading, intraday put volume has popped to four times what's typically seen at this point in the day, and a number of speculators are calling for even lower lows over the next several months.

Among the strikes seeing the most action in CHK's options pits today are the October 8 and 11 puts. Drilling down, it appears one speculator may be rolling down her bearish bet by selling to close the higher-strike puts, and buying to open the lower-strike puts. If this is indeed the case, the goal is for the stock to breach the $8 mark for the first time since May 2003 by the close on Friday, Oct. 16 -- when the options expire.

Elsewhere, it looks as if another group of traders is setting their sights even lower -- eyeing a move to levels not seen since October 2002. Specifically, it seems safe to assume new positions are being purchased at CHK's October 6 put. Delta on the put is docked at negative 0.18, suggesting a less than 1-in-5 chance the option will be in the money at expiration.

Regardless of where Chesapeake Energy Corporation (NYSE:CHK) settles at October options expiration, these put buyers can rest easy knowing the most they have on the line is the initial premium paid. In fact, limited risk is one of the many advantages stock options offer.

U.S. stocks could extend their recent losses today, as earnings season fails to impress. In company news, today's stocks to watch include sports apparel designer Under Armour Inc (NYSE:UA), financial firm Bank of America Corp (NYSE:BAC), and healthcare concern CIGNA Corporation (NYSE:CI). 

• UA is poised to open at an all-time high, after the company topped expectations in the earnings confessional and upped its full-year sales forecast once again. Specifically, the shares are up 3.2% in pre-market trading, after finishing at $89.37 yesterday. This expected technical milestone could have short sellers shaking in their boots. Over 8% of Under Armour Inc's float is sold short, which would take more than eight sessions to repurchase, at the stock's typical daily volumes. In other words, there's plenty of sideline cash available to boost UA to even higher highs.


• BAC Chief Financial Officer Bruce Thompson is stepping down, and will be replaced by Paul Donofrio, headlining a round of upper management changes. On the charts, the stock hit a five-year high of $18.48 yesterday, before settling at $18.45 -- up 3.1% in 2015. Skepticism is running high in Bank of America Corp's options pits, however. During the last 50 days on the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the equity has racked up a put/call volume ratio of 0.24 -- higher than nearly three-quarters of comparable readings from the past year. In other words, speculators have been buying to open BAC puts over calls at an accelerated clip.


• Finally, Anthem Inc's (NYSE:ANTM) $48 billion acquisition of CI -- roughly $188 per share -- could be announced by week's end, according to inside sources. The rumblings have CIGNA Corporation poised to gap 5% higher at the open. Longer term, the stock has been a beast, surging close to 47% year-to-date at $151.07, and perched atop its 10-week moving average. Option bulls should be happy. CI's 10-day ISE/CBOE/PHLX call/put volume ratio of 7.57 ranks in the 86th percentile of its annual range.

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Analysts are weighing in today on storage device specialist SanDisk Corporation (NASDAQ:SNDK), integrated circuit issue Cirrus Logic, Inc. (NASDAQ:CRUS), and cybersecurity stock Fortinet Inc (NASDAQ:FTNT). Here's a quick roundup of today's bullish brokerage notes on SNDK, CRUS, and FTNT.

• SNDK is up 12% in electronic trading, after the company's second-quarter profit roughly doubled the average analyst estimate. Adding to the bullish buzz are upgrades to "buy" at B. Riley and BofA-Merrill Lynch, as well as price-target hikes from no fewer than four brokerage firms. (Jefferies and Stifel, however, lowered their respective target prices.) Today's projected price move will provide a much-needed boost for a stock that's down nearly 45% year-to-date at $54.18 -- and fresh off a two-year low of $53.18. Against this backdrop, sentiment around the Street is skewed toward the skeptical side. In the options pits, specifically, SanDisk Corporation's 10-day International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX) put/call volume ratio of 4.11 ranks 3 percentage points from a 52-week peak.


• CRUS -- a big supplier for struggling Apple Inc. (NASDAQ:AAPL) -- is also set to pop in the wake of a strong quarterly report, up 10% ahead of the bell. What's more, Stifel boosted its outlook on the shares to "buy" from "hold," while Northland Securities upped its price target to $45 from $44 -- territory not charted since September 2012. While the security has done well in 2015 -- up 30% at $30.71 -- CRUS has more recently pulled back to its 180-day moving average after hitting a two-year high of $38.20 in late May, and closed just north of this trendline last night. Meanwhile, short-term option speculators are more put-skewed now than at any other time in the past year -- Cirrus Logic, Inc.'s Schaeffer's put/call open interest ratio (SOIR) of 1.51 rests higher than all comparable readings taken over the last 12 months.


• Stellar second-quarter earnings and a subsequent round of bullish brokerage notes has FTNT up 11.6% in electronic trading -- and on its way to take out its June 18 all-time peak of $44.12. Among the many names chiming in on the stock was J.P. Morgan Securities, which raised its rating to "overweight," as well as Oppenheimer and JMP Securities -- which each boosted their price targets to $55. Longer term, FTNT has rallied almost 38% year-to-date -- thanks to a rash of recent cyber attacks -- to trade at $42.30. Put players have been active, though, and at the ISE, CBOE, and PHLX, Fortinet Inc's 10-day put/call volume ratio of 4.58 arrives in the 98th annual percentile. Simply stated, puts have been bought to open over calls at a faster clip just 2% of the time within the past year.

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We saw a kind of ugly open yesterday, after a dip on Tuesday, further supporting the theory that we are never going to break out of this S&P 500 Index (SPX) range this year. Thank you, Apple Inc. (NASDAQ:AAPL).

But hey, there's some good news if you like volatility products and like the ability to trade vol after hours. We now have weekly CBOE Volatility Index (VIX) futures! From CBOE Options Hub:

"CFE plans to list futures with weekly expirations on the CBOE Volatility Index®(VIX) beginning at 3:30 P.M. CT on Wednesday July 22 (this is the beginning  of the July 23 trading day), subject to regulatory review. VIX Weeklys options at CBOE are expected to follow on a later date, also subject to regulatory approval." 

Because hey, why not? I mean that seriously. Why not list everything you can?

One of the complaints about vol products is that they don't actually track VIX closely enough. But you can solve that to some extent by either going larger in quantity or shorter in duration. But alas, that "shorter in duration" option only exists later in the monthly cycle. At least, until today. 

CBOE has an interesting chart on the subject. Here's the beta of VIX futures expressed by days until expiration:

 

The beta for 33 days is 0.39, but as you can see it rises exponentially as expiration nears. It gets to about 0.5-0.6 with a week to go, and peaks at 0.79 with a day to go. 

And that leads me to a question that sounds like a joke, but is totally serious: Why don't we list 1-day VIX futures?

There's kind of a holy grail out there of trying to find the best way to trade "spot" VIX. Monthly VIX futures came first, but the reality is they just let you bet on where traders expect to price 30-day implied volatility from some date "X" days in the future. Plus, they're not actually a stock, so some are precluded from using them. 

Enter iPath S&P 500 VIX Short-Term Futures ETN (VXX), a stock that sounded like VIX! Unfortunately, it's just a 30-day future disguised as a stock and… Well, you know the rest. And remember AccuShares Spot CBOE VIX Fund Up Shares (VXUP) and AccuShares Spot CBOE VIX Fund Down Shares (VXDN)? Those haven't worked out either, unless you want More VXX!

So enter shorter-term futures. They're not exactly VIX, either, for the same reason longer-dated futures are not actually VIX. Plus, they're futures and not stocks. But as the chart shows, they will track exponentially closer, which at the end of the day is what the masses want.

What's the harm in listing VIX futures every couple of days? It would afford the chance to really tailor the VIX bets at all times. And frankly, that's how we should all "trade" VIX. Timing is everything. We've heard about how low VIX has sat for pretty much forever -- or at least five years. Lots of money is lost trying to catch the "inevitable" longer-term VIX rally that never comes; maybe we can emphasize shorter-term VIX bets? And what better way to do that than always have really short-term VIX paper out there?

Disclaimer: Mr. Warner's opinions expressed above do not necessarily represent the views of Schaeffer's Investment Research.

Analysts are weighing in on chipmakers QUALCOMM, Inc. (NASDAQ:QCOM) and Texas Instruments Incorporated (NASDAQ:TXN), as well as kidney disease specialist Keryx Biopharmaceuticals (NASDAQ:KERX). Here's a quick roundup of today's bearish brokerage notes on QCOM, TXN, and KERX.

• It's been a rough ride for QCOM in 2015, down 16% at $62.40. To the delight of option traders, the equity is extending this negative price action today -- off 2.7% -- after the firm offered up a weak current-quarter forecast, and confirmed plans to explore cost-cutting measures. Also pressuring the shares is a bevy of price-target cuts, including ones from Susquehanna (to $60) and Topeka Capital (to $65). Should QUALCOMM, Inc. continue its downward trajectory, another round of bearish brokerage notes could be on the horizon. More than half of those following the shares currently maintain a "buy" or better rating, while the average 12-month price target of $74 stands at an 18.6% premium to QCOM's present price.


• TXN also provided a lackluster third-quarter forecast, due to a "generally softer market," prompting a number of brokerage firms to downwardly revise their price targets. Included in the bunch were Baird and Deutsche Bank, which reduced their target prices to $49, and Morgan Stanley, which lowered its price target by $4 to $46. However, the stock is up 1.3% at the open to trade at $49.95 -- and pare its year-to-date deficit to 6.5%. In the options pits, short-term speculators have been more put-heavy than usual toward Texas Instruments Incorporated. Specifically, the equity's Schaeffer's put/call open interest ratio (SOIR) of 2.22 ranks in the 65th annual percentile.


• KERX tumbled to a new annual low of $8.69 out of the gate -- and was last seen 3.9% lower at $9.17 -- after Cowen and Company cut its rating to "market perform" from "outperform." Heading into today's session, the stock had already shed about a third of its value in 2015, and short sellers have been gambling on even steeper losses. In fact, short interest surged 11.9% in the last two reporting periods, and now accounts for more than 40% of Keryx Biopharmaceuticals' available float.

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The 20 stocks listed in the table below have attracted the highest total weekly options volume during the past 10 trading days. Names highlighted are new to the list since the last time the study was run, and data is courtesy of Schaeffer's Senior Quantitative Analyst Rocky White. Two names of notable interest are microblogging site Twitter Inc (NYSE:TWTR) and wearable camera maker GoPro Inc (NASDAQ:GPRO).

Weekly strikes have been popular on TWTR in recent sessions, and it's no different today. In fact, the weekly 7/24 series accounts for seven of the stock's 10 most active options. This morning, potential buy-to-open activity is transpiring at the weekly 7/24 36-, 36.50-, and 37-strike calls, as speculators wager on end-of-week gains.

Taking a step back, TWTR calls have been popular on the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX). During the last two weeks, traders have bought to open 3.24 calls for every put across this trio of options, and the corresponding call/put volume ratio ranks in the 83rd annual percentile.

Technically speaking, Twitter Inc is 1.5% higher today at $36.62, taking a bounce off of its 50-day moving average -- despite a price-target cut to $47 from $55 at Brean Capital. Looking ahead, TWTR will report earnings after the close next Tuesday. In the session following the company's last six turns in the confessional, the stock has moved an average of 14.6% in either direction. This time around, the options market is pricing in a 12.4% swing, based on near-term at-the-money straddle data.

Meanwhile, GPRO has shot up 4.1% to trade at $64.22. This is good news for shareholders, who watched the stock's earnings-induced momentum succumb to broad-market headwinds yesterday, to end on a slight loss. Longer term, the equity has soared 73% since hitting an annual low of $37.13 on March 10.

Positive momentum has been building in GPRO's options pits, as well, where the stock's 10-day ISE/CBOE/PHLX call/put volume ratio of 2.50 checks in above 85% of comparable readings from the past year. Today, calls are running at five times the average intraday clip, and more than twice the rate of puts.

Not everyone's on GoPro Inc's bullish bandwagon, though. Short interest rose 12.6% during the latest reporting period, and makes up close to 18% of the stock's total float. An unwinding of these bearish bets could add fuel to GPRO's fire.

Cybersecurity names are among the biggest gainers this morning, thanks to a solid earnings showing -- and subsequent rush to new highs -- from Fortinet Inc (NASDAQ:FTNT). Among the equities getting a halo lift are FireEye Inc (NASDAQ:FEYE), Cyberark Software Ltd (NASDAQ:CYBR), and Palo Alto Networks Inc (NYSE:PANW).

FEYE has added 6.6% to flirt with $49.71, attempting its first close north of the half-century mark since late June. From a longer-term perspective, FireEye Inc has been crushing it on the charts, boasting a year-to-date gain of nearly 58%. What's more, the stock just bounced off its 80-day moving average -- a bullish signal, per data from Schaeffer's Senior Quantitative Analyst Rocky White.

There have been three previous signals of this kind, and after five days, FEYE has averaged a return of 4.6%, and has been positive 100% of the time. After three weeks following a signal at its 80-day, FEYE has averaged a return of 15.9%, and has been positive 100% of the time, as well.

Today's options crowd is gambling on a move north of $50 by tomorrow's close. Intraday call volume is running at twice the typical rate, with most of the action transpiring at the weekly 7/24 50-strike call. Nearly 2,700 contracts have traded at the call -- more than twice the second-most active -- and much of that volume looks buyer-driven.

The affinity for bullish bets marks a change of pace for FEYE, though. On the International Securities Exchange (ISE), Chicago Board Options Exchange (CBOE), and NASDAQ OMX PHLX (PHLX), the equity's 10-day put/call volume ratio of 0.45 sits in the 75th percentile of its annual range. In other words, option buyers have picked up FEYE puts over calls at a much faster-than-usual clip during the past two weeks. Should FEYE impress in the earnings confessional one week from today, an unwinding of pessimism in the options pits could add fuel to the equity's fire. 

CYBR is up 9.2% at $62.76, and attempting to climb atop its 50-day moving average for the first time since late June. This trendline acted as support for CYBR during the first half of the year, but could now act as a speed bump. 

Still, option traders today are gambling on more upside for the stock over the next few weeks, which encompasses Cyberark Software Ltd's own turn in the earnings confessional the night of Tuesday, Aug. 11. CYBR calls are trading at twice the average intraday clip, with buy-to-open action detected at the August 75 call -- the most active thus far. In fact, the calls are trading at a volume-weighted average price (VWAP) of $1.12, meaning the buyers will profit if CYBR topples $76.12 (strike plus VWAP) -- a stone's throw from record-high territory -- by the close on Friday, Aug. 21, when front-month options expire. 

PANW has advanced 3.5% to sit at $199.13, and just notched an all-time peak of $200.10. As such, speculators today are buying to open the weekly 7/24 200-strike call -- the most popular option thus far -- on hopes for PANW to extend its journey north of the round number through tomorrow's close, when the weekly options expire. 

On the flip side, Palo Alto Networks Inc put volume is running at three times the intraday average, with buy-to-open action at the August 195 strike. By purchasing the puts to open, the buyers are either betting on PANW to backpedal beneath the $195 level before front-month expiration, or they're protecting their PANW shares in the event of a pullback.

Whatever the motive, PANW's short-term options can be had at a relative steal. The equity's Schaeffer's Volatility Index (SVI) of 28% sits higher than just 6% of all other readings from the past year, suggesting near-term options are attractively priced right now, from a historical volatility standpoint.

Asian markets ended higher, with China's Shanghai Composite posting its sixth consecutive daily gain. Specifically, the index jumped 2.4% amid optimism over the government's ongoing efforts to stabilize the market. Meanwhile, Japan's Nikkei added 0.4% on encouraging trade data, Hong Kong's Hang Seng tacked on 0.5% amid strength in casino stocks, and South Korea's Kospi inched just 0.02% higher following weaker-than-expected second-quarter growth data.

European bourses are mostly lower amid a raft of earnings, following the Greek parliament's passage of reforms necessary to secure bailout funds. At midday, Germany's DAX has lost 0.3%, the French CAC 40 is 0.04% lower, and London's FTSE 100 is flat.

There have been 138 trading days thus far in 2015. Looking at each year since 1950 (66 total years), after 138 trading days, this is just the 16th time that more than half of the days were down days for the S&P 500 Index (SPX). Interestingly, of those 16 years, this year is the only time the index has been positive, as it is up 2.93% in 2015. You can see in the plot below that 2015 is the only point in that upper left quadrant. As you would expect, there's a pretty strong correlation between the number of up days and the percent return for the SPX. However, does the percentage of up days at this point in the year tell us anything about what the rest of the year might do?

                  

Percentage of Up Days & Rest-of-Year Returns: Here's a simple way to see if the percentage of up days is predictive of market strength going forward. So far this year, less than half of the trading days have been positive. As you can see in the table below, the S&P 500 tends to underperform when this is the case. The index averages about a 2% gain for the rest of the year, with just 53% of those returns positive. In other years, the S&P 500 averages a gain closer to 4.5%, with about 80% of the returns positive. 

One could argue, though, that this year is a little different due to the fact that while over half of the days are negative, the S&P 500 is up over that time frame. Unfortunately, we have no historical precedent of this happening, so we can't look back at prior instances.                                     

Stocks Bucking the Trend: Finally, if you buy into the fact that a high percentage of up days signifies strength, then I thought it could be helpful to see the S&P 500 stocks that have had a high percentage of positive days. Below is the list of the top 20 stocks by this measure. 

Asian equities felt the heat from yesterday's round of weak U.S. earnings, and the ongoing sell-off in commodities. Japan's Nikkei fell 1.2%, with the tech sector pressured by a disappointing revenue forecast from Apple Inc. (NASDAQ:AAPL). Likewise, South Korea's Kospi and Hong Kong's Hang Seng slid 0.9% and 1%, respectively. Bucking the bearish trend was the Shanghai Composite, which managed a 0.2% gain -- its fifth consecutive daily win.

European markets are also feeling the weight of AAPL, with shares of ARM Holdings Inc plc (ADR) (NASDAQ:ARMH) and other suppliers swallowing steep losses. Meanwhile, Greece remains in the spotlight ahead of today's parliament vote on another set of reforms. At last check, the French CAC 40 is off 0.4%, Germany's DAX has surrendered 0.6%, and London's FTSE 100 is leading the pack lower, down 1.1%.