This report highlights stocks that have seen interesting options activity prior to volatility events and potential catalysts (earnings, rumors, FDA news, etc) . The comment analyzes the options activity and anticipated volatility events, as well as those events that have already materialized. This week's highlights include: THLD high relative volatility ahead drop on drug data, CAG/KBH bullish call activity ahead of strength on earnings, IP bullish call activity preceding stock jump on analyst upgrade and HALO high volatility ahead of FDA update.

Every day we highlight stocks with unusual options activity (posted under ticker OPTNX). We also highlight heightened near-term implied volatility relative to historical volatility that indicate option market expectations for greater future price movement in the stock (posted under ticker OPTNX - see this week’s Sept 18 OPTNX comment). The increase in implied volatility suggests greater demand for the options, which could be due to any number of known reasons (upcoming earnings, FDA meetings, analyst meetings, etc), or unknown (non-public) reasons. Implied volatility levels rise as demand for the options increases, which is what tends to happen ahead of volatility events. The purpose of the comment is to provide a list of stocks exhibiting this, suggesting they are likely to see tradable volatility events or catalysts in the near future... As a follow-up to this week's comments, we have reviewed some names that we pointed out on the list that ended up seeing large swings. 

Select Names Previously Mentioned that Experienced Volatile Moves: 

• THLD dropped 20% on Sept 17 following data from Phase 2b clinical trial of TH-302 and Gemcitabine. THLD appeared on our relative heightened volatility scan two times this month.
• CAG gapped higher yesterday following earnings. We pointed out unusual call buying last month. Most notable volume was in the CAG Dec 25 calls, which have more than tripled since our Aug 28 options mention. Note that the co and Unilver still have pending frozen meal transaction that is expected to close in Q3.   
• IPGP dropped 5 points yesterday following Noble Financial downgrade. The name has appeared on our relative heightened volatility scan for the past two weeks (expected to report earnings late October). 
• HALO is surging ~25% higher today after the co and ViroPharma provided update on clinical development of subcutaneous Cinryze (C1 esterase inhibitor [human]) with recombinant human hyaluronidase (rHuPH20). HALO appeared on our relative heightened volatility scan this week.
• KBH is up more than 16% today following earnings. We pointed out unusual bullish call buying 2x over the past month (see Sept 17 and Aug 24 OPTNX comments) ahead of its earnings release. 
• IP gapped higher today (along with other paper product related names) following Deutsche Bank upgrade. We pointed out unusual IP bullish call buying earlier this week in the IP Oct 35/36 calls. The IP 35 and 36 calls, which closed Sept 18 at 0.87 and 0.51 respectively, have both doubled. The co is expected to report earnings late October. 

Earnings Related Events - Recent Unusual Options Activity and Anticipated Movers: 

• RVBD (reports earnings Oct 18 after the close) appeared on our relative heightened volatility scan this week (Sept 18). 
• MAS (expected to report earnings mid Oct) is seeing unusual bearish put buying today in the MAS Jan13 15 puts (more than 41K contracts have traded vs only ~1K open interest).
• MHP (earnings expected mid Oct) saw bullish call buying earlier this week on Sept 19 when the MHP Oct 55 calls traded 2.1K contracts vs only 10 open interest. 
• MTG (expected mid Oct) saw unusual call activity 2x last week. On Sept 12 the MTG Jan13 2 calls traded more than 15K contracts vs only 880 open interest and on Sept 11 most notable volume was seen inthe MTG Dec 2.5 calls with 3K trading vs 700 open interest. 
• ALK, AXE, OSG and CRBC (all expected to report earnings mid Oct) appeared on our relative heightened volatility scan last week on September 11.

Biotech/Drug Related and Other Events: 

• SRPT appeared on our relative heightened volatility scan this week ahead of eteplirsen Phase 2b study results (expected in October).
• HEK was seeing unusual put activity this week (see Sept 19 14:14 OPTNX comment). Heckmann and Power Fuels merger is expected to close in Q4 2012.  
• SLXP has appeared on our relative heightened volatility scan for the past three consecutive weeks. FDA continues to review crofelemer NDA beyond PDUFA goal date of Sept 5. Co anticipates an action by the FDA on our NDA by the end of the first quarter of 2013.
  
• MAPP appeared on our relative heightened volatility scan three consecutive weeks during Aug/Sept period. Co said back in June (following meeting with FDA for LEVADEX NDA) that it plans to resubmit in late Q3/early Q4 2012 (its Q3 ends Sept). 
• NPSP was seeing unusual put activity last month (Aug 30) and has appeared on our relative volatility scan 6x over the past two months ahead of Oct 16 FDA Advisory Committee Meeting for Gattex for the treatment of adult short bowel syndrome. The PDUFA date for completion of review by the FDA is December 30, 2012. Co also announced last week that it expects to submit its BLA for Natpara in mid-2013 (asked to modify instructions).