-------------------------------------------------------------------
For a limited time we are offering a FREE real-time trial to Livevol® Pro for non-professional traders. Click for Free Trial Offer
-------------------------------------------------------------------
Assured Guaranty Ltd. (AGL) is a holding company that provides, through its operating subsidiaries, credit protection products to the public finance, infrastructure and structured finance markets in the United States, as well as internationally.
There was some news in this company a couple of weeks ago -- specifically, the COO will be resigning at the end of March.
I found this stock using a real-time custom scan. This one hunts for high vols.
Custom Scan Details
Stock Price >= $7 and <= $70
IV30™ - HV20™ >= 10
HV180™ - IV30™ <= -8
Average Option Volume >= 1,200
Industry != Bio-tech
Days After Earnings >=10 and <=60
The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.
The AGO Charts Tab is included (below). The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).
We can see:
IV30™: 61.60
HV20: 41.54
HV180: 47.54
So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. It's interesting that IV30™ has been trading above the short-term realized vol (HV20) since December and then before that, since November.
Let's look to the Options Tab (below).
Possible Trades to Analyze
1. Sell Apr vol:
Sell the Apr 15 straddle @ $2.02
Buy the Apr 13/17 strangle for $0.72.
Collect $1.30 to risk $0.70.
2. Sell Jul vol:
Sell the Jul 15 straddle @ ~$4.00
Buy the Jul 13/17 strangle for $2.40
Collect $1.60 to risk $0.40 but risk that AGO stays in a tight range until Jul rather than Apr.
3. Call or Put spreads:
Play it backwards, bet on a stock move rather than stock not moving. AGO has moved $0.41 today, so depending on your delta opinion (stock direction) check out the Apr 13/14 put spread for $0.38 or the Apr 15/16 call spread for $0.34. Both of these spreads sell slightly higher vol than they purchase. Again, this bets on a stock move, rather than trades #1, #2 which bet on a stock "not move."
This is trade analysis, not a recommendation.
Follow Live Trades and Order Flow on Twitter: @Livevol_Pro
Legal Stuff:
http://www.livevolpro.com/help/disclaimer_legal.html
No comments:
Post a Comment