Thursday, January 31, 2013

Post Market Report: 1-31-13

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Pre-Market/Post Market: 1-31-13

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Wednesday, January 30, 2013

Post Market Report: 1-30-13

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Facebook (FB) - Should Vol be This Low With Earnings Due in 68 Minutes?


FB is trading $31.20, up 1.3% with IV30™ up 0.5%. The LIVEVOL® Pro Summary is below.



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Facebook, Inc. (Facebook) is engaged in building products to create utility for users, developers, and advertisers.

This is a quick vol note, FB releasing earnings AMC today. The interesting point here is how low the implied is relative to the last earnings reports after a rather abrupt stock price appreciation.

Let's start with the Charts Tab below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the dramatic stock price recovery for FB after the steep fall from IPO. The stock is up ~70% from its lows.

On the vol side we can see the three last earnings releases (highlighted in yellow) and how the vol has been dipping for each one. It's easier to see this phenomenon in a vol chart alone, which I have included below.



It's much easier to see here how the implied has dipped for each of the earnings releases. As of right now, the IV30™ is actually in the 49th percentile (all-time) for FB -- so it is below the 50th percentile and earnings are due out in an hour. Quite compelling.

Finally, let's turn to the Options Tab.



Since FB has weekly options, we can see through the ATM strike ($31), that the options reflect a ~$3.00 move off of the earnings report, or about 10%. Take a look at the stock chart above and see the moves made off of the last two earnings cycles, take into account the run up in stock and then ask yourself, "Should FB implied be lower than the 50th (or 80th) percentile with earnings due out in 68 minutes?" A fair question indeed...

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Pre-Market/Post Market: 1-30-13

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Tuesday, January 29, 2013

Post Market Report: 1-29-13

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Fortinet (FTNT) - Vol Reaches Annual High with Earnings Due out Tomorrow; Puts Too Juicy?


FTNT is trading $19.48, down 7.5% with IV30™ up 8.1%%. The LIVEVOL® Pro Summary is below.



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Fortinet, Inc. (Fortinet) provides network security solutions. Through the Company’s products and subscription services, Fortinet provides integrated and protection against security threats for enterprises, service providers and governmental entities worldwide.

This is a quick vol note on a stock that has earnings due out tomorrow BMO. It's not so much that the vol is elevated, as that is expected, but it's how elevated the vol is relative to the last three earnings cycles along with the stock decline today and the stock gap down last cycle.

Let's start with the one-year Charts Tab below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



We can see the stock has had a quite a bumpy ride, most notably after the last earnings report in mid Oct of 2012 when the stock dropped from $24.80 to $20.14 in day. Obviously the IV30™ is elevating into the earnings news, but let's take a closer look by isolating the IV30™ in a one year chart, below.



The blue "E" icons represent the past earnings dates. It's easier to see in this chart that the implied is now at an annual high, above any vol level prior to earnings in the last year. My best guess is that there is some hyper sensitivity based on the last earnings report and that stock slide we see today is circumstantial evidence of that belief.

Finally, let's turn to the Options Tab, below.



Across the top we can see Feb vol is priced to over 90% and Mar to 62.8% -- of course that's merely a reflection of earnings due out tomorrow. It will be an interesting stock reaction to monitor tomorrow -- this may be a case where elevated vol and dipping stock has made the OTM puts far too juicy even for an earnings event based on the fear from the last one. Or the stock can gap down 70% tomorrow -- ya know, either one.

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Pre-Market/Post Market: 1-29-13

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Monday, January 28, 2013

Post Market Report: 1-28-13

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Research in Motion (RIMM) - Staying or Leaving… Forever? Let’s Ask Again on Wednesday. Vol at Multi-Year Highs

RIMM is trading $16.17, down 7.8% with IV30™ up 6.1%. The LIVEVOL® Pro Summary is below.



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I found this stock using a real-time custom scan. This one hunts for elevated vols. I do note that the IV30™ for RIMM is in the 100th percentile, indicating an annual high. In fact, the implied is at multi-year year highs.

There is news due out on RIMM’s much anticipated version 10 – the “make or break” model, and that news is coming on Wednesday of this week.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percentile GTE 80
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated to its own annual history (at least in the 80th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

Let’s start with the two-year RIMM Charts Tab below. The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side, we can see the stock drop from ~$70 two-years ago to as low as the $5 range, and now back to ~$16. I’ve written extensively on RIMM, with the main theme being quite simple: “The potential that the firm was on the verge of Obsolescence.” There’s no doubt that iPhone crushed Blackberry, then Android and Samsung double and tripled down. RIMM was almost a $150 stock back in 2008.

On the vol side we can see that the IV30™ is in fact at multi-year highs. That does make sense, and the implied way well rise into Wednesday, potentially making consecutive multi-year highs in vol.

There is a shorter-term story. I have included the same chart but just a six-month period, below



In this chart we can see the impressive recovery in stock price. This stock was very much on the verge of becoming a penny stock (regardless of the revenue numbers) and has ripped back to relevancy on the promise of Blackberry 10.

Let’s quickly turn to the Skew Tab.



Here we can see that “the event” seems to be coming out this week (note the red line are the Feb 1 weekly options).

Finally, let's look to the Options Tab (below).



Across the top we can see the vol in the Feb01(W) options – priced to over 132%, then a monotonic drop of as we move forward in expiries. While there has been some speculation that the “leaks” of information from RIMM which have moved the stock higher have lessened the impact of the actual news due out his week, the option market would disagree. Let’s keep our eyes on this on – is RIMM staying or leaving?

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Pre-Market/Post Market: 1-28-13

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Friday, January 25, 2013

Post Market Report: 1-25-13

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CROCS (CROX) - Vol Hits Multi-Year Lows with Earnings Approaching


CROX is trading $14.91, up 2.2% with IV30™ down 7.4%. The LIVEVOL® Pro Summary is below.



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Crocs, Inc is a designer, manufacturer and distributor of footwear and accessories for men, women and children. As of December 31, 2011, it sold its products in more than 90 countries through domestic and international retailers and distributors and directly to end-user consumers through its company-operated retail stores, outlets, kiosks and Webstores.

I found this stock using a real-time custom scan. This one hunts for depressed vols, and CROX has in fact hit a multi-year low in IV30™ with earnings due out in the Mar expiry.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The six-month CROX 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).



On the stock side we can see a number of gaps, certainly a huge one off of earnings in Oct of 2012, but even  more recently the stock has made some abrupt one-day moves.

But this is a vol note, so I have included the two-year IV30™ chart in isolation, below.



We can see pretty clearly that the level of the implied is not only at an annual low, but a multi-year low. An interesting phenomenon when coupled with the fact that earnings are due out in Mar expiry. Hmm...

Finally, let's look to the Options Tab (below).



Across the top we can see that mar vol is well elevated to Feb (42.50% to 29.52%),but still, that 42.50% feels pretty low. Certainly, the IV30™ will rise as we approach earnings as will Mar vol, the question is to what level. This is a good one to put in a watchlist and check every so often as we get through Feb expiry and approach earnings.

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Pre-Market/Post Market: 1-25-13

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Thursday, January 24, 2013

Post Market Report: 1-24-13

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Green Mountain Coffee Roasters (GMCR) - Vol Malaise Depresses Earnings Vol in Gapping Stock


GMCR is trading $43.72, up 6.4% with IV30™ up 9.0%. The LIVEVOL® Pro Summary is below.



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Green Mountain Coffee Roasters, Inc. (GMCR) is engaged in the specialty coffee and coffee maker businesses.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. But the reality is, this is a depressed vol note, not in general, but in specific to the earnings release due out in early Feb. I've included the details of the scan below.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The goal with this scan is to identify names with rising IV30™ that also have a reasonable amount of liquidity in the options (thus the minimum average option volume) and enough strikes to spread and thus a minimum stock price. I also require a minimum vol level in order to avoid any boring ETFs (or whatever).

The two-year GMCR 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).



On the stock side I have highlighted in yellow most of the gaps the stock has experienced over the last two years -- and there are a lot of them. The catalyst to many of the big moves has been earnings. I bring this up b/c the next earnings report for GMCR is due out 2-6-2012 AMC.

In order to get a better view of the implied I have included the two-year IV30™ chart in isolation, below.



We can see the implied rising of late, then a small dip and then again, the pop today. More importantly, we can see that the IV30™ is right about in the middle of its annual range. In fact, it is in the 46th percentile (annual).

This is part of a larger phenomenon I am noticing -- while VIX is at multi-year lows (and thus individual stocks are at multi-year vol lows), when earnings are approaching, many stocks are not reacting "normally." What I mean is, an earnings event is a firm specific event, and in most cases, the implied should be near annual highs (say 80th percentile or higher), yet I am finding a bunch of names where the earnings vol has found the same malaise as the overall vol. But are stocks moving on earnings news? See AAPL and NFLX for an answer to that question.

Finally, let's look to the Options Tab (below).



Across the top we can see that Feb vol is priced to 96.36% and Mar vol is priced to 69.89%. First, the vol diff is huge between the two. Of course, there should be some elevated vol in Feb to Mar, but, yikes... Earnings are still two calendar weeks away which means that vol diff should expand quite considerably as we approach that Feb 6th date.  Second, 96% vol in this stock is kinda middle of the road...

Anyway, although the vol is high in absolute terms (this is a 100% vol stock), the malaise into earnings feels... odd?...

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