Thursday, September 8, 2011

CONSOL Energy (CNX) - Elevated Vol, Stock Collapse, Vol Comps & Skew

CNX is trading $44.91, down 1.4% with IV30™ up 0.2%. The LIVEVOL® Pro Summary is below.


Click for Free Trial


CONSOL Energy Inc. (CONSOL Energy) is a multi-fuel energy producer and energy services provider primarily serving the electric power generation industry in the United States.

I found this stock using the real-time custom scan that searches for high IV30™ relative to short-term and long-term realized vols.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20 LTE 10
HV180 - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 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 CNX 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 the stock drop in early August, from $52.09 to $36.93 or a 29% drop in eight calendar days. The stock price has recovered to just under $45 as of this writing. During that eight day period in August, the IV30™ rose from 39.86 to 71.84 or an 80% increase.

While the stock has found calmer ground of late, the IV30™ hasn’t dropped as much as the short-term realized vol and that has created the vol diff that triggered the scan.


IV30™: 52.19
HV20: 39.83
HV180: 42.49
HV10: 32.29

Let’s delve deeper into the vol analysis by examining the skew chart and the line-by-line and month-to-month term structure.

Both of the front months show a parabolic skew, with the front month demonstrating a steeper slope to both sides. That slope difference has created an interesting vol difference – I’ve highlighted it to the downside.

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

I wrote about this one for (OptionsProfits) and maybe Yahoo! Finance later today, so no specific trade analysis here. But, I will say that the position that caught my eye was a downside calendar spread. The 52 wk low in stock price is $33.34, but that was a while back. In that Aug swoon, the low price was $35.75. Having said that, the vol in the Oct downside does still feel pricey – I’d prefer it around the IV30™ or lower, which would be ~50 vol. Not sayin'... Just sayin'.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment