Wednesday, September 14, 2011

McMoRan Exploration (MMR) - Elevated Implied, Dipping Realized

MMR is trading $12.12, down 1.4% with IV30™ down 0.8%. The LIVEVOL™ Pro Summary is below.


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McMoRan Exploration Co. (McMoRan) is engaged in the exploration, development and production of oil and natural gas offshore in the Gulf of Mexico and onshore in the Gulf Coast area of the United States.

The MMR 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).

Although the stock is down considerably over the last six months, the last month (ish) has been relatively quiet, with HV10 dipping to below 60. As the historical vols have dipped, the IV30™ has remained elevated. It’s that vol comp that got my attention. Specifically:

IV30™: 87.90
HV20: 72.67
HV180: 51.99
HV10: 59.63

We can also note that the 52 wk stock price range for MMR is [$10.98, $19.80].

Let’s turn to the Skew Tab, below.

We can see that the ATM vol in Sep is actually slightly depressed to Oct, while the parabolic skew in Sep pushes the OTM call and put vol well above Oct (which is normal this close to expo).

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

I wrote about this one for, so no specific trade analysis here, but, that elevated implied in Oct looks juicy and taking the 52 wk low into account, perhaps some downside risk is reasonable with proper vol levels and risk controls.

This is trade analysis, not a recommendation.

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