Monday, November 26, 2012

Manitowoc (MTW) - Depressed Vol Nears Annual Low; But Why Right Now?

MTW is trading $14.82, up 2.2% with IV30™ up 2.0%.The LIVEVOL® Pro Summary is below.


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The Manitowoc Company, Inc. (MTW) is a multi-industry, capital goods manufacturer. MTW operates in two markets: Cranes and Related Products (Crane) and Foodservice Equipment (Foodservice).

This is a quick vol note -- I'm trying to note some lesser known names where vol has collapsed of late in a world / market where vol probably won't be collapsing.... I found MTW using a real-time custom scan. This one hunts for depressed vols.

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 MTW Charts Tab (one-year) 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 that awesome rise in late Dec 2011 to mid-Feb of 2012, when the stock rose from a 52wk low of $8.30 to a 52 wk high of $16.97 in just a couple of months. What isn't pictured here is that the stock was ~$23 in May of 2011 and came all the way down to that $8.30 level before rebounding. So, in English, this stock can move by 50% / 100% increments in a matter of months.

I've included an IV30™ chart (one-year) below to better isolate the vol move.

We can see how elevated the implied was a year ago and how quickly it dropped while the stock was ripping up (essentially doubling in three months). We can also see the dramatic decline in the implied of late after earnings. The 52 wk range in IV30™ is [41.92%, 90.68%], putting the current level in the 1st percentile -- i.e. right above the annual low.

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

Across the top we can see the monthly vols are priced to 42.08%, 45.79% and 51.49%, respectively for Dec, Jan and Mar. The vol in general just feels low right now -- not only b/c of the obvious annual comp, but b/c of how the stock tends to move and b/c of the fiscal cliff and b/c of Europe and b/c.... know what I mean?... No?....

This is trade analysis, not a recommendation.

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