Wednesday, November 28, 2012

Tesla motors (TSLA) - Vol Reaches Multi-year Lows as Stock Pops

TSLA is trading $34.21, up 6.4% with IV30™ down 0.5%. The LIVEVOL® Pro Summary is below.


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Tesla Motors, Inc. (Tesla) designs, develops, manufactures and sells electric vehicles and advanced electric vehicle powertrain components.

This is a vol note -- specifically a company hitting a multi-year low in the implied. I found TSLA 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 2-year TSLA 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 that while there have been some ups and downs, the stock has been pretty steady. The 52 wk range is [$22.64, $39.95].

But, this is a vol story -- so let's turn to the two-year IV30™ chart, below.

We can see that awesome decline in the implied of late, pushing well into multi-year lows as the stock has risen from ~$27 to now just under $34. The 52 wk range in IV30™ is [38.27%, 90.05%], making the current level a new annual (and multi-year) low.

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

Across the top we can see the monthly vols are priced to 37.15%, 41.23% and 47.59% for Dec, Jan and Mar, respectively. I dunno, multi-year low in vols right now -- stock up 6% today alone... Hmm...

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