Guess? (GES) - Depressed Vol After Earnings Collapse; Stock Drifts Near Annual Low But Vol Stays Quiet

GES is trading $24.89, down 0.4% with IV30™ unched. The LIVEVOL® Pro Summary is below.



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Guess?, Inc. (GUESS?) designs, markets, distributes and licenses apparel and accessories for men, women and children.

I found this stock using a real-time custom scan. This one hunts for low vols but in a longer time horizon.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV60™ GTE 1
IV60™ - HV60™ LTE -8 and GTE -40
HV180™ - IV60™ GTE 8
Average Option Volume GTE 1,200
Industry != Bio-tech

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro®




The goal with this scan is to identify intermediate-term implied vol (IV60™) that is depressed both to the intermediate stock movement (HV60™) 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) and want to avoid bio-techs (and their crazy vol).

The GES Charts Tab is included (below). The top portion is the stock price, the bottom is the vol: IV60™ - yellow vs HV60™ - blue vs HV180™ - pink).



On the stock side we can see the tremendous dip off of the last earnings release. Until then the six-month performance was pretty decent... until then...

The 52 wk range in stock price for GES is [$23.86, $36.35], so the current price is flirting with an annual low.

But, it's the vol that caught my eye (and triggered the scan). We can see how depressed the IV60™ is relative to the HV60™ and HV180™. The HV60™ does have a sort of artificial spike b/c of the earnings move, but still, check out that yellow curve (IV60™), it's been headed down as the stock performance has been worsening.

We can see:
IV60™: 37.82%
HV60™: 61.35%
HV180™: 46.91%

So, IV60™  is depressed relative to the intermediate term and long term realized movement of the stock.  Looking to the even shorter term, the 52 wk range in IV30™ is [28.79%, 71.47%], putting the current level in just the 12th percentile (annual).

Let's turn to the Skew Tab.



All looks normal -- a rather pretty shape across the front three expiries. It appears from the skew that the next earnings release will be outside of the Nov cycle and in Dec (thus the elevated green curve).

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



Across the top we can see the monthly vols are priced to 32.61%, 34.07% and 39.33%. I dunno, with the stock dipping that hard off of earnings and sort of drifting to a new low, is it possible some "unexpected news" could come out making that low vol feel... well... low?...

This is trade analysis, not a recommendation.

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Pre-Market/Post Market: 10-12-12

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Post Market Report: 10-11-12

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United Therapeutics (UTHR) - Vol Elevates to Annual Highs; Risk into Earnings Rises

UTHR is trading $56.41, up 0.5% with IV30™ up 7.0%. The LIVEVOL® Pro Summary is below.



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United Therapeutics Corporation is a biotechnology company focused on the development and commercialization of products to address the unmet medical needs of patients with chronic and life-threatening conditions.

This is a vol note -- while earnings are approaching we expect to see vol rise, but this one really caught my eye. Let's start with the Charts Tab (six months), 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 an impressive rise over the last six months from the low $40's to now over $56 and on a rather steady trajectory.

On the vol side, we see the story. The implied has been rising exponentially as earnings approach (end of Oct / early Nov). The level is easily a six-month high and is on the brink of becoming an annual high. The 52 wk range in IV30™ is [27.38%, 56.64%], putting the current level in the 99th percentile. The last time the implied hit this level was the earnings release a few quarters ago.

Let's turn to the Skew Tab.



We can see a normal skew shape across all three front expiries, with Nov elevated to the other two b/c of he earnings release.

Finally, let's turn to the Options Tab.



Across the top we can see the monthly vols are priced to 36.21% for Oct and 62.25% for Nov. Given that there are still a few more weeks to go before earnings, it's apparent to me that IV30™ will hit an annual high before this event. This is one of a handful of companies I've noted recently where the implied will be breaching annual highs into earnings. Hey, it's October in finance -- risk is here.

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Pre-Market/Post Market: 10-11-12

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Post Market Report: 10-10-12

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Barnes & Noble (BKS) - Vol Pops But Remains Depressed as Nook News is Good; Solvenecy and New Technology but Low Risk?

BKS is trading $14.80, up 7.2% with IV30™ up 14.1%. The LIVEVOL® Pro Summary is below.



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Barnes & Noble, Inc. (Barnes & Noble) is a bookseller. The Company is a content, commerce and technology company that provides customers access to books, magazines, newspapers and other content across its multi-channel distribution platform.

I found this stock using a custom scan searching for names where IV30™ is up at least 10% on the day. The scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.

Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



The BKS 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 the enormous pop in late April on this news:

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Microsoft made a $300 million investment in the e-commerce business of Barnes & Noble, propelling the book retailer’s shares up 50% for the day. After the announcement, the B&N market capitalization jumped to $1.2 billion from $800 million pre-announcement.

B&N and Microsoft will form a subsidiary to market e-books and digital devices in the fast-growing market for on-line content. B&N wants to accelerate sales of its NOOK digital reader and its large inventory of electronic copyrights.

Source: Forbes via Yahoo! Finance; Barnes & Noble Shares Skyrocket 50% Post Microsoft eInvestment, written by Susan Kalla.
---

Since that time, however, the stock has headed essentially straight down, going from a closing peak of $20.75 to now under $15.

On the vol side we can see a pretty smooth ride in the implied, until today. BKS IV30™ is up 14% on this news:

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[BKS] moved higher after its CEO said the company is gaining share in Nook subscriptions.

Source: CNBC.com via Yahoo! Finance; Midday Movers: BKS, SIRI, PCS & More, by Rich Fisherman.
---

It's fascinating that the survival of BKS (which was in doubt a little while ago) is now almost entirely dependent on an e-reader rather than, ya know, the book stores. Good for them for tuning it around but what an odd twist (IMHO). More specific to the vol, I note that the 52 wk range is [50.55%, 112.73%], putting the current level in just the 28th percentile even after the pop today. Does it feel like the implied should be this low (relative to its own history) given all of the stuff above? Isn't solvency still an issue alongside a potential firm specific technological boom? Hmm....

The Skew Tab snap (below) illustrates the vols by strike by month.



We can see how the font month lies well above the back. This term structure is in direct reaction to the news today. I have included the Skew Tab from yesterday to demonstrate the change.



Note that the front month (red curve) was below the second month (yellow curve) for the ATM options. Then today happened.

Finally, let's look to the Options Tab.



Across the top we can see that Oct is priced to ~70% vol while Nov is priced to 68%. Again, this is more of a vol gainer but vol low story where solvency and new technology seem to be at play at the same time for a... book store...

This is trade analysis, not a recommendation.

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Pre-Market/Post Market: 10-10-12

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Post Market Report: 10-9-12

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Staples (SPLS) - Elevated Vol May Breach Annual High into Nov Earnings

SPLS is trading $11.71, up small with IV30™ unched. The LIVEVOL® Pro Summary is below.



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Staples, Inc. (Staples) is an office products company. Staples operates in three business segments: North American Delivery, North American Retail and International Operations. As of January 28, 2012, the Company served businesses of all sizes and consumers in North America, Europe, Australia, South America and Asia.

This is a vol note, specifically an elevated vol note in a firm that I found using a custom scan.

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 SPLS Charts Tab (six months) 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 the rather "gappy" stock ride down over the last half year. The six month return for SPLS has been -26.4% with two notable gaps down off of earnings (the "E" icon represents an earnings announcement). The 52 wk price range for SPLS is [$10.47, $16.60].

On the vol side we can see the story -- elevated implied to the two historical realized measures. IV30™ was 32.29% on 9-12-2012 and since that time (as of this writing) is up 38%. At that same time the stock is essentially unched (it closed at $11.54 on that day). The vol comps as of right now are:

IV30™: 44.55%
HV20™: 30.73%
HV180™: 34.61%

The 52 wk range in IV30™ is [21.74%, 53.43%], putting the current level in the 72nd percentile. The next earnings release should be in the Nov cycle.

Let's turn to the Skew Tab.



We can see a rather rickety skew -- Nov shows an upside bias while Dec looks like a random number generator. That upside skew in Nov is not trivial in that it's a dime bid in the Nov 14 calls but the NBB shows a size of over 5,000 contracts. In English, that upside bend isn't a random one lot dime bid. Given the ugliness of the last two earnings cycles, I'm a little surprised to see that upside skew.

Finally, let's turn to the Options Tab.



Across the top we can see the monthly vols are priced to 43.71%, 44.89, 43.06% for Oct, Nov and Dec, respectively. That Nov vol will likely rise as we approach earnings and it wouldn't surprise me if the vol reaches an annual high (or nears an annual high) given the last two earnings report reactions. Well over 50% vol in mid Nov (if earnings are in fact in Nov) is realistic if not expected, IMHO.

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Pre-Market/Post Market: 10-9-12

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Post Market Report: 10-8-12

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CarMax (KMX) - Stock and Vol Rip on News; Skew is Disrupted -- Risk Profile Changes

KMX is trading $31.81, up 9.0% with IV30™ up 19.9%. The LIVEVOL® Pro Summary is below.



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CarMax, Inc. (CarMax) is a holding company and its operations are conducted through its subsidiaries. CarMax also wholesale used vehicles. The Company is a retailer of used cars, based on the 408,080 used vehicles it retailed during the fiscal year ended February 29, 2012 (fiscal 2012).

This is a vol, stock and order flow note. The catalyst for the move today is some news, and that is included below:

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Shares of Carmax (KMX) soared as much as 11.5% in early trading Monday after a report said the largest used-car dealership chain's revenue will rise 17% this quarter vs. last year.

The report on Carmax, by Theflyonthewall.com citing data from ITG Research, said CarMax is likely to top analysts' consensus estimate when it announces third quarter results in December.

Source: Investors.com via Yahoo! Finance; Carmax Surges On Report Of Sharp Rise In Q3 Sales, written by James Detar.
---

So there you go, good news 'n stuff. Let's start with the order flow. The company has traded over 15,000 contracts on total daily average option volume of just 1,320. Calls have traded on a 2.2:1 ratio and I do note that the daily average volume has a 1:1.6 call:put ratio (so more puts than calls). The Stats Tab snapshot is included (below).



The Options Tab (below) illustrates the action. The heaviest volume in the front two months is in the Oct 32 calls and Nov 33 calls (with some good volume in the Oct 32 puts as well). Note that the volume is greater (substantially so) than the existing OI -- so these feel like opening positions. The Oct 32 and Nov 33 calls all look like purchases to me -- just offers lifted without even an attempt to bid up and get better prices. In English, call buyers...



The Skew Tab snap (below) illustrates the vols by strike by month.



We can see how the front month is both (1) priced above the back expiry and (2) has developed an upside skew. In English, the option market reflects both more risk in the near-term than the intermediate-term and greater upside risk (potential) in the near-term.

I have included the Skew Tab from yesterday to demonstrate the change in the term structure in just one day.



Note how the front was priced below the back (for most strikes) and how the front did not show an upside skew. In English, the news today has dramatically changed the term-structure (I think I already said that...).

Finally, the Charts Tab (six months) is 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 awesome move up over the last few trading days -- almost like the first few days were in anticipation of this news. On 10-3-2012 the stock closed at $28.32. As of this writing the stock is up 12.3% in the last five calendar days.

On the vol side we can see how the implied was in fact trading below both the short-term and long-term historical realized vols until today. The 52 wk range in IV30™ is [24.34%, 48.175], putting the current level in just the 21st percentile. I do find it compelling that the news today has pushed the stock, pushed the vol and disrupted the term structure, yet the IV30™ is still essentially in the bottom quintile. I also note the upside vol diff between Oct and Nov... hmmm....

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--- DISCLAIMER --
This is trade analysis, not a recommendation.


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Pre-Market/Post Market: 10-8-12

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Post Market Report: 10-5-12

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