Clean Energy Fuels (CLNE) - Stock Rips on Investment

CLNE is trading $16.99, up 12.7% with IV30™ up 6.3% as of ~10:45am EST. The Livevol® Pro Summary is included below.



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Clean Energy Fuels Corp. (Clean Energy) together with its wholly owned subsidiaries is engaged in the business of selling natural gas fueling solutions to its customers, primarily in the United States and Canada.

The stock has been a tear over the last two days based on some capitalization changes. Here’s some news from the last two days:

Tuesday, 7-12-2011:
Clean Energy Fuels Corp shares rose 16%. Chesapeake Energy Corp. said Tuesday it would invest $150 million over three years to fund the development of liquefied natural-gas truck-fueling stations, prompting one set of analysts to raise Clean Energy’s stock.
Source: MarketWatch

Wednesday 7-13-2011:
Clean Energy Fuels Corp drew an up[g]rade to buy from underperform at Bank of America Merrill Lynch as the company continues to draw praise from Wall Street from a $150 million convertible debt investment from Cheseapeake Energy Corp. earlier this week.
Source: MarketWatch

Let’s turn to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



We can see that this was a $13.12 stock on close 7-11-2011 and is now trading near $17 in two days. The 52 wk range is [$11.75, $19.36].

With the stock moving so much in the last two days, the front month has become elevated to the back. With just 2.5 days left in the Jul cycle, the front month is a pure gamma bet. Let’s turn to the Skew Tab.



I’ve highlighted the rather large vol diff between the front two months. As of this writing, Jul ATM is priced to ~62.5 vol vs. ~50 for August. Note that August likely has the next earnings cycle.

Let’s turn to the Options Tab for completeness.



I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here, but I will say this:

Noting that Jul has just 2.5 days left and August has those two days + one month + earnings, yet Jul fair value is worth 35% of Aug. But, given that the stock has moved more than $1.50 in two consecutive days, maybe selling gamma here is the wrong move.

This is trade analysis, not a recommendation.

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