Netflilx (NFLX) - Vol is Low, But Calendar Diff is Not; Near-term Risk Elevated to Dec.

NFLX is trading $70.21, up 0.9% with IV30™ up 0.3%. The LIVEVOL® Pro Summary is below.



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Netflix, Inc. (Netflix) is an Internet subscription service streaming television shows and movies. The Company’s subscribers can watch unlimited television shows and movies streamed over the Internet to their televisions, computers and mobile devices, and in the United States, subscribers can also receive digital versatile discs (DVDs) delivered to their homes.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

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 back months that are cheaper than the front by at least 8 vol points. 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 front month vol simply because earnings are approaching.

Let's turn to the Skew tab, below.



The yellow curve represents the Nov options, while the green curve represents the Dec options. We can see both a parabolic skew shape across the two expiries, meaning the option market reflects upside risk (potential) and downside risk equally (which is not normal for most stocks), and how the front is elevated to the back. I've included the Skew Tab from 10-25-2012 (two trading days ago), below.



We can see how just a few days ago that calendar diff was nearly non-existent. I do note that the parabolic skew shape is consistent, however. In English, over the last few days the risk reflected in the near-term options in NFLX has increased substantially to the intermediate-term options.  Hurricane related...? I dunno...

Now we can turn to the Charts Tab (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 a lazy last six months, but for anyone that follows this stock we well know how much of a drop this stock has seen in recent years. The price crossed over $300 intra-day in summer of 2011. The 52 wk range in stock price is [$52.81, $131.88].

On the vol side we can actually see how the implied lags both the short-term and long-term historical realized vols as of right now. The 52 wk range in IV30™ is [45.29%, 131.88%], putting the current level in just the 21st percentile.

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



Across the top we can see that Nov monthly vol is price to 67.41% while Dec is priced to 58.84%. I do note how low the implied is relative to its own annual history yet the vol diff now exists between the font two months.

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ValueClick (VCLK) - Put Buyer in Jan Doubles Entire Exisiting OI on Huge Bet; Earnings Out in Less than a Week

VCLK is trading $16.51, down small with IV30™ up 7.8%. The LIVEVOL® Pro Summary is below.



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ValueClick, Inc. (ValueClick) is a digital marketing services company. ValueClick offers a range of products and services that enable marketers to engage with the customers online and through mobile devices.

This is an order flow note in a sock that has earnings due out in less than a week. The company has traded just over 8,000 contracts on total daily average option volume of only 343. Puts have traded on a nearly 22:1 ratio to calls, with the action in the Jan'13 15 puts. The Stats Tab and Day's biggest trades snapshots are included (below).





The Options Tab (below) illustrates that the puts are mostly opening (compare OI to trade size). When looking down the entire option chain for VCLK, I don't see any OI in four digits. In fact, the total OI as of right ow (from the Stats Tab, above) is just 6,264. The volume in the Jan'13 15 puts is almost that size in and of itself already. Add those Jan'13 16 puts traded today, and we're nearly at 6,000 potentially opening positions. From what I can tell, the Jan'13 15 and 16 puts look like purchases today. In fact, I couldn't really be more sure about the Jan'13 16 puts being purchases unless I was speaking to the accommodating broker (or trader).




Stock volume on the day is roughly 50% of the average, so it feels like a slow day in the equity market for VCLK -- certainly not an over hedge or synthetic call (from puts) day. In English, I think someone(s) is buying puts naked -- whether they have existing stock positions, I dunno. The rising vol in Jan'13 (which is not necessarily due to earnings) is the circumstantial evidence that the flow today is long in Jan.

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



We can see a normal shape across the front three expiries -- rather pretty actually. I do note a slight kink in the Jan'13 expiry ATM -- possibly (if not likely) due to the flow in those puts.

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).



On the stock side it's hard to miss the earnings cataclysm in May -- the stock dropped from $21.60 to $16.80 in a day (5-3-2012). Since then, the stock has found a sort of equilibrium -- it was $16.80 on close of that earnings day, and is trading $16.51 as of this writing. The 52 wk range in stock price is [$13.80, $21.86].

On the vol side we can see how the implied is rising into earnings (which is normal), and the IV30™ has just now breached the HV20™ and HV180™. In English, the short-term implied vol has just now risen above both the short- and long-term historical realized vols. The 52 wk range in IV30™ is [25.54%, 64.73%], putting the current level in the 56th percentile. That feels a bit low... we're heading into earnings in six days (or whatever) while two earnings reports ago the stock collapsed, and now there's a vega buyer for size (equal to the total current existing OI) in Jan'13 -- on the put side. Hmmm...

An interesting position to examine in Jan'13 would be to own vega delta neutral, where the vol crush should be (will be?) less than in Nov after the earnings announcement -- so it sides with the flow, but protects (somewhat) against a massive vol crush.  I do note that the vol in Jan'13 as of this writing is just 41.51% which is very "middle of  the road" relative to the IV30™ history (annual).  Ya know... or no...

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High Yield Bonds (HYG) - Massive Downside Positions Accumulate in Low Credit Bond Market; A Bet on an Market Decline by Dec of this Year

HYG is trading $92.80, up 0.2% with IV30™ down 2.3%. The LIVEVOL® Pro Summary is below.



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The investment seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the iBoxx $ Liquid High Yield Index.

In English, this is a high yield bond index ETF with low credit quality and medium exposure to interest rate risk according to Morningstar.

The name came up on a high volume scan – and then it got really interesting. It has already traded nearly 500% of its daily average option volume in the first four hours. The Stats Tab and day's biggest trades snapshots are included below.





We can see three things:
1. Over 16,000 contracts have traded on daily average volume of 3,386.
2. Puts have traded on a 108:1 ratio to calls.
3. The largest trade was a put ladder – customer buying the Dec 92 puts and selling the Dec 87 and 88 puts to fund the purchase, paying a net of $0.75, done 5,000x.

In English, someone bought a huge put spread and sold one more round of lower strike puts to help fund the cost of the position. But there is so much more to this…

Let’s turn to the Options Tab, below.



Note the volume today in the green numbers to the right. Then note the open interest (OI) in each of those puts to the right of that. There is a total OI of 28,850 in those three puts alone, accounting for more than 31% of the average open interest in this name.

And… this position has been growing since Oct 1. I have included the options montage as of Oct 1 focused on those puts, below.



Note that the OI at that time for all three lines was in the range of [1748, 2674]. Now we’re looking at ranges between 8,000 and 12,000 with 5,000 more trading today, alone on each line.

The stock volume throughout all of this has remained pretty tame – today for example about 1/3 of the daily average has traded thus far. One might even call it a low stock volume day. These feel like option trades untie to stock.

Let’s turn to the Chars 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 the general rise over the last six months, while on the vol side we can see a general decrease. The 52 wk range in price is [$77.44, $93.56], so the ETF is nearing an annual high. The 52 wk range in IV30™ is [5.13%, 19.62%], putting the current IV30™ in just the 15th percentile – nearing an annual low.

So, in English, as the high yield bond market has been rising to near annual highs and the vol has been dropping, someone(s) has been making gigantic bets on a near-term downturn. It’s a limited downside side bet – that is, it’s a put ladder, but nonetheless, these are very large sizes for this name. By tomorrow, the OI in those three strikes alone could account for more than 40% of the total average OI.

In my opinion, this is a bet on a sharp market decline before year end – not just the bond market, but also the stock market, with the high yield (low credit) names leading the way.

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Expedia (EXPE) - Vol Reaches Multi-year Highs After Consecutive Earnings Blow-outs. Earnings Due Out in Two Days -- Vol Shows It.

EXPE is trading $53.60, up 2.4% with IV30™ up 2.1%. The LIVEVOL® Pro Summary is below.



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Expedia, Inc. (Expedia) is an online travel company. As of December 31, 2011, the Company's portfolio of travel brands featuring supply portfolio, including over 145,000 hotels in 200 countries, 300 airlines, packages, rental cars, cruises, as well as destination services and activities

This is an elevated vol note -- a pretty simple one in the reasoning, a pretty compelling one in the reasoning as well. EXPE has earnings due out 10-25-2012 AMC -- or in English, in two days.

Let's look to 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 a huge run up over the last half-year, with the stock rising from $31.39 to now over $53, or more than 70%. Looking carefully at that stock chart we can see two earnings results (the blue "E" icon). On both of those days, the stock gapped up on the news -- i.e. the market liked it a lot. The 52 wk range in EXPE price is [$25.19, $60.29].

On the vol side, it's fascinating to note that on the first earnings blow out on 4-26-2012 (AMC), the implied only rose to 35.34% ahead of the announcement. Then, on the next earnings report, the IV30™ rose to 67.80% just before the announcement. That's nearly a doubling in vol, yet the stock still moved more than the implied. We are now just days away from the next earnings release and the IV30™ is sitting above 70% -- and that is not just an annual high, but a multi-year high. the 52 wk range in IV30™ was [23.31%, 69.55%] -- of course, we're well over that now.

Rater than show the skew, which is gonna look exactly as you would expect, the front is elevated substantially to the back-- let's just turn to the Options Tab.



We can see across the top how the Nov options are priced to 73.79% -- it's odd but the vol might actually drop slightly tomorrow if vega sellers come in at these levels. Of course, the standard expectation would be even higher vol as the earnings date approaches. Note that the ATM strangle (50/55) is priced $5.80 x $6.10, or, in English, a stock price in between [$44, $60] is kind of.... the norm... Hmmm...

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Riverbed technology (RVBD) - Vol Nears Multi-year Lows as Stock Starts to Move

RVBD is trading $23.21, up 0.6% with IV30™ up 3.3%. The LIVEVOL® Pro Summary is below.



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Riverbed Technology, Inc. (Riverbed) has developed solutions to the fundamental problems associated with information technology (IT) performance across wide area networks (WANs).

This is a vol note, specifically a depressed vol note on a stock that just had earnings and may be moving away from a "quiet" period. 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 the nice little bounce off of the earnings report a few days ago. Other than that, the stock has been sort of stuck in an equilibrium -- quite limited realized vol. The 52 wk range in stock price is [$13.30, $30.73].

On the vol side we can see how much the implied has fallen off from the earnings report (which is normal). What caught my eye is how low the IV30™ has dipped. The 52 wk range in IV30™ is [40.55%, 91.99%], putting the current level in he 2nd percentile. In English, RVBD IV30™ has almost reached its annual low which is essentially a multi-year low.

Let's turn to the Skew Tab.



We can see a rather "blah" skew, with the shapes similar across all months and the ATM vol in Nov lower than the other two back months. Basically, not a whole lot goin' on in the skew.

Finally, let's turn to the Options Tab.



Across the top we can see the monthly vols are priced to 41.72%, 43.14 and 45.645, respectively for Nov, Dec and Jan. Ultimately I found his stock compelling b/c the implied has dipped so low off of earnings that it's nearing multi-year vol lows just as the price is starting to move higher (and HV20™ is rising).

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VIX - Is the Market Confused About Risk? Is the VIX Confused? Are We Headed For Collapse -- Or Not Even Close?

The VIX spot is quoting 16.57%, up 10.3% on the day with IV30™ up 6.9%. The LIVEVOL® Pro Summary is below.



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VIX is the CBOE volatility index for the SPX – also known as the “Fear Index.” This is a vol and vol of vol note and I will get a bi esoteric when I talk about forward VIX indexes.

Let’s start with the Charts Tab (one-year). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the spot side we can see how VIX was substantially elevated last year at this point – well into the mid 30’s. Today we’re looking at a 16.5% VIX after a big move up today. If VIX represents the fear index – are we “half as afraid” now as we were a year ago? I dunno, kinda, yeah... Eurozone seems less scary – they’re just gonna use a big ‘ole biscuit of money and wipe up all the debt. That (apparently) is less scary than the Eurozone breaking up.

In fact, if you don’t mind a digression and have wondered what the Eurozone is and why it exists, here’s some stuff I wrote about a few years ago (5-18-2010). So, I’m quoting myself…

You can read the entire article here (5-18-2012): The European Crisis Explained and Currency Option Trading

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The Treaty of Maastricht (formally, the Treaty on European Union) was signed on 7 February 1992 by the members of the European Community in Maastricht, the Netherlands. Amongst other things, it created the rules (requirements) for joining the European Union (i.e. the Euro).

By amalgamating these currencies, countries like Spain, Portugal, Italy and Greece, which were traditionally agricultural economies, are now able to borrow money with the same terms as the highly efficient and industrialized economies (i.e. Germany).

The requirements to enter the EU were focused around debt, inflation and trade. Greece did not meet the requirements, but never fear, Goldman Sachs to the rescue. In a billion Euro swap using the Japanese Yen, Greece was able to "move" (read: hide) debt off the books and allow it to conform to Euro requirements. In fairness to Goldman, Greece and the EU were highly motivated to make this happen, so while Goldman were the actual "arrangers", this thing was gonna happen almost no matter what (that's just my opinion).

Keep in mind that Germany's geo-political clout stems from the EU existing and growing, without it, they're just Germany, with it, they are Europe (is there any precedence to worry about that?... hmmm). The growing risk now is that Spain, Italy, Portugal, Romania, Hungary and a whole bunch more Eastern European countries are on the verge of similar calamities to Greece. FYI, some would consider my use of the word "risk" a vast understatement.

Ok, the quick and dirty lesson over, onto trading and option markets.

To focus a little more easily on the vol of the VIX (the vol of vol), I have included a two year vol chart, with IV30™ in red and HV180™ in pink, below.



What I note most obviously is that the actual movement of the VIX spot is substantially higher than the implied for most of this two year period. In other words, the risk reflected by the options market of a volatile VIX has been understated relative to the actual spot movement. I also note that tremendous spike in the pink curve from late summer of last year to ~Mar of his year.

All of this is interesting… But, here’s where it gets a little… well, scary…

Let’s turn to the Options Tab.



Note the lower vols by expiry moving from the front to the back (across the top of the tab). Although we could use the futures markets to price forward VIX, I choose to use the options b/c, well, that’s just kind of what I do. Let’s look at what the VIX is priced in the futures markets though the options by backing out the combo, by expiry. I’m going to assume 0% interest rates mostly b/c interest rates are… zero…

I also will use the strike price where the difference between the call prices and put prices are the smallest – that’s the true way to find the ATM options.

Implied future VIX levels through the options market:

Nov (17 strike): 17 + 1.775 – 1.45 = 17.33%
Dec (18 strike): 18 + 2.325 -2.15 = 18.18%
Jan’13 (20 strike): 20 +2.825 – 3.025 = 19.8%
Feb’13 (21 strike): 21 + 3.2 – 3.45 = 20.75%
Mar’13 (22 strike): 22 +3.5 -3.8 =21.7%
Apr’13 (23 strike): 23 + 3.85 – 4.05 = 22.8%

I’ve included these numbers in a line chart, so it’s easier to see the trend:



The point is that the option market (futures market) is implying a steadily increasing VIX for the next six months (ish) -- so more risk in the SPX. So, that’s future pricing... but then there’s this... Let’s look to the Skew Tab.



For those of you that are new to looking at VIX skew, the shape you see is actually normal – keep in mind that a higher VIX is associated with lower SPX values – so this isn’t reverse skew, it’s normal skew. But the compelling part is that each expiry, from front to back, shows lower vol. In English, the option market reflects less risk in the movement of the VIX monotonically for the next half year. At the same time, the futures market looks to a higher value in the VIX in that same time frame (and higher VIX is a reflection of potentially lower SPX values).

This isn’t an impossible situation, in fact, it could be considered semi-normal – but what I read into it given the recent market downturn (i.e. today), is that there is confusion as to the relevant risk levels in the market, and confusion means higher vol in option speak. So what I’m saying? I’m saying that either the vol in the VIX feels low or the value of the VIX feels low too, or both. And neither of those are bullish.

Just as a reminder, the phenomena I am pointing out here are not “crazy unusual,” but taken in the framework of the current environment, they are at the very least worth writing a blog about... And I said, “at the very least….”

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Best Buy (BBY) - Option Market Reflects Potential of Takeover Pre-Earnings; But Downside is Not Backwards

BBY is trading $17.45, down 0.8% with IV30™ up 1.5%. The LIVEVOL® Pro Summary is below.



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Best Buy Co., Inc. is a multinational retailer of consumer electronics, computing and mobile phone products, entertainment products, appliances and related services.

This is a vol note -- specifically skew as earnings approach. Having said that, any note on BBY has to include at least an allusion to the goings on of a potential takeover / private by the ex-Chairman.

Here a list of headlines that I copied from a blog I posted on 8-29-2012 as well as a link to the article iself.

Best Buy Co. (BBY) - Options Reflect Upside Potential in Near-term; Vol Diff Gaps Open to Upside

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06-Jul-12 15:23 ET: Best Buy to layoff 2400 employees - CNBC

11-Jul-12 09:33 ET: HHGregg at a 3.5 year low following Q1 warning and FY13 guidance cut, now off ~32% (7.80 -3.74) -Update BBY -6%

13-Jul-12 09:42 ET: Best Buy trading lower off the open; Hearing cautious comments at Cleveland Research

30-Jul-12 08:44 ET: Best Buy spikes to $20 then comes back to ~$19 following renewed takeover reports;

30-Jul-12 08:43 ET: Best Buy founder Schulze recruiting executive team for buyout - Bloomberg

06-Aug-12 08:35 ET: Best Buy Founder Richard Schulze confirms proposal to acquire BBY for $24.00 to $26.00 per share

Provided by Briefing.com (www.briefing.com)
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Clearly there's been more news -- all we need is the equity market price to see that -- $17.50 is not $24-$26 (takeover price rumor).

But, I want to focus on the Skew, so let's start there.  The Skew tab from today is included below.



As far as I can tell, the next earnings release for BBY should be in late Nov, but likely after Nov expiry. What we can see in the skew is an abrupt upside vol in the OTM calls when compared to the other strikes in Nov and certainly the other strikes in Dec. I've highlighted the vol diff that has opened to the upside.

The skew hasn't always looked like this. In fact, we can see the Skew Tab from 10-3-2012, below -- and how this weird shape discrepancy was not apparent.



The Dec options (green curve) laid above the Nov options (yellow curve) across all strikes -- a reflection of the risk in earnings. It's the news over the last fifteen calendar days that has created this rather dramatic shift. Here are the headlines since 10-3-2012:

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10-3-2012: According to reports Best Buy (BBY) founder Richard Schulze and four private equity firms are preparing a possible $11 bln buyout of BBY.

10-9-2012: Best Buy announces it is conduction a search for a new CFO

10-10-2012: Best Buy founder Richard Schulze has made progress toward making a bid for BBY, according to reports

10-12-2012: Best Buy is planning on matching online competitor (AMZN) prices this holiday season, according to the WSJ

10-16-2012: Best Buy: Reuters reporting BBY is planning to price its own Android tablet 'insignia flex' at $239 to $259

Source: Briefing.com (www.briefing.com)
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So new technology, a competitive move against AMZN and more of the takeover "stuff" -- all in a relatively short period of time.  The result is... that shift in skew.

Let's skip the Charts Tab this time, and just go straight to the Options Tab.



We can see the vols across the top, specifically that Dec is priced to 62.84%, while Nov is priced to 58.81%. So, it does seem that the option market reflects that the vol event (earnings) is due out in Dec (and not Nov).

But, looking at specific strikes, checkout the Nov/Dec 20 call spread (as one example) -- where owning the earnings month costs ~63% vol while selling to pay for it with Nov sells ~68% vol. There are several of these spreads as well as diagonals to the upside, where owning Dec (and earnings) is less expensive (in terms of vol) than owning Nov.

Of course, the takeover news (or possibility of it) is a non-trivial risk factor which the option market reflects quite clearly. It is interesting to note that the case is not reflected in the downside options (OTM puts), if we look back to the Skew Tab from today. In English, the options reflect greater upside risk (potential) in Nov vs Dec (and earnings) but not to the downside. Hmmm....

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Red Hat (RHT) - Depressed Vol and Annual Low in HV10

RHT is trading $54.39, up 0.5% with IV30™ down 3.1%. The LIVEVOL® Pro Summary is below.



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Red Hat, Inc. (Red Hat) is engaged in providing open source software solutions to the enterprise, including its Red Hat Enterprise Linux and JBoss Enterprise Middleware.

I found this stock using a real-time custom scan. This one hunts for low vols -- specifically ones in the bottom 10th percentile for IV30™ for the year.

The RHT 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 a bunch of sideways movement -- so much so that the HV60™ is just 31.19% and the HV10™ is just 12.56%. Whoa...that's low.... The 52 wk price range in RHT is [$39.19, $62.75].

On the vol side we can see how the implied has nestled in between the HV20™ and HV180™. The 52 wk range in IV30™ for RHT is [28.78%, 67.23%], putting the current level in the 7th percentile.

I've included a one year chart of the HV10™ below -- I know don't normally use this measure, but stick with me for a sec.



Two things that I note:
1. Look how low the measure has become -- that's an annual low and reflects that over the last ten trading days the stock has moved at an ~12% (annualized) rate.
2. Look how high the measure can get off of earnings, or even apart from earnings cycles.

The implied is priced in the 7th percentile and I believe that's in part due to the last 10 trading days of literally, "ho-hum" trading. I dunno, kinda feels low, no?

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



Across the top we can see the monthly vols are priced to 31.66%, 31.68% and 38.04% for Oct, Nov and Dec, respectively. Dec likely has an earnings release (though that's not a sure thing), as thus the elevated vol. In any case, the low vol in RHT caught my eye -- maybe it trades like a 30% vol stock for a while... but maybe it doesn't...

This is trade analysis, not a recommendation.

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Ascena Retail group (ASNA) - Calendar Spread opens as Expiry Approaches; Depressed Vol into Earnings

ASNA is trading $20.25, up 1.3% with IV30™ up 4.5%. The LIVEVOL® Pro Summary is below.



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Ascena Retail Group, Inc. (Ascena) is a national specialty retailer of apparel for women and tween girls operating, through its wholly owned subsidiaries, the dressbarn, maurices, and Justice brands. As of July 28, 2012, the Company operated over 3,800 stores throughout the United States, Puerto Rico and Canada.

The stock just came up on a real-time custom scan. This one hunts for calendar spreads between the front two months.

Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 GTE 8
Average Option Volume GTE 1,000
Industry isNot Bio-tech
Days After Earnings GTE 5 LTE 70
Sigma1, Sigma2 GTE 1

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 back months that are cheaper than the front by at least 8 vol points. 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 front month vol simply because earnings are approaching.

Let's stat with the Skew Tab (below).



We can see two phenomena:
1. The front is elevated to the back (note that the font represents just 4.5 trading days as Oct expiry is here at the end of this week).
2. There is an upside skew in the Oct options creating an even greater vol diff.

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



While the stock has had its ups and downs, ultimately it's almost unched from six months ago (was $21.14 and now is $20.25). The stock has rallied from the ~$17 level in early August. The 52 wk range in stock price is [$12.69, 22.62], so it is nearing an annual high which would also be a multi-year high.

On the vol side we can see how choppy the implied has been, yet as of this writing, the IV30™ is essentially equal to the long-term historical realized vol and just above the short-term historical realized. Specifically:

IV30™: 32.29%
HV20™: 28.35%
HV180™: 31.86%

So vol feels fair(ish). The 52 wk range in IV30™ is [25.62%, 55.20%], putting the current value in the 22nd percentile (annual).

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



Across the top we can see the monthly vols re priced to 46.10% and 32.29% for Oct and Nov, respectively. Even Dec is priced to just 34.97%, and the next earnings release should be in early Dec / late Nov (but outside Nov expiry).

Looking specifically at some prices, we can see Oct/Nov 21 call spread shows a ~20 point vol dif while the Oct/Dec shows a ~19 vol point diff. An interesting position to analyze could be to own Dec (with earnings) while selling the four day vol in Oct to collect some premium. If that works out, maybe then selling some Nov (even diagonal) as the Nov / Dec vol spread feels a bit tight as well, given the earnings event in Dec. Ya know, or not...

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