Thursday, June 9, 2011

Cameron Int'l (CAM) - Elevated Vol

CAM is trading $45.26, up 1.6% with IV30™ down 1.6%. The LIVEVOL® Pro Summary is below.


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Cameron International Corporation (Cameron) provides flow equipment products, systems and services to global oil, gas and process industries.

I found this stock using a real-time custom scan. This one hunts for high vols. I wrote about this stock for (OptionsProfits) so no specific trade analysis.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20™ GTE 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 CAM 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).

We can see:
IV30™: 38.92
HV20: 26.89
HV180: 30.71

So, IV30™ is elevated relative to the short-term and long-term realized movement of the stock. The price has been headed straight down in the last four months (ish) – this was actually a $62 stock not too long ago.

Let’s turn to the Skew Tab and look at line-by-line vols.

The skew is pretty normal looking – downward sloping, but there aren’t any specific strikes that stand out.
Let's look to the Options Tab (below) for completeness.

This is trade analysis, not a recommendation.

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