Thursday, June 30, 2011

ZAGG - Elevated Vol in Front Above Earnings Vol in Back

ZAGG is trading $13.07, down 4.9% with IV30™ up 6.3% as of ~10:55am EST. The LIVEVOL® Pro Summary is below.


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ZAGG Incorporated (ZAGG) designs, manufactures and distributes protective coverings, audio accessories and power solutions for consumer electronic and hand-held devices under the brand names invisibleSHIELD, ZAGGaudio, and ZAGGskins.

ZAGG came up on a few custom scans, but I’m focusing on the elevated implied vol relative to historical vol. Let’s look at the custom scan details:

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 ZAGG 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 the stock has risen of late, from around $6 in late March to over $15 less than three months later. On the vol side, IV30™ is elevated to both the HV20 and HV180. Specifically:

IV30™: 110.92
HV20: 80.31
HV180: 89.49

Two things to note – the implied is obviously substantially elevated to the historicals but also note how high the realized vol is. This stock can really move. Let’s turn to the Skew Tab.

This is another of the custom scans that ZAGG appears on – the front two month calendar spread. While Jul vol is priced at around 126, Aug is priced at 104. I believe earnings are due out in early Aug, or at least, after Jul expo. I tried calling IR, but got the voicemail. The last earnings cycle for ZAGG was 5-10-2011, so it feels like a reasonable bet that earnings are in fact after Jul 16th (Jul expo.).

Let’s turn to the Options Tab for completeness.

That vol diff between Jul and Aug is a bit odd. I wrote about this one for (OptionsProfits) so no specific trade analysis here.

This is trade analysis, not a recommendation.

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