Monday, October 31, 2011

Riverbed Technology (RVBD) - Vol Pop, Depressed Vol, Moving Stock

RVBD is trading $28.09, down 3.3% with IV30™ up 11.3%. The LIVEVOL® Pro Summary is below.


Click for Free Trial


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

I found this stock using a custom scan searching for names where IV30™ is up at least 10% on the day. What caught me eye though was the fact that the stock actually has depressed short-term vol to the historical measures. First, here are the scan details 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 RVBD 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 underlying price has soared of late from ~$18, to now over $28 (and nearly $40 before today). So, a ~60% gain in a month. We can also see in the fairly recent past how the stock gapped down after earnings. The 52 wk range for this stock is [$18.33, $44.70].

For a slightly zoomed look at vol, I've included just the vol portion (expanded), below.

We can see:

IV30™: 55.81
HV20: 62.51
HV180: 67.87

So, while the vol is ripping today, the IV30™ is still depressed relative to the HV180 (long-term realized) and the HV20 (short-term realized). For a stock that's been going straight up and has a 52 wk range as wide as RVBD does, low vol is worth noting. The 52 wk range in IV30™ is [42.11, 96.71], which is to point out that vol can get (and has been) lower and higher.

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

It's actually a frustratingly pretty skew, where there are no kinks and it holds a perfect shape. Strike by strike there don't seem to be any obvious trades to analyze. Finally, let's look to the Options Tab, for completeness.

I would just not that the Nov ATM straddle is worth ~$1.90 with the stock which has moved almost $1 today alone and has been anything but stagnant.

This is trade analysis, not a recommendation.

Follow Live Trades and Order Flow on Twitter: @Livevol_Pro

Legal Stuff:

No comments:

Post a Comment