Thursday, November 10, 2011

Forest Oil (FST) - Elevated Vol, Calendar Spread and Skew Kinks

FST is trading $14.74, up 0.4% with IV30™ down 2.5% as of ~11:35am EST. The LIVEVOL® Pro Summary is included below.


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Forest Oil Corporation (Forest) is an independent oil and gas company engaged in the acquisition, exploration, development, and production of oil, natural gas, and natural gas liquids in North America.

The vol in this name caught my attention – both the vol comp of implied to historical, as well as the calendar vol diff. Let’s start with 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).

Note how the implied is trading above the two historical measures. That gap up in the HV20 is much a do as it’s simply a reflection of the large $4 (ish) divi that was paid. As of right now the vol comps read:

IV30™: 91.75
HV20: 84.09
HV180: 63.73

Let’s turn to the Skew Tab to examine the next vol phenomenon – the month-to-month vol diff.

We can see the Nov vol lies well above the Dec. Further, we can see some funkiness in the Dec 13 strike relative to the surrounding strikes in that expo cycle and a widening vol diff between the downsides of Nov to Dec relative to the ATM. Tricky…

Finally, let’s turn to the Options Tab for completeness.

I wrote about this one for (OptionsProfits), so no specific trade analysis here. I will say that the opportunity to sell vol over 100 seems tasty. The sneaky vol dip in some of the Dec puts may be an opportunity to examine a long pos with some depressed vol (ish) to cover some sort of spread -- either inter/intra/diagonal.

This is trade analysis, not a recommendation.

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