Monday, November 28, 2011

InterDigital (IDCC) - Elevated Vol... Again... Again...

IDCC is trading $42.50, up 4.4% with IV30™ down 4.0%. The LIVEVOL® Pro Summary is included below.


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InterDigital, Inc. (InterDigital) is a holding company, and its various subsidiaries engage in technology research and development activities or in the prosecution, maintenance, enforcement, and licensing of patents.

I wrote about IDCC on an elevated vol note on 11-7-2011. You can read that post here:
InterDigital (IDCC) - Elevated Risk, Calendar Vol Diff; Risk Building Again

The IV30™ three weeks ago was 91.76 and was elevated, now it's nearly 97...

The IDCC 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).

I circled the vol level of the last post as a reference, and the current level as well.  The stock has been all over the place with an epic spike on some patent valuation news in Jul. Of late the stock has moved at a relatively muted realized vol to the implied. Specifically:

IV30™: 96.92
HV20: 49.25
HV180: 75.84

Let's turn to the Skew Tab, below.

It's interesting that even though the vol is elevated (and has remained so), the vol is not necessarily elevated in the front. In fact, the weekly options are depressed to the monthlies and the ATM vol in Jan'12 is elevated to Dec. This is not an earnings phenomenon as the next release should be at the end of Feb if history holds.

Let's look to the Options Tab (below) for completeness.

Possible Trades to Analyze
I always ask the same question with this stock -- is it the downside or the upside that is the riskiest? The skew is parabolic, reflecting essentially two-sided risk. Hard to sell gamma here and hard to own vega as well. This is a tricky one where elevated vol may actually be a reflection that owning it is better than selling it.(?)  Then again, owning 96 vol given how the stock has moved (or not moved) is tough as well.

This is trade analysis, not a recommendation.

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