Friday, November 18, 2011

Overseas Shipholding Group (OSG) - Elevated Vol

OSG is trading $14.21, up 0.2% with IV30™ down 2.8%. The LIVEVOL® Pro Summary is included below.


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Overseas Shipholding Group, Inc. is a tanker company engaged primarily in the ocean transportation of crude oil and petroleum products.

I found this stock using the real-time custom scan that searches for high vols relative to the short-term and long-term historical realized vol.

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 OSG 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 a rather abrupt stock price drop over the last few months, though the stock has bounced off of it's recent 52 wk low ($11.41). The vol chart illustrates the... cool stuff, with the implied elevated to the short- and long-term realized historicals.

We can see:
IV30™: 83.86
HV20: 68.23
HV180: 60.71

Let's turn to the Skew Tab, below.

The skew is holding a "normal" shape. To read what normal skew is and why it exists, you can read this post: Understanding Option Skew. In English, while the vol is elevated, the line-by-line shape has maintained its shape so no obvious cool kinks to sell (or buy).

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

Possible Trades to Analyze
Dec does look juicy. The downside puts are priced at over 100 vol while the 52 wk range in IV30™ is [29.71, 104.15]. The upside skew also shows rising vol from the 16 - 19 strikes. Ratios are also interesting.

This is trade analysis, not a recommendation.

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