Tuesday, December 13, 2011

Agilent (A) - Depressed Vol, But Elevated Risk?

A is trading $33.76, up small with IV30™ down 4.2%. The LIVEVOL® Pro Summary is below.


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Agilent Technologies, Inc. (Agilent), incorporated in May 1999, is a measurement company providing bio-analytical and electronic measurement solutions to the communications, electronics, life sciences and chemical analysis industries.

This is another vol note -- two vol phenomena this time, slightly contradicting.

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).

We can see the stock has kinda bounced around and has been stuck in a $6 (ish) range. It's the vol that I like -- specifically how the implied is now trading below the two historical realized measures. So, as the stock has been dipping of late, the implied now is falling. The actual values are:

IV30™: 47.78
HV20: 50.80
HV180: 53.29

With that sort of depressed vol in mind, let's turn to the Skew Tab.

The front lies above the back, which is pretty normal given that expo is three and a half days away. What is cool is how bid the OTM puts are. Not just the "disaster" puts which tend to find some "stickiness" near expo due to event risk, but even the "real" puts. In English, it's cool to see that the Dec 33 and 32 puts are priced to 54 and 57 vol, respectively. Both those levels are above the IV30™ and the two HV measures I cited. Those same strike puts in Jan are priced to 48 and 49 vol, respectively -- below both historical measures.

So, in English, as the implied overall has dipped, the Jan OTM puts have also dipped. But... the Dec puts have remained elevated -- sort of a contradictory result. One points to reduced risk, the other to elevated risk.  Keep in mind that A fell $1.60 (or whatever) just two days ago.

Finally, let's turn to the Options Tab.

We can see that in order to find that 54 vol in the Dec 33 puts, we need to go all the way down to the 29 strike in Jan. To find that 59 vol in the Dec 32 puts, we need to go all the way to the Jan 27 puts. Word...

I have some short and long positions in A both in the front and second expiry.

This is trade analysis, not a recommendation.

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