Tuesday, December 27, 2011

ATP Oil & Gas (ATPG) - Elevated Vol Trend

ATPG is trading $7.39, up 3.1% with IV30™ up 2.5% as of ~11am EST. The LIVEVOL® Pro Summary is below.


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ATP Oil & Gas Corporation (ATP). is engaged in the acquisition, development and production of oil and natural gas properties in the Gulf of Mexico and the United Kingdom and Dutch sectors of the North Sea (the North Sea).

This is a vol note – specifically a company with elevated vol that tends to move in a patterned ebb and flow. 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).

I’ve circled/highlighted a lot here. In the stock portion (top) we can see three abrupt stock declines in the last six months. Two of those (the first and third) were directly off of an earnings release. On the vol side, we can see the implied spike into earnings. In the middle stock drop, we can see the implied spiked essentially as high as it did into earnings.

Let’s fast forward to today’s vol levels. We can see that while the implied is elevated to the two historical realized measures, it’s nowhere near those other three elevated levels.

IV30™: 104.61
HV20: 72.98
HV180: 89.42

Let’s turn to the Skew Tab to examine the month-to-month and line-by-line vols.

We can see that the Jan and Feb vols lie almost directly on top of each other so the elevated vol right now doesn’t seem to be focused on an event in one month and not in another. Ultimately the skew is “normal,” with the downside puts bid relative to the OTM calls.

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

I wrote about this one for TheStreet.com (OptionsProfits), so no specific trade analysis here. I will say that the The 52 wk range in stock price for ATPG is [$5.53, $21.40]. While the next earnings release is likely after Feb expo, it’s the fact that the stock dropped and vol spiked a much as it did without an earnings report that caught my attention wrt to risk.

This is trade analysis, not a recommendation.

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  1. Seems like the March are pretty much trading at the same IV as well. Does that mean the market doesn't expect earnings to come out til after March exp.??

  2. I see Mar priced to 111 vol per the top of the Options tab (above) so it does look elevated (ish).