Friday, December 30, 2011

EXCO Resources (XCO) - Elevated Implied, Elevated Historical, More Insider Buying Than... Everyone

XCO is trading $10.56, up 4.1% with IV30™ up 11.5%. The LIVEVOL® Pro Summary is included below.


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EXCO Resources, Inc.(EXCO) is an independent oil and natural gas company engaged in the exploration, exploitation, development and production of onshore North American oil and natural gas properties.

The final note of 2011 is fittingly, a note on elevated vol. I found XCO 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 XCO 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).

On the stock side, we can see the a drop from over $17 six months ago, to now in the $10 range. Check out the vol portion, though. That pink line is the long-term historical realized vol. It got to the ~22% level in late Jul . The HV180 is now 56.41%. Even with that HV180 trend, the implied is now trading substantially above  both historical realized measures. Specifically:

IV30™: 72.16%
HV20: 56.72%
HV180: 56.41%

As recent as 12-23-2011 (seven calendar days ago), the implied was trading 55.85% -- a level that was below both historical realized measures.

I found some news via Yahoo! Finance from referencing some data from It lists the top ten open-market purchases by insiders. XCO is number one in shares and dollar value... And in dollar value of shares purchases the XCO insider action is ~250% of the second highest company listed (GEOY). The source for the article is here: Insiders Trading XCO, VTR, GEOY, REN, written by Jonathan Moreland.


Let's turn to the Skew Tab, below.

There is an awesome upside skew to XCO in Jan. Essentially a straight line up. That Jan OTM call vol quite elevated to the Feb and Mar OTM calls. In terms of order flow, calls have traded on an 8.2:1 ratio to put with nearly 5,000 calls trading on daily average volume of 1,612 calls traded.

Finally, let's look to the Options Tab (below) to see the specific vol levels.

The Jan 13 calls are priced to 84 vol while Feb and Mar are priced at 74 vol. Moving to the 14 level calls, we can see an 18 and 14 vol point difference respective to Feb and Mar.

This is trade analysis, not a recommendation.

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