Wednesday, December 7, 2011

H&R Block (HRB) - Vol Touches Annual High, Near-term Risk Elevates

HRB is trading $15.60, up 3.1% with IV30™ down 0.3%. The LIVEVOL® Pro Summary is below.


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H&R Block, Inc. (H&R Block) is a tax service provider. H&R Block has subsidiaries that provide tax, banking and business and consulting services.

This is a vol note which seems to surround an investor conference tomorrow. Let's start with the Charts Tab (one year), 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 sort of imaginary line of support at or around $13 (drawn in yellow). Note that HRB released earnings less than a week ago. On the vol side we start to get some interesting stuff -- the implied is super elevated to both of the historical realized measures. In fact, the 52 wk high in IV30™ is ~62.4, so we're right on that level, today. The spiking implied is considerably above the recent stock movement, reflecting near-term forward looking risk. The vol comps specifically look like this:

IV30™: 61.71
HV20: 41.20
HV180: 39.65

Looking to the Skew Tab we see another vol phenomenon.

Both months hold a "normal" skew shape, with the downside vol elevated to the ATM and upside OTM. An interesting vol difference has opened up between the Dec and Jan monthly options to the downside, with Dec elevated to Jan. The option market reflects near term risk -- like within the next nine calendar days.

Finally, let's turn to the Options Tab for completeness.

Dec vol is priced at ~69, with Jan at ~60. Both levels are substantially above the HV20 and HV180.

This is trade analysis, not a recommendation.

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