Wednesday, December 7, 2011

Spreadtrum Communications (SPRD) - Elevated Vol, Dipping Stock, Vol Comps

SPRD is trading $20.61, down 5.2% with IV30™ up 4.8% as of ~10:20am EST. The LIVEVOL® Pro Summary is included below.


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Spreadtrum Communications, Inc. is a fabless semiconductor company that designs, develops and markets baseband processor, radio frequency (RF) transceiver and turnkey solutions for the wireless communications and mobile television market.

HQ: Shanghai, China

This is a vol note, both with respect to the overall vol level and the month-to-month vol diff. Let’s start with the Skew Tab, below.

We can see the front is elevated to the back though the skew shapes are the same. That vol difference rises to the downside puts. Let’s turn to 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).

While the stock has been rising over the last 6 months, the recent few days have been… scary… On 11-16-2011 the stock was trading $29.94. As of this writing the stock is down to $20.61 – that’s 31% in ~3 weeks.

On the vol side we can see the implied is now trading above the historical measures. Specifically:

IV30™: 94.84
HV20: 88.41
HV180: 80.63

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

I wrote about this one for (OptionsProfits), so no specific trade analysis here. I will say that the 52 wk range for SPRD is [$8.54, $29.98], so the stock can move and that 31% drop isn’t necessarily a floor. Also, the stock is in free fall so a disaster report that halts the company for several months is a possibility. Chinese stocks have been known to do that.

This is trade analysis, not a recommendation.

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