Thursday, December 29, 2011

TiVo (TIVO) - Depressed Back Month Vol to Earnings, Elevated Front on Vol Pop

TIVO is trading $8.79, unched on the day with IV30™ popping up 10.8% a of ~11am EST. The LIVEVOL® Pro Summary is below.


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TiVo Inc. (TiVo) is a developer and provider of software, hardware, and services. As of January 31, 2011, the Company generated revenues from three sources: consumer service, developing technology for television service providers and media services.

TIVO was the innovator of an amazing technology and likely suffered from being too early. Now they seem to always be embroiled in a lawsuit – usually as the prosecution. I’ll skip those details and direct anyone interested in the gory details to do a web search – you’ll find a LOT of stories.

Today, however, I’m interested in TIVO because of a vol phenomenon. Specifically, the month-to-moth vol diffs and an earnings date. Let’s turn to the Skew Tab.

We can see a monotonic vol increase from the back to the front months. Interestingly, TIVO likely reports its next earnings in Mar (which would be the May expo per this chart). Earnings are obviously a volatility event, yet the front months are pricing higher vol than the back. Cool…

Let’s turn to the Charts Tab (6 months) for a better picture of the overall vol level. 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 seen some pretty low lows. On the vol side, we can see that the move today has pushed the implied above the two historical realized measures. Specifically:

IV30™: 72.72
HV20: 40.32
HV180: 60.06

Let’s turn to the Options Tab to examine the monthly vol levels to precision.

At the top, we can see that Jan, Feb and May are priced to 73.41, 71.88 and 62.16 vol, respectively.

I wrote about this one for (OptionsProfits), so no specific trade analysis here. I will remind that the next earnings date for TIVO is likely at the end of Feb or early Mar – so not in the front two expirations. With the HV180 at ~60, the May vol which includes the earnings event for ~62 vol is interesting. It is good to note though that often times it's court dates and rulings that are more focused vol events than earnings for TIVO.

This is trade analysis, not a recommendation.

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