Friday, December 9, 2011

Virgin Media (VMED) - Elevated Vol

VMED is trading $21.31, up 0.6% with IV30™ down 5.3%. The LIVEVOL® Pro Summary is included below.


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Virgin Media Inc. (Virgin Media) is engaged in entertainment and communications business. The Company has two segments: Consumer and Business. The Company is a provider of broadband Internet, television, mobile telephony and fixed line telephony services that offer a variety of entertainment and communications services to residential and commercial customers throughout the United Kingdom.

I found this stock 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 VMED 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 a troubling six month trend -- i.e. down. On the vol side we can see the recent pop in the implied until today -- where we can see a 5% (ish) dip with the market rising. Still, the IV30™ is elevated to the two historical realized measures.

We can see:
IV30™: 46.73
HV20: 29.20
HV180: 37.93

Let's turn to the Skew Tab, below.

We can see a cool monotonic vol increase to the front expiries from the back. The next earnings release should be in the Mar options, so, ya know, that's cool too....

Finally, let's look to the Options Tab (below).

Looking at the line-by-line vols in Dec we can see that parabolic OTM skew. i.e. to both the upside and downside.

This is trade analysis, not a recommendation.

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