Tuesday, February 14, 2012

Carbo Ceramics (CRR) - Vol Diff Still Open as Expo Approaches in Gapping Stock

CRR is trading $88.30, down 0.4% with IV30™ down 1.0% as of ~10:05am EST. The LIVEVOL® Pro Summary is below.


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CARBO Ceramics Inc. is a supplier of ceramic proppant. The Company is a provider of software, and consulting services, spill prevention, containment and geotechnical monitoring.

I wrote about CRR on 2-8-2012, during a rather large stock down today. I noted the elevated vol in the front to the back. You can read that article, entitled: Carbo Ceramics (CRR) - Calendar Spread Opens in Dropping Stock

Today I note the same calendar diff, but this close to expo, it’s all of a sudden a bit more compelling to me. Let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

In the stock portion, I’ve circled the stock drop off of the earnings report. Note how the stock continued to drop after the news making substantially lower lows. At the same time, the implied has stayed relatively stable. It’s not the holistic view of vol that caught my attention – it’s the skew. Let’s take a look.

There you go. The Feb expiry is super elevated to the back months. Given the recent volatility (realized volatility), that makes some sense.

Let’s turn to the Options Tab, for completeness.

I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. We can see that Feb is priced to 71.07% while Mar is priced to 53.40%. That Feb number is above the long-term historical realized vol (HV180™ is 67.80%), while the Mar implied is exactly the IV30™. Again, that vol diff does have some merit given the rather abrupt realized movement in CRR stock.

This is trade analysis, not a recommendation.

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