Monday, February 13, 2012

Shaw Group (SHAW) - "Fair" Implied and Front to Back Calendar

SHAW is trading $29.47, down 2.8% with IV30™ up 2.5%. The LIVEVOL® Pro Summary is below.


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The Shaw Group Inc. (Shaw) is a provider of technology, engineering, procurement, construction, maintenance, fabrication, manufacturing, consulting, remediation and facilities management services to a diverse client base that includes multinational and national oil companies and industrial corporations, regulated utilities, independent and merchant power producers, and government agencies.

This is a vol note -- implied looks to be priced "fair" but it's the month-to-month vols that are interesting. Having said that, let's start with the Charts Tab (six months) to see the overall vol comps, first. 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 recent pop off of earnings. The stock rose from $22.66 to $26.30 or 16.1%. Looking to the vols we can see that the implied is priced right in between the short-term and long-term historical realized vol measures. The specifics for the vols comps are included below:

IV30™: 41.24%
HV20™: 32.38%
HV180™: 46.14%

Let's turn to the Skew Tab, which is where the real action is.

We can see the front is elevated quite substantially to the back. That upside skew is just a couple of nickel bids, but the 28 puts are still $0.15 bid.

Finally, let's turn to the Options Tab.

Across the top we can see that Feb is priced to 49.13% where Mar is priced to 41.24%. Neither expiry has an earnings event (probably). Look to Apr for that event which is priced to 41.94%, also depressed to Feb.

This is trade analysis, not a recommendation.

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