Monday, April 16, 2012

Transocean (RIG) - Earnings Date Ambiguity Shows Confused Vol; Diff Opens

RIG is trading $48.53, down small with IV30™ up 3.3%. The LIVEVOL® Pro Summary is below.


Click for Free Trial


UPDATE: A very competent and nice woman from IR called and directed me to look at prior 10-Q filings as a guide for an earnings release date, although the firm has not announced anything as of yet, officially.

Transocean Ltd. (Transocean) is an international provider of offshore contract drilling services for oil and gas wells. The Company operates in two segments: contract drilling services and drilling management services.

This is a vol note, focused on a vol diff that is sort of reversed with earnings approaching. I have a call into IR for RIG -- let's see if I get a return call. It's about 50/50 with most companies in my experience.

Although it's the skew that is the real driver for this post, we can start with a holistic view of stock and vol 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).

The stock's at around the same level it was six month ago, although the ride has seen lows in the 30's and highs just below $60. The 52 wk range in the underlying is [$37.60, $74.26].

Looking to the vol, we can see that the implied is right in between the short-term and long-term historical realized vols. The 52 wk range in IV30™ is [28.36%, 64.75%], which puts the current level in the 40th percentile (annual). So, a fair question is, why am I writing about RIG?...

Let's turn to the Skew Tab.

We can see a rather pretty skew for the front three months with a monotonic vol rise from the back to the front. Last year RIG had earnings on 2-23-2011 and then 5-4-2011. This year, RIG had earnings on 2-27-2012. I can't find the next announced earnings date, though as I said, I do have a call into IR. It's a reasonable bet that the next earnings release will be in the May expiry cycle, and that's where the story starts for me. Apr is elevated to May (wrt vol) although earnings (the vol event) are in the back month. Pretty cool...

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

Looking across the top, we can see the weighted averages for Apr and May are 50.01% and 43.43%. The earnings date is very much ambiguous -- perhaps it falls outside of May?...

This is trade analysis, not a recommendation.

Legal Stuff:

No comments:

Post a Comment