Tuesday, June 12, 2012

Alpha Natural Resources (ANR) - Elevated Vol as Stock Breaches Annual Low

ANR is trading $8.49, up small with IV30™ up 0.6% as of ~9:55am EST. The LIVEVOL® Pro Summary is included below.


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Alpha Natural Resources, Inc. (Alpha) is a supplier and exporter of metallurgical coal for use in the steel-making process and a supplier of thermal coal to electric utilities and manufacturing industries across the country. As of December 31, 2011, it operated 145 mines and 35 coal preparation plants in Northern and Central Appalachia and the Powder River Basin.

This is an elevated vol note in a stock that’s nearing an annual low.

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).

There’s a technical description for the stock price movement over the last six months. It’s called “bad” (don’t let the jargon confuse). Six months ago this was a $21.39 stock and twelve months ago this was a $43.78 stock. As of this writing, ANR stock is down more than 60% from six months ago and 80% from twelve months ago. The 52 wk range in ANR is [$8.45, $47.25], so the stock will quite possibly hit a new low today.

On the vol side we can see that even as the stock was trailing downward, by mid-March the implied was actually lower than it was for the prior three months. But as of the end of April, the implied has been rising rather abruptly. On 4-30-2012, ANR IV30™ was 56.58%. As of this writing the implied is up 51% and is now well elevated to both the short-term and long-term historical realized vol levels. Specifically:

IV30™: 85.51%
HV20™: 70.94%
HV180™: 73.89%

The 52 wk range in IV30™ is [39.47%, 109.61%], putting the current level in the 66thpercentile (but at a six month high).

Let’s turn to the Skew Tab to examine the month-to-month and line-by-line vols.

We can see that the Jun options (with just a few days before expiry) are well elevated to the back two months. Given that the stock is making a new low as I’m writing this, that’s a pretty reasonable phenomenon. The upside skew which looks so fantastical in the chart is in fact simply a couple of cab bids in the OTM calls ($0.01 bid).

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

I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. Just to illustrate how quickly the stock is dipping, I’ve included the Symbol Summary again (at the top of the Options Tab snapshot). Note that the stock is now well into a new low and vol is rising. In fact, just six trading days ago this was a $10.27 stock – oddly, exactly $2 above where it is now.

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This is trade analysis, not a recommendation.

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