Friday, June 15, 2012

Qlik Technologies (QLIK) - Elevated Vol as Stock Nears Annual Low

--- OVERVIEW ---
QLIK is trading $21.80, up 0.7% with IV30™ down 0.4%. The LIVEVOL® Pro Summary is included below.


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Qlik Technologies Inc. (QlikTech) provides business intelligence (BI) solution. The QlikView Business Discovery platform (QlikView), helps people create and share insights and analysis in groups and across organizations. Business users can explore data, ask and answer their own stream of questions and follow their own path to insight on their own and in teams and groups.

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.

--- ANALYSIS ---
The QLIK Charts Tab (six months) 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 how the stock has recently made a new six month low after reaching a six month high in early Apr. In fact, the stock is down more than 52% in the two month period (ish) from 4-2-2012. The 52 wk range in QLIK is [$19.59, $35.62].

On the vol side, I've highlighted how elevated the implied is relative to the two historical realized measures. It's this vol diff that triggered the custom scan. Specifically:

IV30™: 60.48%
HV20™: 41.71%
HV180™: 49.06%

Let's turn to the Skew Tab, below.

We can see how the front month is depressed to the back. That's likely a reflection of the vol embedded in the Aug options due to earnings. I also note the odd vol dip in both months for the $21 strike.

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

We can see the vols across the top show Aug (65.92%) priced to more than 5 vol points above Jul (60.48%).  I also note the steep vol rise in the OTM puts to the $14 strike in Aug (which we can see graphically in the Skew Tab, above).

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