Monday, August 13, 2012

Yandex (YNDX) - Vol Diff Opens in Russian Internet Company

YNDX is trading $20.36, down 1.3% with IV30™ ucnhed. The LIVEVOL® Pro Summary is below.


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Yandex N.V. (Yandex) is an Internet company in Russia. During the year ended December 31, 2011, the Company generated 63.3% of all search traffic in Russia, and 60.6% in December 2011, and its Yandex sites attracted 45 million visitors in December 2011. It also operates in Ukraine, Kazakhstan, Belarus and Turkey.

This is a quick vol note in a rather obscure name -- a Russian Internet company. Specifically, I'm looking at the vol diff between the front two months. First, 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).

On the stock side, we can see how the price has dropped from the $28 range in mid-April, to now just above $20. More recently, there was an earnings release on 7-31-2012 BMO and the stock fell from $20.83 to $19.23, or 7.7% in a day. Here's a news snippet from that day:

Yandex NV (YNDX) led declines in Russian stocks traded in New York, as the benchmark index fell by the most in a week, on concern sales growth for the nation’s biggest Internet search engine will slow in the second half of the year.

The Russian company dropped the most in eight months yesterday, tumbling 7.7 percent to $19.23, and paring its gain in July to 0.9 percent. The Bloomberg Russia-US Equity Index (RUS14BN) of the most-traded Russian companies listed in the U.S. slumped 2.1 percent to 90 yesterday, the biggest decline since July 23. The RTS stock-index futures expiring in September lost 0.4 percent to 136,405.

Yandex reiterated its forecast for 40 percent to 45 percent revenue growth in 2012, after sales rose 50 percent in the first half of the year.

Source: Bloomberg via Yahoo! Finance; Sales Disappointment Sinks Yandex as ADRs Drop: Russia Overnight, written by Halia Pavliva.

On the vol side, we can see how elevated the implied got into earnings and how steep the drop off was after. Since then the implied has found a sort of quiet period, hovering around the 45% area for the last few trading sessions.

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

I've only included the front two expiries to highlight the vol phenomenon that caught my attention. We can see how elevated the front is to the back, as well as the upside skew in the Aug options, creating an even larger vol diff between the Aug/Sep upside. Having said that, that upside skew is simply a reflection of a nickel bid -- so you can kind of "ignore" that shape discrepancy. To learn more about skew, you can check this article out:

Understanding Option Skew -- What it is and Why it Exists.

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

Across the top we can see the monthly vols are priced to 54.67% and 44.67% for Aug and Sep, respectively. More specifically, the Aug/Sep 20 put spread shows a ~10.5% vol diff, while the Aug/Sep 21 call spread shows a ~8% vol diff.

This is trade analysis, not a recommendation.

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