Friday, September 21, 2012

FX Energy (FXEN) - Vol Elevates to Multi-Year highs; Oct Vol Reflects Risk Right Now

FXEN closed at $7.71, was down small with IV30™ up 3.4%. The LIVEVOL® Pro Summary is below.


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FX Energy, Inc. is an independent oil and gas exploration and production company with production, appraisal, and exploration activities in Poland.

This is a vol note, specifically elevated vol. Let's start with the 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 the nice performance over the last six months as this company has gone from $5.69 to a close of $7.71 today or up 35.5% in that time period. But the vol is the story.

On the bottom half of the chart we can see how extraordinarily elevated the implied has become. The level of the IV30™ is well into 2-year high territory at 143.24%. I note that as the implied has been rising, the stock has found a quiet period -- the HV20™ is just at 54.82%.

In terms of news, I see are a new disclosures (8-K Reg FD) and an update on a number of different operations/facilities in Poland, but not a whole lot else.

Let's turn to the Skew Tab.

Red represents the Oct options while yellow represents the Dec cycle. We can see that both months demonstrate an upside skew, where the OTM calls are priced to higher vol than the ATM options (reverse skew). But even more noticeable, the vol diff between the two months has grown quite large. Something is coming in Oct according to the options, and whatever it is, the risk reflected by the options is greater than at any time over the last two years (at least).

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

Across the top we can see that Oct vol is priced to 145% while Dec is priced to 108.19%. I do note that even that Dec vol number would be a two-year high in implied if not for the recent run up.

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1 comment:

  1. Kutno-2 drill results are expected in the very near term, likely before OCT expiry. Kutno-2 is being assessed at possibly the largest nat-gas find in europe based on the geology , or of course it could be a dud. Stock has been moving on this prospect. Downside on the event is probably 5ish if they fail , upside on success depending on TCF and commercial assessment may be very significant 10++. Seems the skew is favoring a dud outcome, but is it right? Time will tell.