Wednesday, September 12, 2012

Universal Panel (PANL) - Depressed Vol and Skew Discrepancy

PANL is trading $43.05, up 1.9% with IV30™ down 2.0%. The LIVEVOL® Pro Summary is below.


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Universal Display Corporation is engaged in the research, development and commercialization of organic light emitting diode (OLED) technologies and materials.

This is a vol note -- specifically on depressed vol with some interesting skew. 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 a rather bumpy ride, with a six month closing low of $27.24 and a six month closing high of $45.16. Having said that, the six month change in stock price is just $39.56 to $43.05 (as of this writing). The 52 wk range in stock price is [$25.45, $60.28].

On the vol side we can see an incredible spike into the last earnings report, where IV30™ peaked at 117.25%. The one day move off of earnings was $32.82 to $38.99, while the implied dropped from that 117% level to 56.06% -- just an incredible vol crush. As a point of reference (or a few points of reference), here are the vol crushes for the three earnings prior to the last:

5-10-2012: 79.99% to 59.22%
2-29-2012: 70.95% to 56.05%
11-9-2011: 103.64% to 87.51%

So, in English, the vol crush in the last cycle was quite large for this name. What I note now and what caught my attention is how low the implied has gotten since the earnings vol crush. As of this writing the IV30™ is trading at 51.68%. The 52 wk range is [47.37%, 117.25%], putting the current level in the 4th percentile (annual).

Let's turn to the Skew Tab.

The red curve represents the Sep options while yellow represents Oct. We can see how the ATM vols essentially lie on top of each other, but the parabolic skew in Sep has created a rather noticeable upside skew vol diff between the front two expiries. tricky...

Finally, let's turn to the Options Tab.

Across the top we can see how closely the Sep and Oct expiries are priced in terms of vol; 51.93% and 51.59%, respectively. But, looking more closely we can see the diff opening up to the OTM calls. As an example, check out the Sep/Oct 48 call spread which shows 10+ vol point difference. Moving to the Sep/Oct 50 call spread, we can see a ~17 vol point diff.

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1 comment:

  1. and what does all this mean? stock going up or down? are you bullish or bearish?