Friday, October 12, 2012

Guess? (GES) - Depressed Vol After Earnings Collapse; Stock Drifts Near Annual Low But Vol Stays Quiet

GES is trading $24.89, down 0.4% with IV30™ unched. The LIVEVOL® Pro Summary is below.


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Guess?, Inc. (GUESS?) designs, markets, distributes and licenses apparel and accessories for men, women and children.

I found this stock using a real-time custom scan. This one hunts for low vols but in a longer time horizon.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV60™ GTE 1
IV60™ - HV60™ LTE -8 and GTE -40
HV180™ - IV60™ GTE 8
Average Option Volume GTE 1,200
Industry != Bio-tech

The snapshot of the scan is included (below) in case you want to build it yourself in Livevol Pro®

The goal with this scan is to identify intermediate-term implied vol (IV60™) that is depressed both to the intermediate stock movement (HV60™) 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) and want to avoid bio-techs (and their crazy vol).

The GES Charts Tab is included (below). The top portion is the stock price, the bottom is the vol: IV60™ - yellow vs HV60™ - blue vs HV180™ - pink).

On the stock side we can see the tremendous dip off of the last earnings release. Until then the six-month performance was pretty decent... until then...

The 52 wk range in stock price for GES is [$23.86, $36.35], so the current price is flirting with an annual low.

But, it's the vol that caught my eye (and triggered the scan). We can see how depressed the IV60™ is relative to the HV60™ and HV180™. The HV60™ does have a sort of artificial spike b/c of the earnings move, but still, check out that yellow curve (IV60™), it's been headed down as the stock performance has been worsening.

We can see:
IV60™: 37.82%
HV60™: 61.35%
HV180™: 46.91%

So, IV60™  is depressed relative to the intermediate term and long term realized movement of the stock.  Looking to the even shorter term, the 52 wk range in IV30™ is [28.79%, 71.47%], putting the current level in just the 12th percentile (annual).

Let's turn to the Skew Tab.

All looks normal -- a rather pretty shape across the front three expiries. It appears from the skew that the next earnings release will be outside of the Nov cycle and in Dec (thus the elevated green curve).

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

Across the top we can see the monthly vols are priced to 32.61%, 34.07% and 39.33%. I dunno, with the stock dipping that hard off of earnings and sort of drifting to a new low, is it possible some "unexpected news" could come out making that low vol feel... well... low?...

This is trade analysis, not a recommendation.

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