Thursday, October 11, 2012

United Therapeutics (UTHR) - Vol Elevates to Annual Highs; Risk into Earnings Rises

UTHR is trading $56.41, up 0.5% with IV30™ up 7.0%. The LIVEVOL® Pro Summary is below.


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United Therapeutics Corporation is a biotechnology company focused on the development and commercialization of products to address the unmet medical needs of patients with chronic and life-threatening conditions.

This is a vol note -- while earnings are approaching we expect to see vol rise, but this one really caught my eye. 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 an impressive rise over the last six months from the low $40's to now over $56 and on a rather steady trajectory.

On the vol side, we see the story. The implied has been rising exponentially as earnings approach (end of Oct / early Nov). The level is easily a six-month high and is on the brink of becoming an annual high. The 52 wk range in IV30™ is [27.38%, 56.64%], putting the current level in the 99th percentile. The last time the implied hit this level was the earnings release a few quarters ago.

Let's turn to the Skew Tab.

We can see a normal skew shape across all three front expiries, with Nov elevated to the other two b/c of he earnings release.

Finally, let's turn to the Options Tab.

Across the top we can see the monthly vols are priced to 36.21% for Oct and 62.25% for Nov. Given that there are still a few more weeks to go before earnings, it's apparent to me that IV30™ will hit an annual high before this event. This is one of a handful of companies I've noted recently where the implied will be breaching annual highs into earnings. Hey, it's October in finance -- risk is here.

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