Monday, November 19, 2012

Barclays (BCS) - Stock up 70% and Vol Hits Annual Low. Have the Mighty Fallen and Risen that Much?

BCS is trading $15.83, up 5.7% IV30™ down 10.2%. The LIVEVOL® Pro Summary is below.


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Barclays PLC (Barclays) is a global financial services provider engaged in retail banking, credit cards, wholesale banking, investment banking, wealth management and investment management services.

This is a quick vol note and really just a reminder of how quickly vol can drop in a name even when it has been embroiled in controversy. Once the news is out and controversy digested, then things are often times back to... ya know... normal.  Or is this normal?

Let's look to the Charts Tab (one year) is 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 gaps down and eventual drop to single digits for BCS stock. Even more abrupt has been the recovery. The stock rose from a close of $9.31 on 7-25-2012 to now just under $16, or a 70% rise in less than four full months... Incredible... The 52 wk range in stock price is [$8.96, $16.17], so the stock is flirting with an annual high.

I've included just an image of the IV30™ (on year), below.

On the vol side we see how elevated the implied was several months ago and how low it has gotten of late. The 52 wk range in IV30™ is [33.87%, 87.04%], putting the current level in the new annual low category. My how the mighty have fallen and risen. Again, incredible.

Let's turn to the Options Tab for completeness.

We can see across the top the monthly vols are priced to 33.77%, 37.01% and 38.87% for Dec, Jan'13 and Mar'13, respectively. Note that Jan'13 vol is even lower than Dec vol. This is a great reminder of how often in finance, "calmer heads prevail." This may also be an example of vol that is too low... right?... Or no?...

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