Monday, December 17, 2012

Riverbed (RVBD) - Vol Nears Annual Low

RVBD is trading $18.73, up 5.5% with IV30™ down 3.6%. The LIVEVOL® Pro Summary is below.


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Riverbed Technology, Inc. (Riverbed) has developed solutions to the fundamental problems associated with information technology (IT) performance across wide area networks (WANs).

I found this stock using a real-time custom scan. This one hunts for depressed vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETF’s (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The six-month RVBD Charts Tab 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 that while the stock made a rather abrupt climb in the middle, ultimately, over the half year, the stock is almost unched. But again, I do note the gap up on earnings and gap down a few days after. The 52 wk range in stock price is [$13.30, $30.73].

In order to get a better feel for the IV30™, I've included a one-year chart with just that measure.

We can see that the implied is hovering near an annual low as the stock itself has found a kind of "quiet period." The 52 wk range in IV30™ is [39.44%, 91.99%], putting the current level in the 4th percentile.

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

Across the top we can see the monthly vols are priced to 41.79%, 41.74% and 54.745 for Dec, Jan and Mar, respectively. The Mar expiry does have an earnings event embedded in it and thus the elevated vol. This one is compelling to me simply b/c of the depressed vol -- again, right now doesn't feel like an obvious time for vol to be at or near annual lows. Or... it does?...

This is trade analysis, not a recommendation.

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