Thursday, January 3, 2013

Continental Resources (CLR) - Vol Breaches Multi-year Low. Really?...

CLR is trading $76.29, up 0.3% with IV30™ up 0.6%. The LIVEVOL® Pro Summary is below.


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Continental Resources, Inc. (Continental Resources) is an independent crude oil and natural gas exploration and production company with operations in the North, South and East regions of the United States.

I found this stock using a real-time custom scan. This one hunts for depressed vols. But this one is a bit special, it's hitting a multi-year low in the implied and I thought it was worth a quick note.

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 CLR one-year 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 how elevated the price was in the earlier part of 2012, how far it fell from there, and finally how it has recovered somewhat since. The 52 wk range for the stock is [$61.02, $97.19].

But, of course, this is a vol note, so I've included a two-year chart of the IV30™ in isolation, below.

What I note here is how this stock has been as high as ~75% in the implied and how today it is actually breaching multi-year lows with vol now in the low 30's. Even myopically focused on just this stock, that seems noteworthy, put in the context of the rest of the world, it seems ... well, more noteworthy?

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

We can see across the top the monthly vols are priced to 31.19%, 32.95% and 34.64%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. All in all, I'll continue with the motif I started earlier in the week, simply asking, "should vol be at annual (or multi-year) lows right now?"

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