Friday, January 25, 2013

CROCS (CROX) - Vol Hits Multi-Year Lows with Earnings Approaching

CROX is trading $14.91, up 2.2% with IV30™ down 7.4%. The LIVEVOL® Pro Summary is below.


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Crocs, Inc is a designer, manufacturer and distributor of footwear and accessories for men, women and children. As of December 31, 2011, it sold its products in more than 90 countries through domestic and international retailers and distributors and directly to end-user consumers through its company-operated retail stores, outlets, kiosks and Webstores.

I found this stock using a real-time custom scan. This one hunts for depressed vols, and CROX has in fact hit a multi-year low in IV30™ with earnings due out in the Mar expiry.

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 CROX 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 a number of gaps, certainly a huge one off of earnings in Oct of 2012, but even  more recently the stock has made some abrupt one-day moves.

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

We can see pretty clearly that the level of the implied is not only at an annual low, but a multi-year low. An interesting phenomenon when coupled with the fact that earnings are due out in Mar expiry. Hmm...

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

Across the top we can see that mar vol is well elevated to Feb (42.50% to 29.52%),but still, that 42.50% feels pretty low. Certainly, the IV30™ will rise as we approach earnings as will Mar vol, the question is to what level. This is a good one to put in a watchlist and check every so often as we get through Feb expiry and approach earnings.

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