Monday, February 11, 2013

F5 Networks (FFIV) - Vol Nears Multi-year Lows as Stock Rips

FFIV is trading $103.46, up 3.5% with IV30™ up 2.1%.The LIVEVOL® Pro Summary is below.


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F5 Networks, Inc. is a provider of Application Delivery Networking (ADN) technology that secures and optimizes the delivery of network-based applications and the security, performance and availability of servers, and other network resources.

I found this stock using a real-time custom scan. This one hunts for depressed vols. But FFIV is near multi-year lows in vol ad the stock price has seen an abrupt recovery of late.

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 FFIV 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).

We can see that awesome price recovery from ~$80 in Oct to now over $103 as of this writing. But this is a vol note, so let's take a longer term view of the implied -- a two-year chart, below.

We can see how the IV30™ is now right at a multi-year low -- all as the stock has been ripping. The implied is nearing the 29% level while hitting close to 80% over the last two-years.

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

Across the top we can see the monthly vols are priced to 34.07%, 30.29% and 32.01%. That Mar vol is quite compelling...

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