Wednesday, February 6, 2013

Facebook (FB) - Vol Malaise Pushes Implied Near-All-time Lows

FB is trading $29.03, up 1.4% with IV30™ down 2.9%. The LIVEVOL® Pro Summary is below.


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Facebook, Inc. (Facebook) is engaged in building products to create utility for users, developers, and advertisers.

This is a vol note, specifically depressed vol. Let's start with the Stock chart and then move to the volatility analysis.

On the stock side we can other than the hype surrounding the IPO, the price has found its legs and has appreciated nicely since the lows of last year. There is a bit of a downtrend of late which is hard to ignore, but for all intents and purposes, FB seems to have found an equilibrium price, for now.

Let's turn to the vol char (below). The IV30™ is in red, the HV20™ is in blue.

Here's where it gets interesting. Not only is the implied near (or at) an all-time low, but it's also trading below the short-term historical realized vol (the blue-line). This is another one of those cases where it feels like maybe vol has become a bit too "comfortable." I do note the recent stock drop, albeit small.

Finally, let's turn to the Options Tab, below.

Across the top we can see that Feb, Mar and Apr monthly vols are all within a couple of points of each other, so this sort of "malaise" in vol runs for quite sometime. The elevated May vol reflects the likelihood of the next earnings release falling in the May expiry, or more importantly, outside of Apr. Having said that, in FB's very short history, the stock has moved quite a bit without any earnings announcement as the catalyst. Hmmm....

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