Wednesday, February 20, 2013

YELP - Vol Reaches All-time Low... Really?...

YELP is trading $21.93, up 0.2% with IV30™ down 2.1%. The LIVEVOL® Pro Summary is below.


Attention Livevol fans in Southeast Florida:

Jerry Furst of the Investor’s Education Network will host an option-centric live presentation at the Delray Beach Civic Center on February 28 at 7:00PM.

Vince Cicco of Livevol will demonstrate on a series of topics while using Livevol Pro and Livevol X. Cost is $10 to attend; the RSVP can be found by clicking HERE.

Options Order Flow: What it is and How to Use it
Managing Risk and Generating Trading Ideas
Adding Volatility Analysis to your Trading Strategies
Current Market Technicals and Charting (Jerry Furst to Present Topic)
This will be a great chance to see a more practical application of Livevol Pro and some of the new functionality in Livevol X.

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 one-year stock chart for YELP is included (below).

We can see it has been a rather tight trading range for an IPO that actually has a fair amount of controversy surrounding it (pay for ratings accusations). It looks like it first traded at $22.01 and it's just $0.08 below that opening print. The 52 wk range in stock price is [$14.10, $31.96]. But this is a vol note, so let's look at the IV30™ in isolation, below.

We can see the vol crush off of earnings and then over the last few trading sessions, a continued drop in the implied. The IV30™ has fallen so far that it is now at an all-time low. Really?... Is the market that confident in the stability of an Internet IPO that rates places?... Yes, it is apparently.

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

Across the top we can see Mar vol is priced to 49.45% with Apr priced to 51.74%. The vol rises into May b/c another earnings release is due out. Having said that, the last earnings release was sort of a non-event for the stock price.

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This is trade analysis, not a recommendation.

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