Tuesday, March 12, 2013

Aegerion Pharma (AEGR) - $1B Pharma Sees Stock Triple but Vol at an All-time Low...?

AEGR is trading $36.97, down 1.5% with IV30™ down 1.5%. The LIVEVOL® Pro Summary is below.


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Aegerion Pharmaceuticals, Inc. (Aegerio) is a biopharmaceutical company focused on the development and commercialization of therapeutics to treat lipid disorders.

I found this stock using a real-time custom scan. This one hunts for depressed vols. The phenomenon that makes this eve more compelling is the stock appreciation this name has seen 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 two-year AEGR 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 checkout that incredible price appreciation starting with the gap up in mid Oct of 2012 and continuing until today. This was a $13.50 stock on October of last year and is now trading ~$37.

The vol chart looks funky b/c this name didn't trade options until fairly recently, so the IV30™ (red-line) is flat lined for a while. Let's take a look at that IV30™ chart in isolation, below (same time period).

We can see how the vol has continued to fall as the stock price has nearly tripled. As of today, the IV30™ is at an all-time low. So a $1B pharma that has seen its stock price triple in six-months shows vol in the mid 40% range and at an all-time low... OK...?....

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

We can see the monthly vols are priced to 51.02% for Mar and 46.23% for Apr. I guess things couldn't be "calmer," right?

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