Friday, March 1, 2013

Repros Therapeutics (RPRX) - Vol Rising in Gapping Stock; Headed to Multi-year Vol Highs into Earnings... Buckle Up

RPRX is trading $11.88, up 1.1% with IV30™ down 0.7%. The LIVEVOL® Pro Summary is below.


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Repros Therapeutics, Inc. is a United States-based company that develops products and services for the management of reproductive health.

This is a vol note in a gapping stock -- specifically an elevated vol note even tough earnings are due well after Mar expiry (but in Apr expiry). Let's start with the Charts Tab (one-year), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

Note the gaps in the stock:
5-9-2-12 ---> 5-11-12: $4.18 to $7.80 = + 87%
8-16--12 ---> 8-21-12: $9.23 to $11.24 = + 22%
11-13-12 ---> 11-15-12: $13.82 to $12.34 = -11%
01-25-13 ---> 01-28-13: $18.61 to $11.11 = -40%
02-20-13 ---> 02-21-13: $10.18 to $12.69 = +25%

The Y-O-Y change has been from $4.18 to now $11.88 or +184%... in the lyrics of Adam Sandler, "not too shabby." The point of course is that this stock can move huge, and often times it is based off of earnings news (note the blue "E" icon).

But this is a vol note, so let's turn to an isolated one-year IV30™ chart, below.

Check out the incredible rise in the implied over the last few sessions when IV30™ has risen from 37.46% on 1-25-13 to now 99.79% or a 166% pop. The 52 wk range in IV30™ is [37.45%, 104.99%], putting the current level in the 92nd percentile. The next earnings release for RPRX is due out ~3-25-2013 (projected), but almost certainly after Mar expiry. That means the vol will continue to rise into that event unless there is a pre-release.

Finally, let's turn to the Options Tab.

Across the top we can see the monthly vols are priced to 93.67% and 106.87%. I note that the Apr vol would be an annual high in IV30™ already. What I see is pretty simple, RPRX is headed for a new annual high in vol and if it cracks 1185, it would be a new multi-year high. My best guess is that RPRX gets very close to that number and goes well above the 52 wk high. Buckle up for another earnings release -- this could be a big mover.

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