Wednesday, April 24, 2013

Under Armour (UA) - Vol Nears Multi-year Lows; Really?

UA is trading $55.38, up 0.7% with IV30™ down 0.5%. The LIVEVOL® Pro Summary is below.


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Under Armour, Inc. (Under Armour) is engaged in the development, marketing and distribution of apparel, footwear and accessories for men, women and youth. The Company’s products are sold worldwide and are worn by athletes at all levels, from youth to professional, on playing fields worldwide.

I found this stock using a real-time custom scan. This one hunts for depressed vols. This mote is in the opposite vein as some of my prior posts where I was seeing stocks breaching multi-year highs in vol into earnings even as the VIX is at very low levels relative to the last four years. Basically, it's time for a different flavor -- so here we go.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The two-year UA 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 we can see a nice price appreciation. This was a ~$35 stock two-years ago and is now trading early 60% higher. Well done management. But, this is a vol note, so let's look at the two-year IV30™ chart in isolation.

I have drawn in that horizontal yellow line to clearly mark how low vol is now relative to the last two years. It's not quite at new lows,but it's headed there. Specifically, it's in the 2nd percentile. I note how low the vol is in UA, now that earnings have come and gone, in a world where nothing feels "low risk."

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

Across the top we can see the monthly vols are priced to 30.15%, 31.005 and 30.88% for May, Jun and Jul, respectively. Note the consistency of the vols -- i.e. they're all low relative to the last two years. I'm not making a prediction, I'm just sayin', multi-year low in vols priced through July (and pretty close in Oct)... I dunno....

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