Tuesday, May 28, 2013

Cobalt Int'l (CIE) - Vol Breaches Multi-Year Lows; Vol Rises Monotonically in Future

CIE is trading $26.69, up 0.8% with IV30™ up 5.9%. The LIVEVOL® Pro Summary is below.


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Cobalt International Energy, Inc. is an independent, oil-focused exploration and production company with a salt prospect inventory in the deepwater of the United States Gulf of Mexico and offshore Angola and Gabon in West Africa.

I found this stock using a real-time custom scan. This one hunts for depressed vols. What I note specifically about this name is that the vol is now breaching multi-year lows.

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

The two-tear CIE 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 the incredible run up in the price from Dec 2011 to Feb 2012. In that three-month(ish) period the stock rose from a low of ~$8.80 to a high of $31.70 or a 260% rise. Since then, however, the stock has found a sort of quiet0period . In fact, one-year ago the stock closed at $23.23.

But, this is a vol note, so let’s take a closer look at the IV30™ in a two-year isolated cart.

Check out that drop in the implied. It has fallen from highs of over 115% to now multi-year lows in the 33% range. It’s that vol level that caught my eye especially considering the industry.

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

Across the top we can see the monthly vols are priced to 30.88% for Jun, 38.37 for Jul and 46.97 for Oct, so an interesting monotonic increase vol as we go further out. A big part of that vol increase is due to earnings releases, but still, the option market seems to be picking up on his depressed short-term vol. Very interesting vol evolution and price discovery…

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