Friday, June 7, 2013

Tibco Software (TIBX) - Vol Breaches Annual High Well Ahead of Earnings; Buckle Up

TIBX is trading $21.19, up 2.4% with IV30™ up 0.9%. The LIVEVOL® Pro Summary is below.


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I found this stock using a real-time custom scan. This one hunts for elevated vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percentile GTE 80
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated to its own annual history (at least in the 80th 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 TIBX 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 poor Y-O-Y return with the stock trading $26.67 one year ago and down substantially as of today from that level.  But this is a vol note, so let's turn to a one-year IV30™ chart in isolation, below.

The firm has earnings due out at the end of Jun expiry (Jun 20th), so elevated vol is expected and in fact it would be an anomaly if the vol wasn't rising.  But that's not the point, the point is, look how high the implied has gotten with still two weeks to go before earnings.  The blue "E" icons represent past earnings dates, and the IV30™ today has risen well higher than those levels.  As the earnings date approaches, the vol should continue to rise (unless there is a pre-release or guidance or whatever) and that could mean consistently new highs in implied vol over the next two weeks.

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

Across the top we can see the monthly vols are priced to 70.80% for Jun and 50.89% for Jul.  That vol diff is due to the earnings release at the end of Jun expiry. But, at some point, the vol difference may grow so large (relative to the past) that it becomes... something... Ya kow, or not...

This is trade analysis, not a recommendation.

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