Friday, July 5, 2013

AngloGold (AU) - Stock hits Annual Low as Volatility Hits Multi-year High

AU is trading $12.55, down 9.39% with IV30™ spiking up 11.7%. The LIVEVOL® Pro Summary is below.

AngloGold Ashanti Limited (AngloGold Ashanti) is a gold mining company with a portfolio of assets and differing orebody types in key gold producing regions. The Company also produces silver, uranium oxide and sulfuric acid as by-products.

I found this stock using a real-time custom scan. This one hunts for elevated vols. What we will also see in this name is a stock price that has now breached annual low.

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

The one-year AU 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, well, it’s been pretty bad. One year ago this was a $34.21 stock, and today we see it’s sub-teenager. Not good…

While the stock has been plummeting, the vol of late has been exploding. Let’s turn to a two-year IV30™ chart, below.

We can see the recent rise in the implied has pushed the vol well into multi-year high territory. Over just the last three weeks the IV30™ is up ~50%. Yikes… During the last three months (ish) the stock is down from over $20 – so down ~40%.

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

Across the top we can see the monthly vols are priced to 58.52% for Jul and 56.60% for Aug. There is a monotonic decrease in vol from the front to the back expiries, reflecting greater risk in the near-term than the medium- to long-term. While this is certainly in part a phenomenon surrounding the commodity price of gold, there is some firm specific risk here… that exploding vol is worth noting.

This is trade analysis, not a recommendation.

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