Wednesday, July 17, 2013

Splunk (SPLK) - Stock at All-time High; Volatility at All-time Low

SPLK is trading $50.20, up 0.6% with IV30™ down 5.7%. The LIVEVOL® Pro Summary is below.

Splunk Inc. (Splunk) provides a software platform. Splunk’s software collects and indexes data regardless of format or source, and enables users to search, correlate, analyze, monitor and report on this data, all in real time.

I found this stock using a real-time custom scan. This one hunts for depressed vols.  The interesting note here is that SPLK is actually at an all-time low in IV30™ while the stock is near all-time highs.

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

The two-year (ish) 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 awesome upward trajectory the price has been on since late last year.  The stock has gone from ~$26 in Nov to now over $50. So we see a nearly 100% return in ~8 months.  We can see that he price is right at an all-time high.

But this is a vol note... So let's look to an IV30™ chart in isolation below over the same time-frame.

While there are ebbs and flows surrounding earnings, ultimately the implied has been drifting lower since the last earnings cycle ad is now at an all-time low.  So, we have a stock at an all-time high in stock price with the vol at an all-time low... Hmm...

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

Across the top we can see the monthly vols are priced to 33.62%, 33.36% and 38.11% for Jul, Aug and Nov, respectively. That Aug vol represents the IV30™ at this point (so close to expiry).

This is trade analysis, not a recommendation.

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