Monday, August 12, 2013

BlackBerry (BBRY) - Upside is in Play Right Now, Stock Spikes, Volatility Bounces Hard Off of Lows

BBRY is trading $10.50, up 7.6% with IV30™ up 10.9%. The LIVEVOL® Pro Summary is below.

BlackBerry Limited, formerly Research In Motion Limited, is a designer, manufacturer, and marketer of wireless solutions for the worldwide mobile communications market.

I found this stock using a real-time custom scan. This one hunts for vol gainers on the day. But this is actually a depressed vol note relative to a stock snapping up.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 30
IV30™ Percent Change GTE 10
Average Option Volume GTE 1,200
IV30™ Change GTE 7

The two-year BBRY 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).

So the stock story for BBRY (formerly RIMM) is not good… This was a $140+ stock a few years ago and the rage of new technology. Then it fell to nearly $5 with the risk of obsolescence looming in a very non-trivial way. Then there was the great hope of BBRY v10. That hope has sort of kept the firm going – they are rich with cash, not necessarily rich with product.

But this is a vol story, so let’s turn to a one-year IV30™ chart in isolation below.

We can see that just about a week ago the implied hit an annual low as it drifted down post earnings. But, we can also see a rather abrupt reversal, where the implied has now popped. In the meantime, the stock has gone from ~$8.60 to now ~ $10.50, so a ~25% rise in two weeks. It’s that move in stock with the level of the implied (which even after the recent pop is still in the 24th percentile on an annual measure) that caught my attention. In a sense, it feels like BBRY is back in play – not good or bad, just back to the realm of the unknown. Unknown = risk = higher vol.

Let’s look at the Skew Tab, below.

Even though Aug expiry is in five days, the skew shape in Aug is still noteworthy. We can see substantial upside skew reflecting upside risk (potential) in the immediate-term. The 8.0% rise today in stock is circumstantial evidence that the newly found upside skew risk is in fact an accurate reflection of risk.

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

Across the top we can see the monthly vols are priced to 68.80% for Aug and 61.32% for Sep. I dunno, that Sep vol feels awfully low given both a myopic view of BBRY and a more evergreen view of the market in general. Ya know, or not…

This is trade analysis, not a recommendation.

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