Monday, September 23, 2013

Finisar (FNSR) - Volatility Breaches Multi-year Lows as Stock Trades at Multi-year Highs

FNSR is trading $23.38, down 1.4% with IV30™ down 4.7%. The LIVEVOL® Pro Summary is below.

Finisar Corporation develops and provides fiber optic subsystems and network performance test systems which enable data communications over local area networks, or LANs, and storage area networks, or SANs.

I found this stock using a real-time custom scan. This one hunts for depressed vols. I note that FNSR is in the “0th” percentile, meaning it’s at an annual low in IV30™. Further, the volatility level is in fact a multi-year low as the stock price is right at multi-year highs.

The two-year FNSR 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 a remarkable appreciation from ~$12.50 to now over $23 or ~a 75% gain since May. If we take a broader view, we can see that the stock levels today are in the realm of multi-year highs. Well done management.

But, of course, this is a volatility note as well, so let’s turn to the two-year IV30™chart in isolation, below.

We can see a cascading implied from nearly 100% down to ~37% now. Another interesting way to view the implied is to look at the peaks reached into each earnings session (the blue “E” icons represent earnings dates). Note how those peaks get lower in a relatively monotonic way. We now find ourselves with a stock at multi-year highs in stock price and multi-year lows in volatility.

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

Across the top we can see the monthly vols are priced to 36.72%, 39.24% and 44.64% for Oct, Nov and Dec, respectively.

It’s the Oct and Nov time-frame that catches my eye – if a stock is up a lot, and the vol is down a lot and the market goes... Well, you get it…

This is trade analysis, not a recommendation.

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