Thursday, December 19, 2013

Exelixis (EXEL) - Risk Hits Annual Highs as Stock Movement Stays Still; What's Going on with EXEL?

EXEL closed Thursday trading at $5.80, up 3.0% with IV30™ down 1.6%. The LIVEVOL® Pro Summary is included below.

Provided by Livevol

Exelixis, Inc. (Exelixis) is a biotechnology company engaged in developing small molecule therapies for the treatment of cancer. The Company is focusing its resources and development efforts on cabozantinib (XL184).

I found this stock using the real-time custom scan that searches for high vols relative to the short-term and long-term historical realized vol.  But the truly unusual phenomenon I see is how the implied is rising as the realized volatility is dipping.  We'll see that in a sec.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20™ GTE 10
HV180™ - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The EXEL Charts Tab (two-years) is included below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).

Provided by Livevol

On the stock side we can see a very calm ride over the last-year, whereas two-years ago, this stock did whip and gap quite a bit.  But what i really want to look at is the volatility.

Let's turn to the one-year IV30™ and HV20™ charts in isolation, below.

Provided by Livevol

So that red curve is the short-term implied volatility (the IV30™) and is just below an annual high.  It has popped from 40% to now ~80%, so a 100% increase since late Sep.  That in and f itself is interesting, especially considering that earnings are done, and not expected again until Feb.

But, there's more... Look at the blue curve, which is the historical realized volatility over the last 20 trading days (conveniently called HV20™).  That peaked at around 45% as the IV30™ bottomed out, and now they have again diverged with HV20™ now at just 32.88% an IV30™ at 79.24%.  In English,  as the stock has been moving less and less, the option market reflects risk that it will move more and more. Hmm...

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

Provided by Livevol

Across the top we can see the monthly vols are priced to 79.42% for Dec and 72.87% for Feb.  EXEL seems to be in play, right now...

This is trade analysis, not a recommendation.

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