Friday, February 7, 2014

Hasbro (HAS) - Stock Breaches 28-year High, Volatility into Earnings Breaches Multi-year High. Risk is On.

HAS is trading $49.93, up 0.5% with IV30™ up 4.1%. The LIVEVOL® Pro Summary is included below.

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, in reality, this is simply an pre-earnings note.  HAS reports Monday BMO and there is quite a vol story -- even after accounting for the fact that earnings are due out.

Side Note: Stock VFC has almost the identical phenomena occurring right now into earnings due out 2-14-2014.  The situation is so similar, I could essentially replace the ticker VFC for HAS, and re-publish the same article. All-time high in stock price over 30 years and multi-year highs in implied vol into earnings.

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

The HAS 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 I note a nice climb over the last two-years from ~$35 to now almost $50, so a ~42% rise over the period.  Just recently we can see that HAS hit an all-time high (going all the way back to 1985) and has since then seen n abrupt dip and, now a slight rise again.  In English, the stock is in play.

But this is a vol note, so let's turn to the two-year IV30™ chart in isolation, below.

Provided by Livevol

We can see that implied has been rocketing up into earnings -- which isn't uncommon.  The interesting phenomenon here is how high the volatility has risen relative to the prior seven earnings cycles (see the blue "E" icons for prior earnings events).  We're right on a multi-year high.

So we have a stock that just hit an all-time 30 year high, with volatility into earnings breaching multi-year highs.  Worth lookin' at...

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

Provided by Livevol

Across the top we can see the monthly vols are priced to 46.59% for Feb and 33.18% for Mar.  The volatility difference reflects earnings. I know next to nothing about this firm and stock, I see no really juicy trades, I'm just curious about four things:

1. Why is the stock price so high?
2. Why has the stock dipped of late?
3. Why is the implied volatility so high?
4. Do these earnings really pose a new risk paradigm relative to the past?

I'll guess we'll see on Monday's open.

This is trade analysis, not a recommendation.

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  1. Do you believe $VFC will have volatile movement based off the findings?

    1. Hi,

      Thank you for your note. I don't know this firm (or HAS) well enough to really have an opinion. In this case I'm simply noting how high the volatility in the options is relative to the past. The option market clearly reflects greater risk than in the last two-years -- whether that's accurate, I'm not familiar enough with the company to really say.

  2. Ophir,

    Thanks for your great post! Hey, I had to make my account for twitter privacy (Park Research, LLC.) because I was getting harassed by TastyTrade followers (only sells premiums on earnings). I retweet your stuff and #FF you, but I know you won't see since you don't follow, but I want you to know that I really appreciate your post!


    1. Thank you, John. I see your re-tweets and favorites and very much appreciate it. Feel free to reach out to me whenever you like.