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Volatility Kings 1Q Update

Volatility Kings 1Q Update

April 7, 2014

 

Volatility Kings™ is our list of companies having a tendency to experience increasing option implied volatility as their quarterly reporting dates approach. Increasing implied volatility reflects uncertainty or the width of the possible stock price distribution on the report date. However, the degree of uncertainty for the current report may not be comparable. Indeed, some companies are on the list one quarter and not the next while others seem to remain on our list quarter after quarter. Since the focus is on earnings, others with high-implied volatility due to takeover speculation or FDA announcement events are not included nor are those lacking sufficient liquidity due to low option volume.

Volatility Kings 1Q Master List

For those interested in volatility strategies, here is the updated Volatility Kings™ master list.

 

 

Using last quarter's list those with average daily volume less than 5000 contracts during last week were deleted along with those declining less than ten percentage points from their pre announcement high last quarter. Some examples eliminated this quarter are COH, FFIV, JDSU, and LINE along with a few others.

Price shown in column 4 are the closing prices as of Friday April 4, 2014.

Next Rpt in column 5 is the next expected reporting date. Check these dates as these are only estimates and the companies routinely change their reporting dates. Time in column 6 is when during the day to expect the report, where B is before the open, A is after close and D is during market hours.

Estimate in column 7 is the current consensus earnings estimate per share, also subject to change before the report date.

Last Q IV in column 8 is the implied volatility index mean (IVXM) of the puts and calls reached just before the last quarterly report, but may not necessarily be relevant this quarter. Further the near term at-the-money implied volatility could be considerably higher than the index mean.

IV Min Ex in column 9 shows the implied volatility low after the last earnings report making it easier to compare the pre-report high to the subsequent low. For some, the implied volatility is still declining so there may still be a lower low. Some examples are BBRY, JCP, JOY and LULU.

Events unrelated to earnings reports can also affect implied volatility, such as the recent rotation out of cloud, mobile, social and biotech stocks unrelated to earnings.

IV Now in column 10 is the implied volatility index mean, (IVXM) as of Friday April 4, 2014.

IV Est/Now in column 11 is the ratio of the estimated implied volatility to the current implied volatility based primarily on the high reached the previous quarter. Those with higher ratios have a potentially greater opportunity to increase going into their next report date and many have already started increasing anticipating the next report.

To identify the highs and lows along with other details, make sure to check the volatility charts at either the Basic Options or Advanced Historical Data pages on our website.

 

 

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