Ophir Gottlieb | Jun 28, 2013 03:23AM ET
Arkansas Best Corporation (ABFS) is a holding company through its subsidiaries that is engaged primarily in motor carrier freight transportation. The Company’s principal operations are conducted through its Freight Transportation operating segment, which consists of ABF Freight System, Inc. and other subsidiaries of the Company that are engaged in freight transportation.
I found this stock using a real-time custom scan I built in Fidelity. This one hunts for calendar spreads between the front two monthly expiries. I've included the results of the scan below. But, there’s a second and third part to this story – like a multi-year in IV30™ and earnings that are likely in the back month (meaning the depressed vol month). Now, we have a vol story…
Custom Scan Details
Stock Price GTE $5
Sigma1 - Sigma2 > 7
IV30™ GTE 30
Average Option Volume GTE 1,200
Let’s start with the Skew Tab to examine the month-to-month and line-by-line vols.
Let’s turn to the one-year ABFS Charts Tab below. The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).
But, there’s more… a lot more… Let’s turn to an isolated two-year IV30™ chart, below.
Last year ABFS released earnings on 4-27-2012 and then on 7-31-2012. That means earnings fell in the Aug expiry and outside of Jul. This year ABFS released earnings on 4-30-2013, which would mean there is a likelihood that the next earnings release will be again be outside of Jul expiry but inside Aug.
Putting that altogether means that the elevated vol in Jul to Aug reflects not only multi-year highs in risk in Jul, but risk that supersedes that found in the earnings release. This is a really compelling coincidence of vol and stock price phenomena.
For completeness, the Options tab is included below.
Disclosure: This is trade analysis, not a recommendation.
Images provided by Livevol®
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