Caesars: Volatility Nears Annual Low; Stock Rips, Earnings Approach
Ophir Gottlieb | Jul 11, 2013 03:53AM ET
CZR is trading $15.42, up 9.1% with IV30™ down 6.0%. The LIVEVOL® Pro Summary is below.
Caesars Entertainment Corporation (CZR) provides casino entertainment services. Its casino entertainment facilities include land-based casinos, riverboat or dockside casinos, managed casinos, combination greyhound racetrack and casino, combination thoroughbred racetrack and casino, and harness racetrack and casino, hotel and convention space, restaurants, and non-gaming entertainment facilities.
This is a vol note, specifically a depressed vol note on a stock that has been ripping of late. Let's start with one-year Charts Tab, 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 the Y-O-Y return is very impressive with the stock closing at $10.31 one-year ago, yielding a ~50% return in 12-months. I also note that this was a $4.50 stock just eight (ish) months ago.
But, if we look more myopically, we can see an interesting trend. CZR closed at $12.25 on 6-24-2014 and now 17 days later the stock is trading at $15.42 or a 26% rise in about two-weeks.
But this is a vol story as well, so let's look at the one-year IV30™ chart in isolation, below.
We can see the ebbs and flows in the vol into and out of earnings -- all normal stuff. But what caught my eye is the recent dip in the implied as the stock has been moving abruptly higher. The current level of the IV30™ is right at an annual low. Interesting...
The firm does have earnings due out in the Aug expiry, so there is a vol diff month-to-month and since IV30™ is a blended / weighted average, it does reflect a part of that upcoming earnings event. That makes the low vol even more odd.
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Finally, let's turn to the Options Tab for completeness.
Across the top we can see the monthly vols are priced to 57.36% for Jul and 64.04% for Aug. The 52 wk range in IV30™ for CZR is [61.27%, 121.59%], so even looking at Aug vol -- that seems kinda low for a stock that has moved so much recently and has an earnings release. Right? Ya know.. or not... In any case, that Aug (and IV30™) number will rise as we approach that earnings date unless there is some pre-earnings guidance or other unexpected disclosure.
Disclosure: This is trade analysis, not a recommendation.
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