Gulfport Energy: Stock Breaches 14-Year Highs, Volatility Hits Lows

Gulfport Energy Corporation (GPO) is an independent oil and natural gas exploration and production company with its principal producing properties located along the Louisiana Gulf Coast in the West Cote Blanche Bay, or WCBB, and Hackberry fields, and in West Texas in the Permian Basin.

I found this stock using a real-time custom scan. This one hunts for depressed vols. I note that the implied is at multi-year lows while the stock price is at multi-year highs; in fact all-time 14-year highs. This is yet another case where it feels like market complacency (or malaise) with respect to the option volatility has taken over.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The two-year GPOR Charts Tab is included (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 we can see the price is now at multi-year highs. How many years? How about an all-time high going back pre-year 2000? Yeah, that kind of multi-year high. We can see that a little more than a year ago this was a $15 stock and is now nearly 400% that level.

But what about the vol? Well, let’s turn to the two-year IV30™ chart in isolation, below.

We can see the implied hit as high as 95% in fall of two-years ago, but now is at a multi-year low, trading in the low 30% range. Incredible… yes the firm just released earnings, and yes that means a vol crush, and yes volatility goes down (generally) as stock prices rise, but no, a multi-year low in volatility does not make a lot of sense to me when it coincides with a 14-year high in stock price.

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

Across the top we can see the monthly vols are priced to 32.81% for Sep and 35.70 %for Oct. I would put a big golden star next to this name on my watchlist and watch the price action (realized volatility) relative to the implied volatility.

Disclosure: This is trade analysis, not a recommendation.

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