🤯 Have you seen our AI stock pickers’ 2024 results? 84.62%! Grab November’s list now.Pick Stocks with AI

Cliffs Natural: Stock Continues 80% Collapse; Vol Hits Annual Highs

Published 03/22/2013, 02:06 AM
Updated 07/09/2023, 06:31 AM
CLF
-
FTNMX551030
-
OPIN
-
NOTE
-

Cliffs Natural Resources Inc. (CLF) is an international mining and natural resources company. The Company is an iron ore producer and a producer of metallurgical coal.

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 this one is also a stock note -- a collapsing stock note.

Custom Scan Details
Stock Price GTE $7 and LTE $70
IV30™ - HV20™ LTE 10
HV180™ - IV30™ LTE -8
Average Option Volume GTE 1,200
Industry isNot Bio-tech
Days After Earnings GTE 10 and LTE 60

The goal with this scan is to identify short-term implied vol (IV30™) that is elevated both to the recent stock movement (HV20™) and the long term trend in stock movement (HV180™). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), want to avoid bio-techs (and their crazy vol) and make sure I'm not selling elevated IV30™ simply because earnings are approaching.

The two-year CLF 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).
CLF_CHARTS
On the stock side we can see an equity price that has been tumbling downward for two-years. This was a stock trading over $100 less than two years ago and is now at around $20. More myopically, we can see the drop from $36.61 (2-12-2013) the day before earnings to now in the $20 range, so ~40% in a month.

Let's turn to an isolated vol chart, below (one-year, IV30™)
CLF_VOL
We can see from the chart that the implied is making new annual highs today and has absolutely exploded from a few weeks ago. Makes sense here, the stock is making new lows and the vol is making new highs.

Let's turn to the Skew Tab, below.
CLF_SKEW
We can see that Apr vol is about equal to May ATM but there is an interesting vol diff expansion to the upside. Or said differently, the vol diff diverges to the OTM calls reflecting greater upside risk (potential) in Apr than May.

Finally, let's look to the Options Tab (below).
CLF_OPTIONS
We can see Apr monthly vol is priced to 58.89% while May monthly vol is priced to 59.40%. But, looking to the OTM calls, we see a different story. Though not pictured here, the Apr/May 28 call spread shows 10 points higher vol in Apr (70%) than May (60%). Hmmm...

Disclosure: This is trade analysis, not a recommendation.

Images provided by Livevol®


Latest comments

Loading next article…
Risk Disclosure: Trading in financial instruments and/or cryptocurrencies involves high risks including the risk of losing some, or all, of your investment amount, and may not be suitable for all investors. Prices of cryptocurrencies are extremely volatile and may be affected by external factors such as financial, regulatory or political events. Trading on margin increases the financial risks.
Before deciding to trade in financial instrument or cryptocurrencies you should be fully informed of the risks and costs associated with trading the financial markets, carefully consider your investment objectives, level of experience, and risk appetite, and seek professional advice where needed.
Fusion Media would like to remind you that the data contained in this website is not necessarily real-time nor accurate. The data and prices on the website are not necessarily provided by any market or exchange, but may be provided by market makers, and so prices may not be accurate and may differ from the actual price at any given market, meaning prices are indicative and not appropriate for trading purposes. Fusion Media and any provider of the data contained in this website will not accept liability for any loss or damage as a result of your trading, or your reliance on the information contained within this website.
It is prohibited to use, store, reproduce, display, modify, transmit or distribute the data contained in this website without the explicit prior written permission of Fusion Media and/or the data provider. All intellectual property rights are reserved by the providers and/or the exchange providing the data contained in this website.
Fusion Media may be compensated by the advertisers that appear on the website, based on your interaction with the advertisements or advertisers.
© 2007-2024 - Fusion Media Limited. All Rights Reserved.