Whiting Petroleum Corporation (WLL) is an independent oil and gas company engaged in acquisition, development, exploitation, production and exploration activities primarily in the Rocky Mountains, Permian Basin, Mid-Continent, Michigan and Gulf Coast regions of the United States.
This is an interesting one where the vol is imploding while the stock is starting to make a run up. I found WLL using a real-time custom scan that hunts for depressed vols.
Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200
The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETFs (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.
The WLL one-year 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 how the price has fallen from the mid $60 range in early 2012, to as low as the mid $30 range in the summer. More recently however, we can see the stock rise from $41.67 (12-28-2012) to now just under $46. The 52 wk range for the stock is [$35.68, $63.97].
But, of course, this is a vol note, so I've included a one-year chart of the IV30™ in isolation, below.
We can see how much the implied has collapsed in the last few trading days (highlighted in yellow) as the stock has been climbing. The 52 wk range in IV30™ is [31.74%, 54.81%], putting the current level in the 1st percentile (annual). In English, this stock is popping as IV30™ is reaching a new annual low.
Finally, let's look to the Options Tab (below).
We can see across the top the monthly vols are priced to 32.91%, 31.37% and 34.33%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. Continuing the motif I started last week, simply asking, "should vol be at annual (or multi-year) lows right now?" For this stock, we can add the observation that the price is up ~10% in the last couple of weeks.Disclosure:
This is trade analysis, not a recommendation.Images provided by Livevol®