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First Bancorp Stock Volatility Hits An Escalated Level




First Bancorp (NASDAQ:FBNC) Stock Volatility Hits An Escalated Level

Date Published:

PREFACE
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for First Bancorp (NASDAQ:FBNC) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.


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But before that, let's turn back to FBNC. This is a four step process for computing the realized volatility risk. Here we go.

FBNC Recent Stock Volatility


Rating
Stock volatility using proprietary measures has hit an elevated level. Let's take a deep dive into some institutional level volatility measures for First Bancorp (NASDAQ:FBNC) .

First Bancorp Stock Performance
FBNC is up +43.6% over the last three months and up +62.5% over the last six months. The stock price is up +63.4% over the last year. The current stock price is $30.32.

FBNC Step 1: Stock Returns
The one-year stock return does not impact the volatility rating since we are looking at a shorter time horizon. However, the rating does examine the 3-month returns and the absolute difference between the 3-month and 6-month returns.

  The 3-month stock return of +43.6% has a large impact on the stock volatility rating for FBNC.
  The greater than 10% difference between the 3-month and 6-month stock returns has an impact on the stock volatility rating for FBNC.

FBNC Step 2: Daily Stock Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for First Bancorp (NASDAQ:FBNC) and how the day-by-day stock historical volatilities have impacted the rating:

  The HV20 of 33.8% is in the middle ground, neither elevated nor depressed, so in this case the raw HV20 number has no impact on FBNC's volatility rating.


FBNC Step 3: First Bancorp HV20 Compared to Indices
* The HV20 for FBNC is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.

* The HV20 for FBNC is substantially larger than that for the Financials ETF (XLF) which raises the volatility rating.

Here is summary data in tabular and chart format.

           FBNC
           HV20    
   S&P 500
HV20
   NASDAQ 100
HV20   
   XLF
HV20   
           33.8%    6.02%    6.1%    15.99%

FBNC Step 4: Daily Volatility Percentiles and Highs

We also examine the annual high of the HV30 in our rating but in this case the 52 week high in HV30 for FBNC is 29.0%, which is not enough to impact the stock volatility rating.

Here is summary data in tabular and chart format.

           FBNC
           HV20    
   FBNC
HV30
   FBNC
HV30 High   
           33.8%    28.9%    29.0%

Final Stock Volatility Percentile Level: FBNC
The final evolution of the volatility rating for First Bancorp is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100.

  The HV30 percentile for First Bancorp is 100%, which means the stock has seen extremely volatile price movement relative to its own past and that has a large impact on the stock volatility rating.

First Bancorp Realized Volatility Percentiles