First Bancorp (NYSE:FBP) Risk Hits A Lowered LevelDate Published: 2017-02-27
We're going to look at a proprietary risk rating for the next 30-days built by Capital Market Laboratories (CMLviz) based on a large number of interactions of data points, many of which come directly from the option market for First Bancorp (NYSE:FBP) .
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But first, let's turn back to FBP and the company's risk rating:
We also take a peek at the implied vol for the Financials ETF (XLF), our broad based proxy for FBP.
|S&P 500 IV30||9.91%|
|Nasdaq 100 IV30||10.99%|
|FBP HV 30||33.74%|
|FBP Current IV30||41.9%|
|52 Week Low IV30||40.85%|
|52 Week High IV30||101.65%|
The risk as reflected by the option market has hit a lowered level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($5.90, $7.10) within the next 30 calendar days.
While the option market risk rating is on the low side, we note that companies in this situation are still susceptible to sudden stock move risk, it's simply the probability of that large stock move is depressed. Buyers of options and volatility may find these prices more attractive than at other times.
FBP OPTION MARKET RISK
The IV30® is the risk reflected by the option market in the stock price for the next 30 calendar days -- it's forward looking. First Bancorp shows an IV30 of 41.9%, which is a lowered level for the company relative to its past.
The option market for FBP has shown an IV30 annual low of 40.9% and an annual high of 101.7%, meaning that FBP is at the 2% percentile right now. Here's a table of the data before we dig into the risk rating further.
The option market reflects extremeley less risk in the next 30 calendar days for First Bancorp (NYSE:FBP) than on average.
We have an unusual situation now where the IV30 is extremely depressed relative to the past, but even with that risk pricing, the option market reflects the likelihood of more stock movement in the next 30-days than it has in the last 30-days. Let's turn to a chart to see what's going on.
First Bancorp Risk Rating
The FBP risk rating is at 2.5, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 2.5 rating are:
↪ The IV30 is below the 20th percentile.
↪ The IV30 is above 40%.
↪ The HV30 is below the 20th percentile.
↪ The IV30 is above the HV30.
↪ The stock has moved just +0.5% over the last 3-months which does indicate some depressed risk.