First Bancorp Realized Volatility Hits A Depressed Level

First Bancorp (NASDAQ:FBNC) Realized Volatility Hits A Depressed Level

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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 Realized Volatility

Realized volatility using proprietary measures has hit a depressed level. While stocks with FBNC's profile see a short-term quiet period, this is also one of those times when a shake out volatility move could be on the horizon. Let's take a deep dive into some institutional level volatility measures for First Bancorp (NASDAQ:FBNC) .

First Bancorp Stock Performance
FBNC is up +6.7% over the last three months and up +46.5% over the last six months. The stock price is up +53.8% over the last year. The current stock price is $28.65.

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 +6.7% is too small to impact the realized volatility rating for FBNC.
  The noteworthy difference between the 3-month and 6-month stock returns has a meaningful impact on the realized volatility rating for FBNC.

FBNC Step 2: Daily Realized 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 realized historical volatilities have impacted the rating:

  The HV20 of 16.0% is quite low and has a substantial downward 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 larger than that for the Financials ETF (XLF) which raises the volatility rating a little.

Here is summary data in tabular and chart format.

   S&P 500
   NASDAQ 100
           16.0%    6.93%    6.01%    13.72%

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 realized volatility rating.

Here is summary data in tabular and chart format.

HV30 High   
           16.0%    21.4%    29.0%

Final Realized 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 64%, which means the stock has seen elevated volatile price movement relative to its own past and that has a small impact on the realized volatility rating.

First Bancorp Realized Volatility Percentiles