ConforMIS Inc (NASDAQ:CFMS) Risk Hits An Elevated LevelDate Published: 2017-04-21
Risk Alert: Before we dive into any analysis we simply note that ConforMIS Inc (NASDAQ:CFMS) risk is elevated. We'll detail it below -- but that's the lede -- the option market is starting to flash those neon lights that signal "risk is rising" with an IV30 of 82.02% verus the IV30 of the S&P 500 at 11.15%. The annual high for ConforMIS Inc IV30 is 127.56%.
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This is a proprietary risk rating and risk alert system that looks forward for the next month -- or really 30 days to be exact -- and that includes weekends. The system is based on multiple interactions of data points, many of which come directly from the option market for ConforMIS Inc (NASDAQ:CFMS) . The creator of this model is Capital Market Laboratories (CMLviz.com).
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In the "Why This Matters" section at the end of this article on ConforMIS Inc we're going to take a step back and show in great specificity that there is actually a lot less "luck" in successful option trading than many people know. The whole concept of an "option trading expert" is vastly over complicated and we'll talk about how superior returns are earned.
But first, let's turn back to CFMS and the company's risk rating:
We also take a peek at the implied vol for the Health Care ETF (XLV), our broad based proxy for CFMS.
|S&P 500 IV30||11.15%|
|Nasdaq 100 IV30||12.44%|
|CFMS HV 30||47.6%|
|CFMS Current IV30||82.02%|
|52 Week Low IV30||51.75%|
|52 Week High IV30||127.56%|
The implied price swing risk as reflected by the option market has hit an elevated level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($4.40, $6.40) within the next 30 calendar days.
CFMS OPTION MARKET IMPLIED PRICE SWING RISK
The IV30® is the implied price swing risk reflected by the option market in the stock price for the next 30 calendar days -- it's forward looking. ConforMIS Inc shows an IV30 of 82.0%, which is an elevated level for the company relative to its past.
The option market for CFMS has shown an IV30 annual low of 51.8% and an annual high of 127.6%, meaning that CFMS is at the 40% percentile right now. Here's a table of the data before we dig into the implied price swing risk rating further.
The implied stock swing risk from the option market has created a range which is tighter in the next 30 calendar days for ConforMIS Inc (NASDAQ:CFMS) than it has been on average for the last year on average. But, even though the IV30 percentile is below 50, other critical volatility measures that we discuss below point to substantially elevated swing price risk.
We have an unusual situation now where the IV30 is depressed relative to the past, but even with that risk pricing, the option market reflects the likelihood of a greater stock movement in the next 30-days than the stock has realized in the last 30-days. Let's turn to a chart to see what's going on.
ConforMIS Inc Risk Rating
The CFMS risk rating is at 4.5, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 4.5 rating are:
↪ The IV30 is below the annual average.
↪ The IV30 is above 80%.
↪ The HV30 is below the 20th percentile.
↪ The IV30 is above the HV30.
↪ The stock has moved -37.1% over the last 3-months which does indicate some elevated risk.