Gentherm Incorporated (NASDAQ:THRM) Risk Hits An Amplified LevelDate Published: 2017-04-21
No Risk Alert Here: Before we dive into any analysis we simply note that Gentherm Incorporated (NASDAQ:THRM) risk is neither elevated nor depressed. We'll detail it below -- but that's the lede -- the option market is in a holding period with an IV30 of 43.96% verus the IV30 of the S&P 500 at 11.15%. You might say that the post it note for Gentherm Incorporated would read, "holding pattern." The annual high for Gentherm Incorporated IV30 is 51.21%.
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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 Gentherm Incorporated (NASDAQ:THRM) . The creator of this model is Capital Market Laboratories (CMLviz.com).
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But first, let's turn back to THRM and the company's risk rating:
We also take a peek at the implied vol for the Consumer Discretionary ETF (XLY), our broad based proxy for THRM.
|S&P 500 IV30||11.15%|
|Nasdaq 100 IV30||12.44%|
|THRM HV 30||30.79%|
|THRM Current IV30||43.96%|
|52 Week Low IV30||28.95%|
|52 Week High IV30||51.21%|
The implied price swing risk as reflected by the option market has hit an amplified level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($32.10, $39.20) within the next 30 calendar days.
THRM 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. Gentherm Incorporated shows an IV30 of 44.0%, which is an amplified level for the company relative to its past.
The option market for THRM has shown an IV30 annual low of 29.0% and an annual high of 51.2%, meaning that THRM is at the 67% 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 reflects a wider range in the next 30 calendar days for Gentherm Incorporated (NASDAQ:THRM) than it has on on average.
We have a situation now where not only is the IV30 elevated relative to the past, but the option market reflects the likelihood of yet 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.
Gentherm Incorporated Risk Rating
The THRM risk rating is at 3.5, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 3.5 rating are:
↪ The IV30 is above the annual average.
↪ The IV30 is above 40%.
↪ The HV30 is below the 20th percentile.
↪ The IV30 is above the HV30.