Option Market Alert: Nutrisystem Inc Implied Price Swing Hits An Unsually High Level

Nutrisystem Inc (NASDAQ:NTRI) Risk Hits An Unsually High Level

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Risk Alert: Before we dive into any analysis we simply note that Nutrisystem Inc (NASDAQ:NTRI) 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 55.94% verus the IV30 of the S&P 500 at 11.15%. The annual high for Nutrisystem Inc IV30 is 63.38%.

To skip ahead of this risk alert and see if buying or selling options has been a winner in Nutrisystem Inc, you can go here: Geting serious about option trading.

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 Nutrisystem Inc (NASDAQ:NTRI) . The creator of this model is Capital Market Laboratories (

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In the "Why This Matters" section at the end of this article on Nutrisystem 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 NTRI and the company's risk rating:

We also take a peek at the implied vol for the Consumer Staples ETF (XLP), our broad based proxy for NTRI.

S&P 500 IV30     11.15%
Nasdaq 100 IV30     12.44%
XLP IV30     10.98%

NTRI HV 30     31.54%
NTRI Current IV30     55.94%
52 Week Low IV30     26.09%
52 Week High IV30     63.38%

The implied price swing risk as reflected by the option market has hit an unsually high level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($48.80, $63.20) within the next 30 calendar days.

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. Nutrisystem Inc shows an IV30 of 55.9%, which is an unsually high level for the company relative to its past.

The option market for NTRI has shown an IV30 annual low of 26.1% and an annual high of 63.4%, meaning that NTRI is at the 80% percentile right now. Here's a table of the data before we dig into the implied price swing risk rating further.

Current IV30    
Low IV30    
High IV30   
55.9% 26.1% 63.4%

The implied stock swing risk from the option market is a substanially wider range in the next 30 calendar days for Nutrisystem Inc (NASDAQ:NTRI) than it has on average.
Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 31.54%.

We have a situation now where not only is the IV30 substantially 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.
Note how much higher the forward looking stock swing price risk for Nutrisystem Inc is priced (55.9%) compared to what happened just in the last 30-days (31.5%).

Nutrisystem Inc Risk Rating
The NTRI risk rating is at 4, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 4 rating are:

The IV30 is above the 80th percentile.
The IV30 is above 50%.
The HV30 is below the annual average.
The IV30 is above the HV30.
The stock has moved +61.4% over the last 3-months which does indicate some elevated risk.