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Option Market Alert: PBF Energy Inc Implied Price Swing Hits An Amplified Level




PBF Energy Inc (NYSE:PBF) Risk Hits An Amplified Level

Date Published:

No Risk Alert Here: Before we dive into any analysis we simply note that PBF Energy Inc (NYSE:PBF) 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 45.16% verus the IV30 of the S&P 500 at 11.15%. You might say that the post it note for PBF Energy Inc would read, "holding pattern." The annual high for PBF Energy Inc IV30 is 56.18%.



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

PREFACE
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 PBF Energy Inc (NYSE:PBF) . The creator of this model is Capital Market Laboratories (CMLviz.com).


Option trading isn't about luck -- this four minute video will change your trading life forever: Option Trading and Truth

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

We also take a peek at the implied vol for the Energy ETF (XLE), our broad based proxy for PBF.





SNAPSHOT SUMMARY
S&P 500 IV30     11.15%
Nasdaq 100 IV30     12.44%
XLE IV30     18.35%

PBF HV 30     31.32%
PBF Current IV30     45.16%
52 Week Low IV30     37.24%
52 Week High IV30     56.18%


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 ($18.90, $23.20) within the next 30 calendar days.

PBF 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. PBF Energy Inc shows an IV30 of 45.2%, which is an amplified level for the company relative to its past.

The option market for PBF has shown an IV30 annual low of 37.2% and an annual high of 56.2%, meaning that PBF is at the 42% percentile right now. Here's a table of the data before we dig into the implied price swing risk rating further.

PBF
Current IV30    
PBF
Low IV30    
PBF
High IV30   
45.2% 37.2% 56.2%

The implied stock swing risk from the option market has created a range which is tighter in the next 30 calendar days for PBF Energy Inc (NYSE:PBF) than it has been on average for the last year on average.
Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 31.32%.




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.
 
Note how much higher the forward looking stock swing price risk for PBF Energy Inc is priced (45.2%) compared to what happened just in the last 30-days (31.3%).

PBF Energy Inc Risk Rating
The PBF 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 below the annual average.
The IV30 is above 40%.
The HV30 is below the 20th percentile.
The IV30 is above the HV30.
The stock has moved -13.2% over the last 3-months which does indicate some elevated risk.