Walker & Dunlop Inc (NYSE:WD) Risk Hits A Notable HighDate Published: 2017-04-21
Risk Alert: Before we dive into any analysis we simply note that Walker & Dunlop Inc (NYSE:WD) 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 50.75% verus the IV30 of the S&P 500 at 11.15%. The annual high for Walker & Dunlop Inc IV30 is 52.44%.
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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 Walker & Dunlop Inc (NYSE:WD) . The creator of this model is Capital Market Laboratories (CMLviz.com).
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But first, let's turn back to WD and the company's risk rating:
We also take a peek at the implied vol for the Financials ETF (XLF), our broad based proxy for WD.
|S&P 500 IV30||11.15%|
|Nasdaq 100 IV30||12.44%|
|WD HV 30||22.46%|
|WD Current IV30||50.75%|
|52 Week Low IV30||26.27%|
|52 Week High IV30||52.44%|
The implied price swing risk as reflected by the option market has hit a notable high relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($38.20, $48.20) within the next 30 calendar days.
WD 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. Walker & Dunlop Inc shows an IV30 of 50.8%, which is a notable high for the company relative to its past.
The option market for WD has shown an IV30 annual low of 26.3% and an annual high of 52.4%, meaning that WD is at the 94% 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 is a substanially wider range in the next 30 calendar days for Walker & Dunlop Inc (NYSE:WD) than it has on average.
We have a situation now where not only is the IV30 extremely 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.
Walker & Dunlop Inc Risk Rating
The WD 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 above the 90th percentile.
↪ The IV30 is above 50%.
↪ The HV30 is below the annual average.
↪ The HV30 is below 30%.
↪ The IV30 is above the HV30.
↪ The stock has moved +42.1% over the last 3-months which does indicate some elevated risk.