news.cmlviz.com
menu
share

Risk Alert in Option Market: Athersys Inc Implied Price Swing Hits An Extraordinary High




Athersys Inc (NASDAQ:ATHX) Risk Hits An Extraordinary High

Date Published:

Risk Alert: Before we dive into any analysis we simply note that Athersys Inc (NASDAQ:ATHX) risk is at an extremely elevated level. We'll detail it below -- but that's the lede -- the option market is flashing a neon sign that reads "risk is here" with an IV30 of 115.29% verus the IV30 of the S&P 500 at 11.15%.



One thing to note, which we cover in the article, is that while implied volatility may be high, the real question that needs to be answered for option traders is not if the impled vol is high, but rather if the realized volatility that is coming in the next 30 days will be higher or lower than the option market is pricing.

To skip ahead of this risk alert and see if buying or selling options has been a winner in Athersys 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 Athersys Inc (NASDAQ:ATHX) . The creator of this model is Capital Market Laboratories (CMLviz.com).


Option trading isn't about luck -- this three 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 Athersys 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 ATHX 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 ATHX.





SNAPSHOT SUMMARY
S&P 500 IV30     11.15%
Nasdaq 100 IV30     12.44%
XLV IV30     11.89%

ATHX HV 30     115.67%
ATHX Current IV30     115.29%
52 Week Low IV30     67.6%
52 Week High IV30     192.11%


The risk as reflected by the option market has hit an extraordinary high relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($1.10, $1.90) within the next 30 calendar days.

ATHX OPTION MARKET RISK
The IV30® is the risk reflected by the option market in the stock price for the next 30 calendar days -- it's forward looking. Athersys Inc shows an IV30 of 115.3%, which is an extraordinary high for the company relative to its past.

The option market for ATHX has shown an IV30 annual low of 67.6% and an annual high of 192.1%, meaning that ATHX is at the 38% percentile right now. Here's a table of the data before we dig into the risk rating further.

ATHX
Current IV30    
ATHX
Low IV30    
ATHX
High IV30   
115.3% 67.6% 192.1%

The implied stock swing risk from the option market has created a range which is tighter in the next 30 calendar days for Athersys Inc (NASDAQ:ATHX) 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 extreme stock swing price risk.
Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 115.67%.




We have a situation now where the IV30 is depressed relative to the past and at the same time the option market reflects the likelihood of a smaller 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 similar the forward risk for Athersys Inc is priced (115.3%) compared to what happened just in the last 30-days (115.7%).

Athersys Inc Risk Rating
The ATHX risk rating is at 5, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 5 rating are:

The IV30 is below the annual average.
The IV30 is above 100%, which is extremely elevated.
The HV30 is above the 80th percentile.
The HV30 is above 85%.
The stock has moved just +2.8% over the last 3-months which does indicate some depressed risk.