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




Celadon Group Inc (NYSE:CGI) Risk Hits An Extraordinary High

Date Published:

Risk Alert: Before we dive into any analysis we simply note that Celadon Group Inc (NYSE:CGI) 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 105.65% 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 Celadon Group 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 Celadon Group Inc (NYSE:CGI) . 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 Celadon Group 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 CGI and the company's risk rating:

We also take a peek at the implied vol for the Transportation ETF (IYT), our broad based proxy for CGI.





SNAPSHOT SUMMARY
S&P 500 IV30     11.15%
Nasdaq 100 IV30     12.44%
IYT IV30     17.9%

CGI HV 30     67.45%
CGI Current IV30     105.65%
52 Week Low IV30     45.14%
52 Week High IV30     124.64%


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 ($3.30, $5.50) within the next 30 calendar days.

CGI 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. Celadon Group Inc shows an IV30 of 105.7%, which is an extraordinary high for the company relative to its past.

The option market for CGI has shown an IV30 annual low of 45.1% and an annual high of 124.6%, meaning that CGI is at the 76% percentile right now. Here's a table of the data before we dig into the risk rating further.

CGI
Current IV30    
CGI
Low IV30    
CGI
High IV30   
105.7% 45.1% 124.6%

The implied stock swing risk from the option market reflects a wider range in the next 30 calendar days for Celadon Group Inc (NYSE:CGI) than it has on on average.
Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 67.45%.




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.
 
Note how much higher the forward looking stock swing price risk for Celadon Group Inc is priced (105.7%) compared to what happened just in the last 30-days (67.5%).

Celadon Group Inc Risk Rating
The CGI 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 above the annual average.
The IV30 is above 100%, which is extremely elevated.
The HV30 is below the annual average.
The IV30 is above the HV30.
The stock has moved -49.1% over the last 3-months which does indicate some elevated risk.