Rigel Pharmaceuticals Inc (NASDAQ:RIGL) Price Volatility Hits An Elevated LevelDate Published: 2017-04-21
Stock Risk Alert
Before we cover the full analysis we make a quick alert here that Rigel Pharmaceuticals Inc (NASDAQ:RIGL) has seen its stock price whip around at an escalated level. We'll go through the details below -- but that's the lede -- the stock has been moving and the market's reaction is like a yellow post it note on the face of the ticker that reads "this is not equilibrium" with an HV20 of 65.4% verus the HV20 of the S&P 500 at 6.43%.
Another bit to this risk alert, which we cover in the article, is that while the historical volatility may be an escalated level (the stock has been whipping around), the real question that needs to be answered for option traders is not if the HV20 is high, but rather if the implied volatility that is priced for the next 30-days accuratley reflects what we're about to see in the stock for the next month.
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This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Rigel Pharmaceuticals Inc (NASDAQ:RIGL) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.
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As a heads up, in the "Why This Matters" section at the end of this article on Rigel Pharmaceuticals Inc (NASDAQ:RIGL) , we're going to take a step back and show really clearly that there is actually a lot less "luck" in successful option trading than most people are aware of. This idea of an "option trading expert" is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.
But before that, let's turn back to RIGL. Here are the exact steps that led us to this rating, and whether it's a risk alert or a holding pattern.
RIGL Recent Price Volatility
Price volatility using proprietary measures has hit an escalated level.
Rigel Pharmaceuticals Inc is a small cap biotechnology-pharmaceutical company with very small revenue. This reality, in and of itself, makes RIGL susceptible to excessive risk as the stock may vascillate based on drug trial results, FDA decisions, new government pricing rules, and especially takeover rumors.
We also note that RIGL has negative GAAP earnings in the last year which makes it ever more susceptible to stock volatility. Here is a rolling annual volatility chart of the biotech index (IBB) versus the Nasdaq 100 and the S&P 500. Note how elevated the biotechnology sector volatility is (the pink curve) relative to the S&P 500.
Let's take a deep dive into some institutional level volatility measures for Rigel Pharmaceuticals Inc (NASDAQ:RIGL) .
Rigel Pharmaceuticals Inc Stock Performance
RIGL is up +37.7% over the last three months and up +11.0% over the last six months. The stock price is up +22.7% over the last year. The current stock price is $3.03.
RIGL Step 1: Stock Returns
↪ The 3-month stock return of +37.7% has a substantial impact on the price volatility rating for RIGL.
↪ The noteworthy difference between the 3-month and 6-month stock returns has a meaningful impact on the price volatility rating for RIGL.
RIGL Step 2: Daily Price Volatility Level
The HV30® takes the stock's day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days -- a shorter time period. Here is the breakdown for Rigel Pharmaceuticals Inc (NASDAQ:RIGL) and how the day-by-day price historical volatilities have impacted the rating:
↪ The HV20 of 63.0% is a bit elevated and has an impact on RIGL's volatility rating.
RIGL Step 3: Rigel Pharmaceuticals Inc HV20 Compared to Indices
* The HV20 for RIGL is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.
* The HV20 for RIGL is substantially larger than that for the Health Care ETF (XLV) which raises the volatility rating.
Here is summary data in tabular and chart format.
| S&P 500
| NASDAQ 100
RIGL Step 4: Daily Volatility Percentiles and Highs
We also examine the annual high of the HV30 in our rating.
↪ The 52 week high in HV30 for RIGL is 141.1%, which is very high and has a large upward impact on the price volatility rating.
Here is summary data in tabular and chart format.
Final Price Volatility Percentile Level: RIGL
The final evolution of the volatility rating for Rigel Pharmaceuticals Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile -- a scoring mechanism that goes from a low of 1 to a high of 100.
↪ The HV30 percentile for Rigel Pharmaceuticals Inc is 25%, which means the stock has seen low volatility in its price movement relative to its own past and that has a slightly dampening impact on the price volatility rating.
Rigel Pharmaceuticals Inc Realized Volatility Percentiles