Option Market Alert: YRC Worldwide Inc Implied Price Swing Hits An Amplified Level

YRC Worldwide Inc (NASDAQ:YRCW) Risk Hits An Amplified Level

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No Risk Alert Here: Before we dive into any analysis we simply note that YRC Worldwide Inc (NASDAQ:YRCW) 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 50.39% versus the IV30 of the S&P 500 at 8.34%. You might say that the post it note for YRC Worldwide Inc would read, "holding pattern." The annual high for YRC Worldwide Inc IV30 is 88.54%.

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

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 YRC Worldwide Inc (NASDAQ:YRCW) . The creator of this model is Capital Market Laboratories (

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In the "Why This Matters" section at the end of this article on YRC Worldwide 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 YRCW 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 YRCW.

S&P 500 IV30     8.34%
Nasdaq 100 IV30     14.69%
IYT IV30     14.31%

YRCW HV 30     82.39%
YRCW Current IV30     50.39%
52 Week Low IV30     46.53%
52 Week High IV30     88.54%

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 ($9.20, $11.50) within the next 30 calendar days.

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. YRC Worldwide Inc shows an IV30 of 50.4%, which is an amplified level for the company relative to its past.

The option market for YRCW has shown an IV30 annual low of 46.5% and an annual high of 88.5%, meaning that YRCW is at the 9% percentile right now. Here's a table of the data before we dig into the implied price swing risk rating further.

Current IV30    
Low IV30    
High IV30   
50.4% 46.5% 88.5%

The implied stock swing risk from the option market is extremely tight in the next 30 calendar days for YRC Worldwide Inc (NASDAQ:YRCW) relative to the average in the last year.
Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 82.39%.

We have a situation now where the IV30 is extremely depressed relative to the past and that has resulted in a risk pricing that reflects less stock movement in the next 30-days than it has seen in the last 30-days. Let's turn to a chart to see what's going on.
Note how much lower the forward looking stock swing price risk for YRC Worldwide Inc is priced (50.4%) compared to what happened just in the last 30-days (82.4%).

YRC Worldwide Inc Risk Rating
The YRCW 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 20th percentile.
The IV30 is above 50%.
The HV30 is above the annual average.
The HV30 is above 70%.
The IV30 is below the HV30.
The stock has moved -11.2% over the last 3-months which does indicate some elevated risk.