Red Hat Inc (NYSE:RHT) Risk Hits A Deteriorated LevelDate Published: 2016-08-23
This is a proprietary risk rating for the next 30-days built by Capital Market Laboratories (CMLviz) based on a large number of interactions of data points, many of which come directly from the option market for Red Hat Inc (NYSE:RHT) .
We also take a peek at the implied vol for the Technology ETF (XLK), our broad based proxy for RHT.
|S&P 500 IV30||10.99%|
|Nasdaq 100 IV30||12.19%|
|RHT HV 30||18.94%|
|RHT Current IV30||28.3%|
|52 Week Low IV30||20.49%|
|52 Week High IV30||52.53%|
The risk as reflected by the option market has hit a deteriorated level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($70.00, $79.70) within the next 30 calendar days.
While the option market risk rating is on the low side, we note that companies in this situation are still susceptible to sudden stock move risk, it's simply the probability of that large stock move is depressed. Buyers of options and volatility may find these prices more attractive than at other times.
RHT 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. Red Hat Inc shows an IV30 of 28.3%, which is a deteriorated level for the company relative to its past.
The option market for RHT has shown an IV30 annual low of 20.5% and an annual high of 52.5%, meaning that RHT is at the 24% percentile right now. Here's a table of the data before we dig into the risk rating further.
The option market reflects less risk in the next 30 calendar days for Red Hat Inc (NYSE:RHT) than on average. Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 18.94%.
We have an unusual situation now where the IV30 is depressed relative to the past, but even with that risk pricing, the option market reflects the likelihood of a greater 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.
Red Hat Inc Risk Rating
The RHT risk rating is at 2, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 2 rating are:
↪ The IV30 is below the annual average.
↪ The IV30 is below 30%.
↪ The HV30 is below the 20th percentile.
↪ The HV30 is below 30%.
↪ The IV30 is above the HV30.
↪ The stock has moved just +0.0% over the last 3-months which does indicate some depressed risk.
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