Option Market: Teekay Tankers Ltd. Risk Hits An Unsually High Level
Teekay Tankers Ltd. (NYSE:TNK) Risk Hits An Unsually High Level
Date Published: 2016-08-1
PREFACE
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 Teekay Tankers Ltd. (NYSE:TNK) .
The risk as reflected by the option market has hit an unsually high level relative to the company's past. The option market reflects a 95% confidence interval stock price range of ($2.40, $3.50) within the next 30 calendar days.
TNK OPTION MARKET RISK
The short-term risk for a stock is reflected in the option market by a measure called the 30-day implied volatility or IV30®. The IV30 is the RISK reflected by the option market in the stock price for the next 30 calendar days -- it's forward looking. Teekay Tankers Ltd. shows an IV30 of 81.2%, which is an unsually high level for the company relative to its past.
The option market for TNK has shown an IV30 annual low of 42.2% and an annual high of 100.5%, meaning that TNK is at the 67% percentile right now. Here's a table of the data before we dig into the risk rating further.
TNK
Current IV30 TNK
Low IV30 TNK
High IV30
81.2% 42.2% 100.5%
0
10
20
30
40
50
60
70
80
90
100
110
Current IV30
Low IV30
High IV30
The option market reflects more risk in the next 30 calendar days for Teekay Tankers Ltd. (NYSE:TNK) than on average. Further, if we look backwards, the stock has a realized 30-day historical volatility, called the HV30, of 59.72%.
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.
0
10
20
30
40
50
60
70
80
90
Next 30 Days
Last 30 Days
Note how much higher the forward looking risk for Teekay Tankers Ltd. is priced (81.2%) compared to what happened just in the last 30-days (59.7%).Note how similar the forward risk for Teekay Tankers Ltd. is priced (81.2%) compared to what happened just in the last 30-days (59.7%).
Teekay Tankers Ltd. Risk Rating
The TNK risk rating is at 4.5, where the rating goes from one (the lowest risk) to five (the highest risk). The driving factors for the 4.5 rating are:
? The IV30 is above the annual average.
? The IV30 is above 80%.
? The HV30 is above the 80th percentile.
? The IV30 is above the HV30.
? The stock has moved -25.4% over the last 3-months which does indicate some elevated risk.