Watching ARWR: implied move =18.5% impl. move relative to 4 quarter absolute ave hist. move = +8.5% impl. move relative to 12 quarter abs. ave hist. move = +10.3% max hist move in the last 12 quarters =17.7%
Hey adam! where are you getting your implied move number? I am getting a 9% move? Without factoring in the market term structure and post event term strucutre here is a simple way to calculate the implied move. Dec20 is 81% Ivol Jan17 is 74% Ivol Days to expiration Dec = 28 Days to expiration Jan = 56 * Note I usually use bizdays for everything but this is quick and dirty so we will use calendar days NonEvent Vol = sqrt((.74^2 * 56 - .81^2 * 28)/(56 - 28)) = 66% Event Vol = sqrt(.81^2*28 - .66^2*(28-1)) = 250% Expected Move = sqrt(1/365)*250%*sqrt(2/pi) = ~10% If the implied move was in-fact 18.5% I would be skeptical since it is a pharmaceutical company. Maybe a major drug release??
I wont be around later so here is the 7 day return. I'll post a cumulative ret once IB makes today accessible for a VAMI graph.
For those thinking of selling vol on ARWR, be weary! A single analyst upgrade today moved the stock 17%! This shows you the current regime ARWR is in. We could expect an uprgrade/downgrade after earnings tomorrow. I don't think a 9% implied move is high enough.