Whiting Petroleum: Vol Nears Annual Low As Stock Continues To Rise

Whiting Petroleum Corporation (WLL) is an independent oil and gas company engaged in acquisition, development, exploitation, production and exploration activities primarily in the Rocky Mountains, Permian Basin, Mid-Continent, Michigan and Gulf Coast regions of the United States.

This is an interesting one where the vol is imploding while the stock is starting to make a run up. I found WLL using a real-time custom scan that hunts for depressed vols.

Custom Scan Details
Stock Price GTE $5
IV30™ GTE 20
IV30™ Percentile LTE 10
Average Option Volume GTE 1,200

The goal with this scan is to identify short-term implied vol (IV30™) that is depressed to its own annual history (at most in the 10th percentile). I'm also looking for a reasonable amount of liquidity in the options (thus the minimum average option volume), and I want a minimum vol level so I don't pick up any boring ETFs (or whatever). The stock price requirement helps me identify names that have enough strike prices to trade or spread.

The WLL one-year Charts Tab is included (below). The top portion is the stock price the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).


On the stock side we can see how the price has fallen from the mid $60 range in early 2012, to as low as the mid $30 range in the summer. More recently however, we can see the stock rise from $41.67 (12-28-2012) to now just under $46. The 52 wk range for the stock is [$35.68, $63.97].

But, of course, this is a vol note, so I've included a one-year chart of the IV30™ in isolation, below.

We can see how much the implied has collapsed in the last few trading days (highlighted in yellow) as the stock has been climbing. The 52 wk range in IV30™ is [31.74%, 54.81%], putting the current level in the 1st percentile (annual). In English, this stock is popping as IV30™ is reaching a new annual low.

Finally, let's look to the Options Tab (below).

We can see across the top the monthly vols are priced to 32.91%, 31.37% and 34.33%. I note the Mar vol b/c that expiry should have an earnings release embedded in it. Continuing the motif I started last week, simply asking, "should vol be at annual (or multi-year) lows right now?" For this stock, we can add the observation that the price is up ~10% in the last couple of weeks.

Disclosure: This is trade analysis, not a recommendation.

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