Stock Volatility Risk Alert: Ascena Retail Group Inc Realized Volatility Hits An Exceptional High – CML News

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Stock Risk Alert
Before we dive into any analysis we simply note that Ascena Retail Group Inc (NASDAQ:ASNA) has seen its stock price whip around at an exceptional high level. We’ll detail it below — but that’s the lede — the stock has been moving and the market’s reaction is like a yellow post it note on the face of the ticker that reads “risk alert” with an HV20 of 137.56% verus the HV20 of the S&P 500 at 4.84%.

Another bit to this risk alert, which we cover in the article, is that while the historical volatility may be an exceptional high level (the stock has been whipping around), the real question that needs to be answered for option traders is not if the HV20 is high, but rather if the implied volatility that is priced for the next 30-days accuratley reflects what we’re about to see in the stock for the next month.

To jump forward and examine if owning or shorting options has been a positive trade in Ascena Retail Group Inc, you can go here: Getting serious about option trading.



PREFACE
This is a proprietary realized volatility rating created by Capital Market Laboratories (CMLviz) based on a large number of data interactions for Ascena Retail Group Inc (NASDAQ:ASNA) . We examine the little used gem of daily stock volatility over a 20-day and 30-day trading period, as well as comparisons to the last year and the actual stock returns over the last three- and six-months and the S&P 500 and Nasdaq 100 indices.



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As a heads up, in the “Why This Matters” section at the end of this article on Ascena Retail Group Inc (NASDAQ:ASNA) , we’re going to take a step back and show really clearly that there is actually a lot less “luck” in successful option trading than most people are aware of. This idea of an “option trading expert” is vastly over complicated so those with the information advantage can continue to profit at the expense of the rest.

But before that, let’s turn back to ASNA. Here are the exact steps that led us to this rating, and whether it’s a risk alert or a holding pattern.

ASNA Recent Realized Volatility

Breaking: ASNA HV30 realized volatility has exploded to a new annual high.


Rating
Realized volatility using proprietary measures has hit an exceptional high level. Let’s take a deep dive into some institutional level volatility measures for Ascena Retail Group Inc (NASDAQ:ASNA) .

Ascena Retail Group Inc Stock Performance
ASNA is down -47.7% over the last three months and down -69.3% over the last six months. The stock has returned -70.1% over the last year. The current stock price is $2.18.


ASNA Step 1: Stock Returns

The one-year stock return does not impact the volatility rating since we are looking at a shorter time horizon. However, the rating does examine the 3-month returns and the absolute difference between the 3-month and 6-month returns.

  The 3-month stock return of -47.7% has a large impact on the realized volatility rating for ASNA.
  The noteworthy difference between the 3-month and 6-month stock returns has a meaningful impact on the realized volatility rating for ASNA.


ASNA Step 2: Daily Realized Volatility Level
The HV30® takes the stock’s day to day historical volatility over the last 30-days and then annualizes it. The HV20 looks back over just 20-days — a shorter time period. Here is the breakdown for Ascena Retail Group Inc (NASDAQ:ASNA) and how the day-by-day realized historical volatilities have impacted the rating:

  The HV20 of 102.9% is quite high and has a significant impact on ASNA’s volatility rating.

ASNA Step 3: Ascena Retail Group Inc HV20 Compared to Indices
* The HV20 for ASNA is substantially larger than that for both the S&P 500 and the NASDAQ 100 which raises the volatility rating.

* The HV20 for ASNA is substantially larger than that for the Consumer Staples ETF (XLP) which raises the volatility rating.

Here is summary data in tabular and chart format.

           ASNA
           HV20    
   S&P 500
HV20
   NASDAQ 100
HV20   
   XLP
HV20   
           102.9%    4.84%    12.4%    7.95%



ASNA Step 4: Daily Volatility Percentiles and Highs

We also examine the annual high of the HV30 in our rating.
  The 52 week high in HV30 for ASNA is 137.6%, which is very high and has a large upward impact on the realized volatility rating.

Here is summary data in tabular and chart format.

           ASNA
           HV20    
   ASNA
HV30
   ASNA
HV30 High   
           102.9%    137.6%    137.6%


Final Realized Volatility Percentile Level: ASNA
The final evolution of the volatility rating for Ascena Retail Group Inc is a comparison of the HV30 value relative to its past, which is neatly summarized in the percentile — a scoring mechanism that goes from a low of 1 to a high of 100.

  The HV30 percentile for Ascena Retail Group Inc is 100%, which means the stock has seen extremely volatile price movement relative to its own past and that has a large impact on the realized volatility rating.


Ascena Retail Group Inc Realized Volatility Percentiles

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