NIKE Inc. (NKE)
NKE publishes earnings on Tuesday after the closing bell.
Update 12/27/2016: NKE rose sharply after earnings were published and then worked its way back down toward the strike price and back into profitable territory, allowing me to exit today at 26.6% of maximum profit.
Shares declined by 2% over seven days, or a -48% annual rate. The options position produced a 25.2% yield on debit for a +1,312% annual rate.
I shall use the JAN series of options, which trades for the last time 31 days hence, on Jan. 20.
Implied volatility stands at 29%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.
NKE’s IV stands in the 46th percentile of its annual range and the 82nd percentile of its most recent broad movement.
The price used for analysis was $51.87.
Iron condor, short the $51 calls and long the $56 calls,
short the $51 puts and long the $46 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
The premium is $2.76, which is 55% of the width of the position’s wings.
The risk/reward ratio is 0.8:1.
Decision for My Account
I have entered a position on NKE as described above. The stock at the time of entry was priced at $51.85.
By Tim Bovee, Portland, Oregon, Dec. 20, 2016