NKE Analysis


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

JAN Strike OTM Δ
Calls 51 44.1% 59
Puts 51 56.50% 40

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

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