Micron Technology Inc. (MU)
Update 1/10/2017: MU gapped sharply to the upside after earnings were published and never returned to the position’s profit zone.
Shares rose 9.5% over 20 days, or a +173% annual rate. The options position produced a 24.7% loss on debit for a -451% annual rate.
MU publishes earnings on Wednesday after the closing bell.
I shall use the JAN series of options, which trades for the last time 30 days hence, on Jan. 20.
Implied volatility stands at 44%, which is 3.9 times the VIX, a measure of the volatility of the S&P 500 index.
MU’s IV stands in the 11th percentile of its annual range and the 59th percentile of its most recent broad movement.
The price used for analysis was $20.57.
Iron condor, short the $20 calls and long the $24 calls,
short the $20 puts and long the $16 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
The premium is $1.86, which is 47% of the width of the position’s wings.
The risk/reward ratio is 1.2:1.
Decision for My Account
I have entered a position on MU as described above. The stock at the time of entry was priced at $20.57.
— Tim Bovee, Portland, Oregon, Dec. 21, 2016