C Analysis

Citigroup Inc. (C)

Update 1/26/2017: C’s stock price and implied volatility were declining before earnings were published and continued to decline for a few days thereafter, then bounced, retracing a portion of the fall.

I exited near my target price, at 25.4% of the maximum potential profit.

Shares declined by 2.1% over eight days, or a -97% annual rate. The options position produced a 34.1% yield on debit for a +1,556% annual rate.


 

C publishes earnings on Wednesday before the opening bell.

I shall use the FEB series of options, which trades for the last time 31 days hence, on Feb. 17.

Implied volatility stands at 27%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

C’s IV stands in the 13th percentile of its annual range and the 49th percentile of its most recent broad movement.

The price used for analysis was $58.70.

Premium: $2.91 FEB iron fly
C   Odds Delta
Calls
Long 62.50 82.0% 20
Break-even 60.41
Short 57.50 40.5% 62
Puts
Short 57.50 59.1% 38
Break-even 54.59
Long 52.50 89.9% 9

The premium is 29% of the width of the position’s wings.

The risk/reward ratio is 0.7:1.

Decision for My Account

I have entered a position on C as described above. The stock at the time of entry was priced at $58.73.

By Tim Bovee, Portland, Oregon, Jan. 17, 2017

4 thoughts on “C Analysis

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