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.
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