GS Analysis

The Goldman Sachs Group Inc. (GS)

Update 1/25/2017: GS began declining before earnings were announced and continued for a few days thereafter. It then retraced a portion of the decline in what has largely been a sideways move. It hit my exit point — 25% of maximum potential profit — and I exited.

Shares declined by 1.6% over eight days, or a -73% annual rate. The options position produced a 33.3% yield on debit for a +1,518% annual rate


 

GS 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 29%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.

GS’s IV stands in the 27th percentile of its annual range and the 63rd percentile of its most recent broad movement.

The price used for analysis was $239.07.

Premium: $12.30 FEB iron fly
GS   Odds Delta
Calls
Long 255.00 44.1% 59
Break-even 247.30
Short 235.00 80.4% 22
Puts
Short 235.00 56.2% 41
Break-even 222.70
Long 215.00 86.8% 11

The premium is 62% of the width of the position’s wings.

The risk/reward ratio is 0.6:1.

Decision for My Account

I’ve entered a position on GS as described above. The stock at the time of entry was priced at $239.03.

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

3 thoughts on “GS Analysis

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