Neither of the two prospects on my desk this morning qualifies for further analysis because of relatively low implied volatility .
I require that IV be in the 50th percentile or greater of either the annual range or the most recent broad movement.
AIG’s numbers are 27th percentile for the annual and 21st for the recent, and PEP’s numbers are 33rd for the annual and 41st for the recent.
My trading day will be shortened due to other obligations. If I exit any positions, I shall post Outcomes and results after the closing bell.
By Tim Bovee, Portland, Oregon, Feb. 14, 2017