Hertz Global Holdings Inc. (HTZ)

Update 3/22/2017: HTZ shares rose sharply after earnings were published stayed high until March 17 and then began to fall sharply, exceeding my target profit of 25% of maximum potential profit. I exited.

Shares showed a net declined of 2.7% over 23 days, or a 42% annual rate. The optons position produced a 49.8% yield on debit for a +790% annual rate.

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HTZ publishes earnings on Monday after the closing bell.

I shall use the APR series of options, which trades for the last time 53 days hence, on April 21.

Implied volatility stands at 79%, which is 6.7 times the VIX, a measure of the volatility of the S&P 500 index.

HTZ’s IV stands in the 91st percentile of its annual range and the 86th percentile of its most recent broad movement.

The price used for analysis was $19.89.

Premium:	$3.97	Expire OTM	iron fly
HTZ		Odds	Delta
Calls
Long	27.50	92.5%	12
Break-even	21.47
Short	17.50	36.2%	73
Puts
Short	17.50	64.5%	26
Break-even	13.53
Long	12.50	93.0%	4

The premium is 53% of the width of the position’s wings.

The risk/reward ratio is 1.5:1.

Decision for My Account

The $2.50 interval between strike prices on such a low-priced stock and the consequent loss of granularity makes the structure a bit uneven.

I have entered a position on HTZ as described above, dropping the premium by three cents in order to obtain a fill.. The stock at the time of entry was priced at $19.97.

By Tim Bovee, Portland, Oregon, Feb. 27, 2017