CRM Analysis inc. (CRM)

Update 3/8/2017: CRM rose sharply after earnings were published, staying in a sideways pattern long enough for time decay and falling implied volatility to produce sufficient profit for an exit, at 24.9% of maximum potential profit.

Shares rose by 11.0% over eight days, or a +499% annual rate. Tue options positon produced a 36.0% yield on debit for a +1,640% annual rate


CRM publishes earnings on Tuesday after the closing bell.

I shall use the APR series of options, which trades for the last time 52 days hence, on April 21.

Implied volatility stands at 34%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.

CRM’s IV stands in the 64th percentile of its annual range and the 60th percentile of its most recent broad movement.

The price used for analysis was $81.01.

Premium: $6.58 Expire OTM iron fly
CRM   Odds Delta
Long 95.00 91.5% 11
Break-even 89.08
Short 82.50 58.5% 46
Short 82.50 41.6% 54
Break-even 75.92
Long 67.50 92.2% 6

The premium is 48% of the width of the position’s wings.

The risk/reward ratio is 1.3:1.

Decision for My Account

I have entered a position on CRM as described above. The stock at the time of entry was priced at $80.98.

By Tim Bovee, Portland, Oregon, Feb. 28, 2017

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