TRCO Analysis

Tribune Media Co. (TRCO)

TRCO publishes earnings on Wednesday before the opening 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 35%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.

TRCO’s IV stands in the 30th percentile of its annual range and the 99th percentile of its most recent broad movement.

The price used for analysis was $34.80.

Premium: -$1.85 Expire OTM iron fly
TRCO   Odds Delta
Calls
Long 49.23 91.5% 11
Break-even 32.38
Short 34.23 48.4% 56
Puts
Short 34.23 51.4% 44
Break-even 36.08
Long 14.23 87.2% 10

There are very few out-of-the-money strike prices on TRCO’s options grid: Four call strikes and six put strikes. I had to use the extremes of the grid for the long options in order to construct a trade.

And the result? A negative premium. Too amusing.

Decision for My Account

No surprise, I am passing on this trade, laughing with scorn as I reject it.

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

One thought on “TRCO Analysis

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