Ciena Corp. (CIEN)

Update 3/21/2017: CIEN gapped down sharply immediately after earnings were published and declined further for five trading days before settling on a plateau. I exited at 26.9% of maximum potential profit.

Shares declined by 6.4% over 14 days, or a -166% annual rate. The options position produced a 36.8% yield on debit for a +595% annual rate.

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CIEN publishes earnings on Wednesday before the opening bell.

I shall use the APR series of options, which trades for the last time 45 days hence, on April 21.

Implied volatility stands at 48%, which is  4.3 times the VIX, a measure of the volatility of the S&P 500 index.

CIEN’s IV stands in the 55th percentile of its annual range and the 76th percentile of its most recent broad movement.

The price used for analysis was $25.99.

Premium:	$2.79	Expire OTM	iron fly
CIEN		Odds	Delta
Calls
Long	32.00	93.0%	9
Break-even	28.79
Short	26.00	52.7%	53
Puts
Short	26.00	47.4%	47
Break-even	23.21
Long	20.00	93.2%	5

The premium is 47% of the width of the position’s wings.

The risk/reward ratio is 1.2:1.

Decision for My Account

I have entered a position on CIEN as described above. The stock at the time of entry was priced at $26.01.

By Tim Bovee, Portland, Oregon, March 7, 2017