Snap Inc. (SNAP)
SNAP is in its ninth day of trading since its initial public offering, with the stock price showing the usual post-IPO instability.
Today is the third day that options have traded. The are quite liquid — no surprise for such a high profile offering — and today implied volatility is at the peak of the symbol’s short history and at a very high level compared to the the benchmark VIX.
I shall use the APR series of options, which trades for the last time 38 days hence, on April 21.
Implied volatility stands at 51%, which is 4.1 times the VIX, a measure of the volatility of the S&P 500 index.
SNAP’s IV stands in the 98th percentile its most recent broad movement.
The price used for analysis was $20.54.
|Premium:||$2.20||Expire OTM||iron fly|
The premium is 55% of the width of the position’s wings.
The risk/reward ratio is 0.8:1.
Decision for My Account
I have entered a direction-neutral position on SNAP as described above. The stock at the time of entry was priced at $20.54.
By Tim Bovee, Portland, Oregon, March 14, 2017