3/20 – 3:27 p.m. New York time
My prospect, GIS, never reached sufficiently high implied volatility to support a trade. My exit order on DG has not yet been filled, although I shall leave it active until the closing bell.
3/20 – 10:40 a.m. New York time
GIS — the one earnings announcement on my calendar this morning — continues to show implied volatility that is too low to meet my standards.
The symbol’s IV stands in the 30th percentile of its annual range and the 23rd percentile of its most recent broad movement. I require the 50th percentile for at least one of the metrics.
I shall continue to keep an eye on GIS to see if the IV rises sufficiently to warrant further analysis. At this point any expectation that it will do so seems to be a stretch.
I have placed an order to exit DG at my target price, but it has not yet been filled.
3/19 – 10:30 a.m. New York time
GIS publishes earnings Tuesday before the opening bell and so is a prospective trade for Monday. Although it is sufficiently liquid for a trade, its implied volatility is well below the 50th percentile level I prefer, both of the annual range and the most recent broad movement.
I’m unlikely to give it an analysis unless the IV rises to the 50th percentile of at least one of the ranges, but I shall look at it again on Monday to see where the metric stands.
By Tim Bovee, Portland, Oregon, March 19-20, 2017