SPY Analysis

SPDR S&P 500 ETF (SPY)

Update 3/31/2017: SPY rose continually after I entered the position. I exited with 21 days before expiration and with the profit at 6% of its maximum potential. Further upward movement will make the position unprofitable.

My goal was 25% of the maximum, but I decided to eliminate the risk of a loss for two reasons.

First, the spread I constructed had quite a narrow profit zone. That’s what the options grid allowed. In retrospect, it might have been better to have simply passed on the trade.

Second, the Elliott wave analysis of short-term movements presents an uncertain view of the future. I count the price as having being in an A wave upward retracement of a 3rd wave to the downside within a higher-level downward movement that began on March 1. The upward thrust has retraced a Fibonoacci 61.8% of the 3rd wave, reaching a common reversal point.

SPY
SPY 3/31/2017

Fibonacci retracements come with no guarantees. Moreover, a 4th wave like as not will take a sideways form, such as a Flat. Rather than risk the loss, it made more sense to me to take what profits I could and come back another day with a structure more likely to succeed.

Shares rose by 1.2% over seven days, or a +64% annual rate. The options position produced a 6.4% yield on debit for a +336% annual rate.


 

SPY’s implied volatility has risen to a relatively high level within a very narrow range.

I shall use the apr series of options, which trades for the last time 28 days hence, on April 21.

Implied volatility stands at 13% and, by definition, is nearly identical with the VIX, a measure of the volatility of the S&P 500 index.

SPY’s IV stands in the 21st percentile of its annual range and the 79th percentile of its most recent broad movement.

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MU Analysis

Micron Technology Inc. (MU)

Update 4/4/2017: MU gapped upward after earnings were published and then fluctuated within a narrow sideways band. I considered the pattern to be unlikely to return to profitability prior to expiration and I exited.

At the close shares were up 8.2% over 12 days, or a +249% annual rate. The options position produced an 11.8% loss on debit for a -360% annual rate.


 

MU publishes earnings on Thursday after the closing bell.

I shall use the APR series of options, which trades for the last time 29 days hence, on April 21.

Implied volatility stands at 49%, which is 3.9 times the VIX, a measure of the volatility of the S&P 500 index.

MU’s IV stands in the 37th percentile of its annual range and the 56th percentile of its most recent broad movement.

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GME Analysis

GameStop Corp. (GME)

Update 4/10/2017: GME gapped sharply to the downside after earnings were published and never returned to profitability. I exited for a loss 12 days before the position expired.

Shares declined b6 8.4% over 18 days, or a -170% annual rate. The options position produced a -9.1% loss on debit for a -183% annual rate.


 

GME publishes earnings on Thursday after the closing bell.

I shall use the APR series of options, which trades for the last time 29 days hence, on April 21.

Implied volatility stands at 43%, which is 3.4 times the VIX, a measure of the volatility of the S&P 500 index.

GME’s IV stands in the 62nd percentile of its annual range and the 60th percentile of its most recent broad movement.

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NKE Analysis

NIKE Inc. (NKE)

Update 3/28/2017: NKE gappd downward after publishing earnings and then in ensuing days gradually retraced more than half of the loss. I exited at my target of 25% of maximum potential profit.

Since I entered the position, shares have seen a net loss of 3.2%, or a -165% annual rate. The options position produced a 33.2% yield on debit for a +1,730% annual rate.


 

NKE publishes earnings on Tuesday after the closing bell.

I shall use the APR series of options, which trades for the last time 31 days hence, on April 21.

Implied volatility stands at 28%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

NKE’s IV stands in the 54th percentile of its annual range and the 59th percentile of its most recent broad movement.

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FDX Analysis

FedEx Corp. (FDX)

Update 3/22/2017FDX rose slightly and implied volatility declined sharply on the first trading day after earnings were published, bringing the options above my target of 25% of maximum potential profit. I exited.

Shares rose by 0.05% over one day, or a 19% annual rate. The options position produced a 27.9% yield on debit for a +10,192% annual rate


 

FDX publishes earnings on Tuesday after the closing bell.

I shall use the APR series of options, which trades for the last time 31 days hence, on April 21.

Implied volatility stands at 28%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

FEX’s IV stands in the 73rd percentile of its annual range and the 91st percentile of its most recent broad movement.

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