C Analysis

Citigroup Inc. (C)

Update 4/19/2017: C gapped to the downside after earnings were published and then rose back to profitable levels. I exited at 18.2% of maximum potential profit.

Shares declined by 0.9% over seven days, or a -47% annual rate. The options position produced a 22.2% yield on debit for a +1,159% annual rate


C publishes earnings on Thursday before the opening bell.

I shall use the MAY series of options, which trades for the last time 37 days hence, on May 19.

Implied volatility stands at 27%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.

C’s IV stands in the 26th percentile of its annual range and the 93rd percentile of its most recent broad movement.

The price used for analysis was $59.90.

Premium: $3.41 Expire OTM  
C – iron fly Strike Odds Delta
Long 65.00 92.1% 9
Break-even 60.91
Short 57.50 40.1% 63
Short 57.50 59.4% 37
Break-even 54.09
Long 52.50 87.3% 11

The premium is 55% of the width of the position’s wings.

The risk/reward ratio is 1.2:1.

Decision for My Account

The stock at the time of entry was priced at $58.90.

By Tim Bovee, Portland, Oregon, April 12, 2017

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