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.
|C – iron fly||Strike||Odds||Delta|
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