JPM Analysis

JPMorgan Chase & Co. (JPM)

Update 4/17/2017: JPM fell after earnings were announced, the day before a three-day holiday weekend, and then recovered most of its loss after the holiday. I exited slightly below my target of 25% of maximum potential profit in order to clear space in my account for new trades. At exit the price was at 22.6% of max profit.

Shares decliend by 0.3% over five days for a 24% annual rate. The options posiion produced a 29.1% yield on debit for a +2,127% annual rate


JPM 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 25%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.

JPM’s IV stands in the 42nd percentile of its annual range and the peak of its most recent broad movement.

The price used for analysis was $85.50.

Premium: $2.97 Expire OTM  
JPM – iron condor Strike Odds Delta
Long 92.50 87.9% 14
Break-even 90.47
Short 87.50 64.1% 39
Short 85.00 51.2% 46
Break-even 82.03
Long 77.50 85.4% 13

The premium is 48% of the width of the position’s wings.

The risk/reward ratio is 1.5:1.

Decision for My Account

The stock at the time of entry was priced at $85.58.

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

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