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.
|JPM – iron condor||Strike||Odds||Delta|
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