The PNC Financial Services Group Inc. (PNC)
PNC 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.
PNC’s IV stands in the 43rd percentile of its annual range and the 99th percentile of its most recent broad movement.
The price used for analysis was $116.96.
| Premium: | $6.80 | Expire OTM | |
| PNC – iron fly | Strike | Odds | Delta |
| Calls | |||
| Long | 130.00 | 92.8% | 8 |
| Break-even | 121.80 | ||
| Short | 115.00 | 44.3% | 59 |
| Puts | |||
| Short | 115.00 | 56.3% | 40 |
| Break-even | 108.20 | ||
| Long | 105.00 | 86.1 | 12 |
The premium is 90% of the width of the position’s wings.
The risk/reward ratio is 1.2:1.
Decision for My Account
I am passing on this trade. It’s hard to set up a reasonable trade structure because the strikes are $5 apart on a low-priced stock compared to many.
By Tim Bovee, Portland, Oregon, April 12, 2017
Tim Bovee, Private Trader 
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