The Goldman Sachs Group Inc. (GS)
GS publishes earnings on Tuesday before the opening bell.
I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.
Implied volatility stands at 26%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.
GS’s IV stands in the 33rd percentile of its annual range and the 72nd percentile of its most recent broad movement.
The price used for analysis was $224.78.
| Premium: | $5.91 | Expire OTM | |
| GS-iron condor | Strike | Odds | Delta |
| Calls | |||
| Long | 245.00 | 90.0% | 11 |
| Break-even | 230.91 | ||
| Short | 225.00 | 52.3% | 51 |
| Puts | |||
| Short | 220.00 | 59.9% | 37 |
| Break-even | 214.09 | ||
| Long | 200.00 | 89.8% | 9 |
The premium is 30% of the width of the position’s wings.
The risk/reward ratio is 2.4:1.
Decision for My Account
I’m passing on this trade on account of an outsized amount of risk. The stock at the time of decision was priced at $224.75.
By Tim Bovee, Portland, Oregon, April 17, 2017
Tim Bovee, Private Trader 
[…] today: BAC, HOG, RF and UAL I analyzed two others but rejected them on risk/reward ratio grounds: GS and […]
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