GS Analysis

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

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