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.
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