CSX Analysis

CSX Corp. (CSX)

Update 4/20/2017: CSX gapped sharply higher after earnings were published. I exited for a loss.

Shares rose by 6.7% over one day, or a +2,458% annual rate. The options position produced a -46.5% loss on debit for a -16,974% annual rate


CSX publishes earnings on Wednesday after the closing bell.

I shall use the MAY series of options, which trades for the last time 30 days hence, on May 19.

Implied volatility stands at 35%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.

CSX’s IV stands in the 75th percentile of its annual range and the 64th percentile of its most recent broad movement.

The price used for analysis was $47.15.

Premium: $1.53 Expire OTM  
CSX-iron fly Strike Odds Delta
Long 50.00 89.5% 11
Break-even 48.53
Short 47.00 52 49.8
Short 47.00 50.0% 48
Break-even 45.47
Long 44.00 88.6% 10

The premium is  52% of the width of the position’s wings.

The risk/reward ratio is 0.9:1.

Decision for My Account

The stock at the time of entry was priced at $47.08.

By Tim Bovee, Portland, Oregon, April 19, 2017

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