Cree Inc. (CREE)

CREE publishes earnings on Tuesday after the closing bell.

I shall use the series of weekly options that trade for the last time 10 days hence, on May 5.

Implied volatility stands at 47%, which is 4.4 times the VIX, a measure of the volatility of the S&P 500 index.

CREE’s IV stands in the 85th percentile of its annual range and the 88th percentile of its most recent broad movement.

The price used for analysis was $25.04.

CREE’s grid, as it turns out, isn’t usable at this point, neither the weeklys grid expiring May 5 nor that of the monthlys expiring May 19. The bid/ask spread is overly high, and on the weeklys — my preferred vehicle — the bid hits zero at the strike price I would use for the long calls in an iron fly structure, compared to an ask of 38 cents. That’s way too high a spread, and with no bid rise, one that’s way too illiquid.

Decision for My Account

Given the nature of the options grid, as described above, I am passing on the trade.

By Tim Bovee, Portland, Oregon, April 25, 2017