X Analysis

United States Steel Corp. (X)

Update 5/1/2017: X gapped to the downside after earnings were published and continued to decline thereafter. I exited for a loss as options expiration approached.

Shares declined by 29.7% over six days, or a -1,748% annual rate. The options position produced a -47.4% loss on debit  for a -2,993% annual rate.


 

X 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 59%, which is 5.5 times the VIX, a measure of the volatility of the S&P 500 index.

X’s IV stands in the 34th percentile of its annual range and the 52nd percentile of its most recent broad movement.

The price used for analysis was $31.20.

Premium: $2.42 Expire OTM  
X iron fly Strike Odds Delta
Calls
Long 36.50 36.5% 10
Break-even 33.42
Short 31.00 51.3 53
Puts
Short 31.00 49.1% 47
Break-even 28.92
Long 26.50 90.5% 8

The premium is 48% of the width of the position’s wings.

The risk/reward ratio is 1.3:1.

Decision for My Account

I have entered a position on X as described above. The stock at the time of entry was priced at $31.09.

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

2 thoughts on “X Analysis

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