CVX Analysis

Chevron Corp. (CVX)

Update 4/28/2017: CVX rose sharply after earnings wee published and then dropped back to near the short options strike prices, allowing me to exit at 29.5% of maximum potential profit.

Shares showed a net rise of 0.8% over one day, or a +288% annual rate. The options position produced a 41.9% yield on debit for a +15,306% annual rate.


CVX publishes earnings on Friday before the opening bell.

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

Implied volatility stands at 20%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.

CVX’s IV stands in the 51st percentile of its annual range and the 78th percentile of its most recent broad movement.

The price used for analysis was $105.64.

Premium: $2.20 Expire OTM  
CVX-iron condor Strike Odds Delta
Long 111.00 92.4% 8
Break-even 108.20
Short 106.00 55.3% 46
Short 105.00 55.3% 43
Break-even 102.20
Long 100.00 90.8% 9

The premium is 44% of the width of the position’s wings.

The risk/reward ratio is 13:1.

Decision for My Account

I have entered a position on CVX as described above. The stock at the time of entry was priced at $105.63.

By Tim Bovee, Portland, Oregon, April 27, 2017

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