AMGN Analysis

Amgen Inc. (AMGN)

Update 4/27/2017: AMGN gapped sharply to the downside after earnings were published and then moved sharply to the upside, back into winning territory. I exited at 38.4% maximum potential profit.

Shares showed a net decline of 0.9% over one day, or a -321% annual rate. The options position produced a 63.3% yield on debit for a +22,738% annual rate


 

AMGN publishes earnings on Wednesday after the closing bell.

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

Implied volatility stands at 22%, which is 2.1 times the VIX, a measure of the volatility of the S&P 500 index.

AMGN’s IV stands in the 38th percentile of its annual range and the 59th percentile of its most recent broad movement.

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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.

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T Analysis

AT&T Inc. (T)

Update April 26, 2017: T rose after earnings were published and remained within the zone of maximum profit. That positioning within the structure of the trade, combined with a sharp declined in implied volatility, brought me close enough to my goal to exit.

Shares rose by 0.7% over one day, or a 247% annual rate. The options position produced a 32.7% yield on debit for a +11,918% annual rate.


 

T 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 46%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.

T’s IV stands in the 43rd percentile of its annual range and the 96th percentile of its most recent broad movement.

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CREE Analysis

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.

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CAT Analysis

Caterpillar Inc. (CAT)

Updte 5/1/2017: CAT gapped sharply to the upside after earnings were published and continued trading largely above the initial gap. I exited for a loss as the options neared expiration.

Shares showed a net rise of 5.3% over seven days, or a +276% annual rate. The options position produced a 30.7% loss on debit for a -1,601% annual rate.


 

CAT publishes earnings on Tuesday before the opening bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 5.

Implied volatility stands at 26%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

CAT’s IV stands in the 51st percentile of its annual range and the 50th percentile of its most recent broad movement.

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KO Analysis

The Coca-Cola Co. (KO)

KO publishes earnings on Tuesday before the opening bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 5.

Implied volatility stands at 14%, which is 1.2 times the VIX, a measure of the volatility of the S&P 500 index.

KO’s IV stands in the 39th percentile of its annual range and the 67th percentile of its most recent broad movement.

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