International Business Machines Corp. (IBM)

Update 5/15/2017: IBM gapped down sharply immediately after earnings were published and did it again 12 trading days later, placing the position squarely in the loss territory. As expiration approached I exited for a $14.93 debit.

Shares declined by 11.4% over 27 days, or a -154% annual rate. The options position produced a 52.2% loss on debit for a -706% annual rate.

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IBM publishes earnings on Tuesday after the closing bell.

I shall use the MAY series of options, which trades for the last time 31 days hence, on May 19.

Implied volatility stands at 21%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.

IBM’s IV stands in the 46th percentile of its annual range and the 96th percentile of its most recent broad movement.

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Abbott Laboratories (ABT)

Update 5/1/2017: ABT rose over four days after earnings were published and then, in retracing the decline, reached my target price. I exited at 25.2% of maximum potential profit.

Shares showed a net rise of 0.08% over 13 days, or a +2.3% annual rate. The options position produced a 33.6% yield on debit for a +944% annual rate. 

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ABT publishes earnings on Wednesday before the opening bell.

I shall use the MAY series of options, which trades for the last time 31 days hence, on May 19.

Implied volatility stands at 21%, which is 1.4 times the VIX, a measure of the volatility of the S&P 500 index.

ABT’s IV stands in the 38th percentile of its annual range and the 72nd percentile of its most recent broad movement.

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4/18 – 3:25 p.m. New York time

I entered ew positions on ABT and IBM. My attempt to exit HOG has not been filled and seems unlikely to be filled before the closing bell. I shall leave it alive for the rest of the trading day and update if it goes through.

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Regions Financial Corp. (RF)

Update 4/25/2017: RF whipsawed for a slight decline after earnings were published and then declined the day thereafter, then reversed to the upside, allowing at exit at my target of 25% of maximum potential profit. 

Shares rose by 0.7% over eight days, or a +31% annual rate. The options position produced a 33.3% yield on debit for a +1,521% annual rate.

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RF publishes earnings on Tuesday before the opening bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 36%, which is 2.4 times the VIX, a measure of the volatility of the S&P 500 index.

RF’s IV stands in the 35th percentile of its annual range and the 96th percentile of its most recent broad movement.

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Netflix Inc. (NFLX)

NFLX publishes earnings on Monday after the closing bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 43%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

NFLX’s IV stands in the 48th percentile of its annual range and the 95th percentile of its most recent broad movement.

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United Continental Holdings Inc. (UAL)

Update 4/25/2017: UAL whipsawed with a decline after earnings were published, and then rose to profitability. I exited at my target, 25% of maximum potential profit.

Shares rose by 1.6% over eight days, or a +71% annual rate. The options position produced a 33.4% yield on debit for a +1,525% annual rate.

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UAL publishes earnings on Monday after the closing bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 35%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

UAL’s IV stands in the 23rd percentile of its annual range and the 67th percentile of its most recent broad movement.

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Harley-Davidson Inc. (HOG)

Update 4/26/2017:

HOG declined sharply after earnings were published and then retained sufficient ground to the upside that, along with declining implied volatility and time decay, allowed it to become profitable. I exited at my target price of 25% of maximum potential profit.

Shares declined by 4.5% over nine days, or a -184% annual rate. The options position produced a 33.1% yield on debit for a +1,344% annual rate

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HOG publishes earnings on Tuesday before the opening bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 40%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.

HOG’s IV stands in the 46th percentile of its annual range and the 95th percentile of its most recent broad movement.

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The Goldman Sachs Group Inc. (GS)

GS publishes earnings on Tuesday before the opening bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 26%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.

GS’s IV stands in the 33rd percentile of its annual range and the 72nd percentile of its most recent broad movement.

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Bank of America Corp. (BAC)

Update 5/15/2017: BAC rose sharply beginning on the 5th trading day after earnings were published, gapping on two consecutive days and rapidly becoming unprofitable. As expiration approached, I exited the position for a $3.10 debit.

Shares rose by 6.6% over 28 days, or a +86% annual rate. The options position produced a -23.6% loss on debit for a -308% annual rate.

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BAC publishes earnings on Tuesday before the opening bell.

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.

Implied volatility stands at 30%, which is double the VIX, a measure of the volatility of the S&P 500 index.

BAC’s IV stands in the 33rd percentile of its annual range and the 77th percentile of its most recent broad movement.

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4/17 – 3:00 p.m. New York time

I entered four new positions today: BAC, HOG, RF and UAL I analyzed two others but rejected them on risk/reward ratio grounds: GS and NFLX.

I exited JPM for a profit.

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