Palo Alto Networks Inc. (PANW)
Update 6/2/2017: PANW gapped sharply higher after earnings were published, putting it beyond reach of profitability in the week before options expiration. I took the loss.
Shares rose by 16.6% over two days, or a +3,029% annual rate. Tye options position produced a -40.3% loss on debit for a -7,354% annual rate.
PANW publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time nine days hence, on June 9.
Implied volatility stands at 48%, which is 4.3 times the VIX, a measure of the volatility of the S&P 500 index.
PANW’s IV stands in the 84th percentile of its annual range and the 78th percentile of its most recent broad movement.