NVIDA Corp. (NVDA)
Update 5/15/2017: NVDA gapped sharply to the upside immediately after earnings were published and continued the rise for four trading days. I exited for a loss for a $15.14 debit.
Shares rose by 27.1% over six days, or a +1,650% annual rate. The options position produced a -1,149% annual rate.
NVDA 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 19.
Implied volatility stands at 49%, which is 4.9 times the VIX, a measure of the volatility of the S&P 500 index.
NVDA’s IV stands in the 66th percentile of its annual range and the 98th percentile of its most recent broad movement.
The price used for analysis was $104.19.
| Premium: | $8.68 | Expire OTM | |
| NVDA-iron fly | Strike | Odds | Delta |
| Calls | |||
| Long | 120.00 | 92.2% | 9 |
| Break-even | 113.68 | ||
| Short | 105.00 | 55.0% | 50 |
| Puts | |||
| Short | 105.00 | 45.0% | 50 |
| Break-even | 97.68 | ||
| Long | 89.00 | 87.8% | 10 |
The premium is 56% of the width of the position’s wings.
The risk/reward ratio is 0.8:1.
Decision for My Account
I have entered a position on NVDA as described above. The stock at the time of entry was priced at $104.15.
By Tim Bovee, Portland, Oregon, May 9, 2017
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