Snap Inc. (SNAP)

Update 5/15/2017: SNAP gapped sharply to the downside after earnings were published and then rose for three subsequent trading days, partially mitigating the loss. I exited for a loss for a $3.75 debit.

Shares declined by 13.7% over five days, or a -1,003% annual rate. The options position produced a -15.7% loss on debiy for a -1,149% annual rate.

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SNAP publishes earnings on Thursday after the closing bell.

I shall use the series of weekly options that trade for the last time eight days hence, on May 19.

Implied volatility stands at 74%, which is 7.4 times the VIX, a measure of the volatility of the S&P 500 index.

SNAP’s IV stands at its peak since the stock began trading publicly on March 2.

The price used for analysis was $23.03.

Premium:	$3.20	Expire OTM
SNAP-iron fly	Strike	Odds	Delta
Long	30.00	94.7%	8
Break-even	26.70
Short	23.50	57.8%	49
Puts
Short	23.50	42.2%	50
Break-even	20.20
Long	17.00	92.7%	5

The premium is 49% of the width of the position’s wings.

The risk/reward ratio is 1:1.

Decision for My Account

I have entered a position on SNAP as described above. The stock at the time of entry was priced at $23.03.

By Tim Bovee, Portland, Oregon, May 10, 2017