SNAP Analysis

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.

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
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

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