Teva Pharmaceutical Industries Ltd. (TEVA)
Update 5/11/2017: TEVA zig-zagged sharply in response to its earnings announcement. I exited at a $1.25 debit, or 29.4% of maximum potential profit.
Shares were down 1.7% over a day, or a -627% annual rate. The options position produced a 41.6% yield on debit for a +15,184% annual rate.
TEVA publishes earnings on Thursday before the opening 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 39%, which is 3.9 times the VIX, a measure of the volatility of the S&P 500 index.
TEVA’s IV stands in the 54th percentile of its annual range and the peak of its most recent broad movement.
The price used for analysis was $31.04.
The premium is 51% 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 TEVA as described above. The stock at the time of entry was priced at $31.41.
By Tim Bovee, Portland, Oregon, May 10, 2017