OAS Analysis

Oasis Petroleum Inc. (OAS)

OAS publishes earnings on Monday after the closing bell.

I shall use the series of monthly options that trade for the last time 32 days hence, on June 16.

Implied volatility stands at 53%, which is 5.2 times the VIX, a measure of the volatility of the S&P 500 index.

OASIS’s IV stands in the 32nd percentile of its annual range and the 70th percentile of its most recent broad movement.

The price used for analysis was $12.02.

Premium: $1.25 Expire OTM  
OAS-iron fly Strike Odds Delta
Long 15.00 93.2% 9
Break-even 13.25
Short 12.00 52.7% 54
Puts
Short 12.00 47.3% 46
Break-even 11.25
Long 10.00 83.-% 13

The premium is 50% of the width of the position’s wings.

The risk/reward ratio is 1.4:1.

Decision for My Account

I am passing on OAS. The grid forces me to assume a higher risk/reward ratio than I like when using the iron fly structure. I prefer to keep it at 1.2:1 or better.

By Tim Bovee, Portland, Oregon, May 15, 2017

One thought on “OAS Analysis

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s