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
Tim Bovee, Private Trader 
[…] entered four new positIons: TJX, HD, SINA and XOP. I analyzed OAS but rejected the trade, and declined to analyze XRT as its implied volatility fell below my 50th […]
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