Cisco Systems Inc. (CSCO)
Update 5/22/2017: CSCO gapped sharply to the downside after earnings were published, and then traded sideways for three days. I exited for a loss as the options approached expiration.
Shares declined by 7.0% over five days, or a -555% annual rate. Tue options position produced a 49.4% loss on debit for a -3,603% annual rate.
CSCO publishes earnings on Wednesday after the closing bell.
I shall use the series of monthly options that trade for the last time nine days hence, on May 26.
Implied volatility stands at 22%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.
CSCO’s IV stands in the 66th percentile of its annual range and the 94th percentile of its most recent broad movement.
The price used for analysis was $33.97.
The premium is 47% of the width of the position’s wings.
The risk/reward ratio is 1.1:1.
Decision for My Account
I have entered a position on CSCO as described above. The stock at the time of entry was priced at $34.00
By Tim Bovee, Portland, Oregon, May 17, 2017