Deere & Co. (DE)
Update 5/22/2017; DE gapped sharply to the upside after earnings were published and stayed at that higher level for two subsequent days. I exited for a loss as the options approached expiration.
Shares rose by 8.2% over four days, o a +751% annual rate. The options position produced a -37.3% loss on debit for a -3,399% annual rate.
DE publishes earnings on Friday before the opening bell.
I shall use the series of monthly options that trade for the last time eight days hence, on May 26.
Implied volatility stands at 29%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.
DE’s IV stands in the 86th percentile of its annual range and the 88th percentile of its most recent broad movement.
The price used for analysis was $112.56.
The premium is 50% of the width of the position’s wings.
The risk/reward ratio is 1.2:1.
Decision for My Account
I have entered an order on DE as described above. The stock at the time of entry was priced at $112.73.
By Tim Bovee, Portland, Oregon, May 18, 2017