Foot Locker Inc. (FL)
FL publishes earnings on Friday before the opening bell.
I shall use the series of monthly options that trade for the last time 29 days hence, on June 16.
Implied volatility stands at 33%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
FL’s IV stands in the 69th percentile of its annual range and the 98th percentile of its most recent broad movement.
The price used for analysis was $70.64.
The premium is 78% of the width of the position’s wings.
The risk/reward ratio is 1:1.
Decision for My Account
The grid was a bit tricky to work with, given the distribution of the strikes in relation to delta, but nonetheless I have entered an order on FL as described above. The stock at the time of entry was priced at $70.73.
By Tim Bovee, Portland, Oregon, May 18, 2017