Campbell Soup Co. (CPB)
CPB 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 23%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.
CPB’s IV stands in the 55th percentile of its annual range and the 89th percentile of its most recent broad movement.
The price used for analysis was $57.45.
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 CPB as described above. The stock at the time of entry was priced at $57.46.
By Tim Bovee, Portland, Oregon, May 18, 2017