NTAP Analysis

NetApp Inc. (NTAP)

Update 5/25/2017: NTAP rose after earnings were published, and I exited at 47.1% of maximum potential profit.

Shares rose by 0.4% over one day, or a +143% annual rate. The options position produced an 89.2% yield on debit for a +32,539% annual rate.

NTAP 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 June 2.

Implied volatility stands at 36%, which is 3.4 times the VIX, a measure of the volatility of the S&P 500 index.

NTAP’s IV stands in the 53rd percentile of its annual range and the 79th percentile of its most recent broad movement.

The price used for analysis was $39.56.

Premium: $2.44 Expire OTM  
NTAP-iron fly Strike Odds Delta
Long 44.50 92.3% 9
Break-even 41.94
Short 39.50 50.9% 53
Short 39.50 49.1% 47
Break-even 36.94
Long 34.50 91.3% 7

The premium is 49% of the width of the position’s wings.

The risk/reward ratio is 1:1.

Decision for My Account

I have entered an order on NTAP as described above. The stock at the time of entry was priced at $39.60

By Tim Bovee, Portland, Oregon, May 24, 2017

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