CIEN Analysis

Ciena Corp. (CIEN)

Update 6/2/2017: CIEN rose sharply into unprofitable territory, with little hope of becoming profitable in the week before expiration. I took the loss.

Shares showed a net rise of 17.2% over two days, or a +3,129% annual rate. The options position produced a -47.3% loss on debit for a -8,632% annual rate.

CIEN publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on June 9.

Implied volatility stands at 47%, which is 4.3 times the VIX, a measure of the volatility of the S&P 500 index.

CIEN’s IV stands in the 59th percentile of its annual range and the 85th percentile of its most recent broad movement.

The price used for analysis was $23.53.

Premium: $1.95 Expire OTM  
CIEN-iron fly Strike Odds Delta
Long 27.50 92.9% 9
Break-even 25.45
Short 23.50 51.5% 53
Short 23.50 48.6% 47
Break-even 21.45
Long 19.50 92.7% 6

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

The risk/reward ratio is 1.1:1.

Decision for My Account

I have entered an order on CIEN as described above. The stock at the time of entry was priced at $23.56.

By Tim Bovee, Portland, Oregon, May 31, 2017


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