AutoZone Inc. (AZO)
AZO publishes earnings on Tuesday before the opening bell.
I shall use the series of monthly options that trade for the last time 25 days hence, on June 19.
Implied volatility stands at 25%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
AZO’s IV stands in the 77th percentile of its annual range and the 78th percentile of its most recent broad movement.
Apple Inc. (AAPL)
Update 6/2/2017: I entered AAPL as the price began a steady sideways move in order to take advantage of time decay. The position did not disappoint. I exited at 25.1% of maximum potential profit, a bit above my target price.
Shares showed a net decline of 0.2% over 11 days, or a -8% annual rate. The options produced a 33.4% yield on debit for a +1,109% annual rate.
AAPL has sufficiently high implied volatility for consideration as a volatility play.
I shall use the series of monthly options that trade for the last time 25 days hence, on June 16.
Implied volatility stands at 19%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.
AAPLs IV stands in the 47th percentile of its annual range and the 64th percentile of its most recent broad movement.
5/22 – 3:30 p.m. New York time
I entered a position on AAPL as a volatility play without an associated earnings announcement. My analyze of AZO showed it to be a reasonable trade, although I passed on it for my accounts because of the high price per contract.
In addition to the five exits this morning — EWZ, LB, XOP CSCO and DE — an exit order on TJX was filled late in the trading day. All analyses have been updated with results.
I have an exit order in on CPB that has not yet been filled. I shall leave it active until the losing bell and update if the order goes through.
The gross domestic product statistics providing a second estimate for the 1st quarter will be published on Friday at 8:30 a.m. New York time. Durable goods orders will be released concurrently.
Two real estate reports will punctuate the week: New home sales on Tuesday and the far larger existing home sales on Wednesday, each at 10 a.m.
Also out: the Purchasing Managers Institute composite flash report on Wednesday at 9:45 a.m., Federal Open Market Committee minutes from the May 2-3 meeting on Wednesday at 2 p.m. and international trade in goods on Thursday at 8:30 a.m.
iShares MSCI Brazil Index (EWZ)
Update 5/22/2017: EWZ fell slightly after I entered this short-term position. Implied volatility held steady, and time decay brought the position into profitability. I exited as expiration approached, at 5.9% of maximum potential profit.
Shares showed a net declined of 2.3% over three days, or a -275% annual rate. Tye options position produced a +6.3% yield on debit for a +760.42% annual rate.
EWZ is showing high implied volatility relative to both its annual range and its most recent movement.
I shall use the series of monthly options that trade for the last time seven days hence, on May 26.
Implied volatility stands at 45%, which is 3.7 times the VIX, a measure of the volatility of the S&P 500 index.
EWZ’s IV stands in the 79th percentile of its annual range and the 75th percentile of its most recent broad movement.
Campbell Soup Co. (CPB)
Update 5/30/2017: CPB whipsawed after earnings were published, quickly declining from my entry point and then reversing to climb above my entry point. It then fell again, and I exited at about the point where I entered, at . Time decay took care of the work of producing a profit of 24.9% of its potential maximum.
Shares showed a net rise of 0.8% over 12 days, or a +23% annual rate. The options position produced a +33.2% yield on debit for a +1,008% annual rate.
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.
Foot Locker Inc. (FL)
Update 6/9/2017: FL gapped $10 to the downside after earnings were published and fell a bit ore than $4 more in the ensuing two weeks before I took the loss.
Shares decliend by 23.2% over 22 days, or a -384% annual rate. The options position produced a -147.6% loss on debit for a -2,448% annual rate.
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.
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.
Tim Bovee, Private Trader 
You must be logged in to post a comment.