Yelp Inc. (YELP)

Update 5/20/2017: YELP gapped sharply to the downside after earnings were published, and the short puts were assigned on May 10. I exited the resulting shares the next day, along with  the long puts and the short calls, leaving only nearly worthless long calls in the position. They expired without value on May 20.

Shares showed a net decline of 18.6% over 11 days, or a -619% annual rate. The options and shares from the assignment produced a -4.4% los son debit for a -146% annual rate.

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YELP publishes earnings on Tuesday after the closing bell.

I shall use the series of weekly options that trade for the last time 10 days hence, on May 19.

Implied volatility stands at 70%, which is seven times the VIX, a measure of the volatility of the S&P 500 index.

YELP’s IV stands in the 87th percentile of its annual range and the peak of its most recent broad movement.

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NVIDA Corp. (NVDA)

Update 5/15/2017: NVDA gapped sharply to the upside immediately after earnings were published and continued the rise for four trading days. I exited for a loss for a $15.14 debit.

Shares rose by 27.1% over six days, or a +1,650% annual rate. The options position produced a -1,149% annual rate.

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NVDA publishes earnings on Tuesday after the closing bell.

I shall use the series of weekly options that trade for the last time 10 days hence, on May 19.

Implied volatility stands at 49%, which is 4.9 times the VIX, a measure of the volatility of the S&P 500 index.

NVDA’s IV stands in the 66th percentile of its annual range and the 98th percentile of its most recent broad movement.

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The Walt Disney Co. (DIS)

Update 5/11/2017: DIS fell after earnings were published and then moved into a sideways correction. I exited at 18.7% of maximum potential profit.

Shares declined by 1.9% over two days, or a -339% annual rate. The options position produced a 23.1% yield ond ebit for a +4,206% annual rate.

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DIS publishes earnings on Tuesday after the closing bell.

I shall use the series of weekly options that trade for the last time 10 days hence, on May 19.

Implied volatility stands at 19%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.

DIS’s IV stands in the 52nd percentile of its annual range and the 76th percentile of its most recent broad movement.

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5/9 – 3:30 p.m. New York time

I entered three new positions, all timed to coincide with earnings announcements. They are DIS, NVDA and YELP. Also, I exited P for a profit.

I analyzed WIX but declined to take the trade.

My exit order on OAS at $0.65 has yet to be filled and appears unlikely to be. However, I shall leave the order live until the closing bell and update if it should be filled.

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Plains All American Pipeline LP (PAA)

PAA publishes earnings on Monday after the closing bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 19.

Implied volatility stands at 28%, which is 2.8 times the VIX, a measure of the volatility of the S&P 500 index.

PAA’s IV stands in the 28th percentile of its annual range and the 76th percentile of its most recent broad movement.

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Pandora Media Inc. (P)

Update 5/9/2017: P declined sharply immediately after earnings were published and I exited at 31.8% of maximum potential profit.

Shares declined by 2.0% over one day, or a -742% annul rate. The options position produced a 48.7% yield on debit for a +17,033% annual rate.

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P publishes earnings on Monday after the closing bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 19.

Implied volatility stands at 54%, which is 6.6 times the VIX, a measure of the volatility of the S&P 500 index.

P’s IV stands in the 51st percentile of its annual range and the 66th percentile of its most recent broad movement.

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Oasis Petroleum Inc. (OAS)

Update 5/12/2017: OAS rose after earnings were published and then moved sideways. I found it difficult in repeated attempts to get a fill, even when my bid was beyond the midpoint toward the ask side of the bid/ask spread. As expiration approached I decided to meet the ask of $0.77, even though it meant exiting at 14.4% of maximum potential profit, below my target.

Shares declined by 2.5% over four days, or a -229% annual rate. The options position produced a +16.9% yield on debit for a +1,541% annual rate

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OAS publishes earnings on Monday after the closing bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 19.

Implied volatility stands at 59%, which is 6.1 times the VIX, a measure of the volatility of the S&P 500 index.

OAS’s IV stands in the 38th percentile of its annual range and the 59th percentile of its most recent broad movement.

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5/8 – 3:30 p.m. New York time

I entered new positions on OAS and P timed to coincide with earnings, and exited my position on AMD for a loss.

I attempted an exit of KRE, but the order has not yet been filled and I don’t expect it to be. I shall post an update if it should be filled by the closing bell.

I analyzed PAA but declined to take the trade, and

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Two price reports headline the week: The consumer price index on Friday at 8:30 a.m. New York time and the producer price index on Thursday, also at 8:30 a.m.

Also out, retail sales on Friday at 8:30 a.m.

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TransDigm Group Inc. (TDG)

TDG publishes earnings on Monday before the opening bell.

I shall use the series of weekly options that trade for the last time 14 days hence, on May 19.

Implied volatility stands at 44%, which is 4.2 times the VIX, a measure of the volatility of the S&P 500 index.

TDG’s IV stands in the 59th percentile of its annual range and the 79th percentile of its most recent broad movement.

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