Activision Blizzard Inc. (ATVI)
Update 5/5/2017: ATVI gapped to the upside and then retreated somewhat after earnings were published, moving beyond my target and allowing me to exit at 41.6% of maximum potential profit.
Shares showed a net rise of 1.6% over one day, or a +575% annual rate. The options position produced a +71.4% yield on debit for a +26,043 annual rate
ATVI publishes earnings on Thursday after the closing bell.
I shall use the series of monthly options that trade for the last time 15 days hence, on May 19. Although at this point I would prefer the May 12 weeklys, which expire in eight days, the earlier series lacks sufficiently open interest to support a trade.
Implied volatility stands at 33%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.
ATVI’s IV stands in the 72nd percentile of its annual range and the 82nd percentile of its most recent broad movement.
Tesla Inc. (TSLA)
TSLA publishes earnings on Wednesday after the closing bell.
I shall use the series of weekly options that trade for the last time nine days hence, on May 12.
Implied volatility stands at 41%, which is 3.8 times the VIX, a measure of the volatility of the S&P 500 index.
TSLA’s IV stands in the 40th percentile of its annual range and the 79th percentile of its most recent broad movement.
Facebook Inc. (FB)
Update 5/4/2017: FB gapped to the downside after earnings were published, bringing it slightly below the strike prices of the short options and bringing the gain to 34.6% of maximum potential profit, well above my target of 25%. I exited.
Shares declined by -1.5% over one day, or a -557% annual rate. The options position produced a 53.0% yield on debit for a +19,349% annual rate.
FB publishes earnings on Wednesday after the opening bell.
I shall use the series of weekly options that trade for the last time nine days hence, on May 12.
Implied volatility stands at 25%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.
FB’s IV stands in the 059th percentile of its annual range and the 91st percentile of its most recent broad movement.
5/3 – 3:20 p.m. New York time
Today’s outcomes: I entered a new position on FB and exited positions on AAPL and GILD, updating their analyses with results.
I analyzed TSLA but rejected the trade.
KRE has an exit order at its target price and I shall update its analysis after the close if it is filled, which seems unlikely at this point.
Gilead Sciences Inc. (GILD)
Update 5/3/2017: GILD fell sharply after earnings were published and then traced a zig-zag pattern only slightly above its low in the decline. I exited a 24.9% of maximum potential profit.
Shares declined by7 2.9% over one day, or a -1,042% annual rate. The options positoin produced a +33.2% yield on debit for a +12,114% annual rate
GILD 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 12.
Implied volatility stands at 29%, which is 2.8 times the VIX, a measure of the volatility of the S&P 500 index.
GILD’s IV stands in the 63rd percentile of its annual range and the peak of its most recent broad movement.
Apple Inc. (AAPL)
Update 5/3/2017: AAPL declined rapidly after earnings were published and then, just as rapidly, reclaimed most of the loss, ending up shortly below the short-option strike options. A sharp drop in implied volatility broad the position to my target price, and I exited at 25% of maximum potential profit.
Shares showed a net decline of 1.4% over one day, or a -493% annual rate. The options position produced a 33.4% yield on debit for a +12,197% annual rate.
AAPL 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 12.
Implied volatility stands at 21%, which is 2.1 times the VIX, a measure of the volatility of the S&P 500 index.
AAPL’s IV stands in the 59th percentile of its annual range and the 89th percentile of its most recent broad movement.
Pfizer Inc. (PFE)
PFE 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 12.
Implied volatility stands at 15%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.
PFE’s IV stands well below my standards in its annual range, at the 5th percentile.. Relative to its most recent broad movement, volatility stands in the 53rd percentile, which meets my standards.
Tim Bovee, Private Trader 
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