SJM Analysis

SJM Smucker Co. (SJM)

Update 6/8/2017: SJM gapped sharply higher after earnings were published and then fell below its pre-earnings close I exited on the the way down slightly above my entry price, at 36% of maximum potential profit.

Shares showed a net increase of 0.6% from my entry to exit the next day, or a 210% annual rate. The options position produced a 56.4% yield on debit for a +20,566% annual rate.

SJM publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on June 16.

Implied volatility stands at 24%, which is  2.3 times the VIX, a measure of the volatility of the S&P 500 index.

SJM’s IV stands in the  59th percentile of its annual range and in the 96th percentile of its most recent broad movement.

The price used for analysis was $129.94.

Premium: $5.05 Expire OTM  
SJM-iron fly Strike Odds Delta
Long 140.00 90.8% 10
Break-even 135.05
Short 130.00 50.8% 52
Short 130.00 49.3% 48
Break-even 125.05
Long 120.00 89.4% 10

The premium is 51% 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 SJM as described above. The stock at the time of entry was priced at $130.12.

By Tim Bovee, Portland, Oregon, June 7, 2017


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