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
Puts
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