KRE Analysis

SPDR KBW Regional Banking ETF (KRE)

Update 6/16/2017: KRE traded sideways during its short lifespan, and I exited at 4.9% of maximum potential profit.

Shares declined by 0.5% over two days, or a -83% annual rate. The options position produced a 5.2% yield on debit for a +946% annual rate.


KRE stands at a high level of implied volatility compared to its most recent trend and so is worth looking at more closely as a potential trade.

I shall use options that trade for the last time nine days hence, on June 23.

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

KRE’s IV stands in the  32nd percentile of its annual range and the 54th percentile of its most recent broad movement.

The price used for analysis was $55.03.

Premium: $1.42 Expire OTM  
KRE-iron fly Strike Odds Delta
Long 58.00 91.6% 9
Break-even 56.42
Short 55.00 44.6% 57
Puts
Short 55.00 54.0% 44
Break-even 53.42
Long 52.00 88.4% 11

The premium is 47% of the width of the position’s wings.

The risk/reward ratio is 1.1:1.

Decision for My Account

I have entered an order on KRE as described above. The stock at the time of entry was priced at $55.30.

By Tim Bovee, Portland, Oregon, June 14, 2017

Disclaimer

Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.

No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.

License
Creative Commons License

All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com.

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