KRE Analysis

SPDR KBW Regional Banking ETF (KRE)

Update 7/3/2017: KRE rose for four days after I entered the position, settling into a three-day sideways movement in unprofitable territory. I exited the week the options were due to expire.

Shares rose by 4.34% over 10 days, or a +158% annual rate. The options position produced a -32.7% loss on debit for a -1,195% annual rate.

KRE has sufficiently high implied volatility to qualify for analysis and possibly a trade.

I shall use options that trade for the last time 14 days hence, on July 7.

Implied volatility stands at 25%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.

KRE’s IV stands in the 36th percentile of its annual range and the 60th percentile of its most recent broad movement.

The price used for analysis was $53.08.

Premium: $1.48 Expire OTM  
KRE-iron fly Strike Odds Delta
Long 56.00 90.6% 10
Break-even 54.48
Short 53.00 50.5% 51
Short 53.00 49.5% 49
Break-even 51.48
Long 50.00 86.9% 12

The premium is 49% 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 KRE as described above. The stock at the time of entry was priced at $53.04.

By Tim Bovee, Portland, Oregon, June 23, 2017


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.

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