CAG Analysis

Conagra Brands Inc. (CAG)

CAG publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time 23 days hence, on July 21.

Implied volatility stands at 29%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

CAG’s IV stands in the 27th percentile of its annual range and at the peak of its most recent broad movement.

The price used for analysis was $37.57.

Premium: $1.88 Expire OTM  
CAG-iron fly Strike Odds Delta
Long 41.00 89.6% 12
Break-even 39.88
Short 38.00 57.8% 45
Short 38.00 41.9% 55
Break-even 34.88
Long 33.00 92.2% 7

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

The risk/reward ratio is 1.7:1.

Decision for My Account

The best I can do in structuring this trade brings an unacceptably high risk/reward ratio, 1.7:1 vs. my preferred maximum of 1.2:1. I am passing on the trade.

By Tim Bovee, Portland, Oregon, June 28, 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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