STZ Analysis

Constellation Brands Inc. (STZ)

Update 7/17/2017: STZ rose sharply after earnings were published. With no return to profitability in sight, I exited for a loss as the options entered their week of expiration.

Shares rose by 7.6% over 19 days, or a +146% annual rate. The options position produced a 22.6% loss on debit for a -435% annual rate.

STZ 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.

STZ’s IV stands in the 75th percentile of its annual range and the 94th percentile of its most recent broad movement.

The price used for analysis was $184.49.

Premium: $9.71 Expire OTM  
STZ-iron fly Strike Odds Delta
Long 200.00 87.3% 14
Break-even 194.71
Short 185.00 53.3% 50
Short 185.00 46.6% 50
Break-even 174.71
Long 165.00 90.1% 9

The premium is 56% 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 STZ as described above. The stock at the time of entry was priced at $184.44.

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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