XRT Analysis

SPDR S&P Retail (ETF) (XRT)

Update 7/14/2017: I exited XRT in order to clear space for the more profitable earnings plays. I exited at 12.0% of maximum potential profit, well below my 25% goal but profitable all the same.

Shares declined by 1.2% over nine days, or a -50% annual rate. Te options position produced a 13.6% yield on debit for a +551.94% annual rate.


XRT has sufficiently high implied volatility relative to its most recent and annual ranges to qualify as a direction-neutral trade.

I shall use options that trade for the last time 44 days hence, on Aug. 18.

Implied volatility stands at 20%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.

XRT’s IV stands in the 46th percentile of its annual range and the 76th percentile of its most recent broad movement.

The price used for analysis was $40.38.

Premium: $1.92 Expire OTM  
XRT-iron fly Strike Odds Delta
Long 44.00 91.4% 10
Break-even 41.92
Short 40.00 46.4% 56
Puts
Short 40.00 54.3% 44
Break-even 37.92
Long 36.00 90.7% 8

The premium is 48% 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 XRT as described above. The stock at the time of entry was priced at $40.40.

By Tim Bovee, Portland, Oregon, July 5, 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.

2 thoughts on “XRT Analysis

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s