C Analysis

Citigroup Inc. (C)

Update 7/14/2017: C fell after earnings were published. As expiration approached, I exited at 21.1% of maximum profit.

Shares fell by 1.0% over a day, or a -366% annual rate. The options position produced a +26.8% yield on debit for a +9,768% annual rate.

C publishes earnings on Friday before the opening bell.

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

Implied volatility stands at 23%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

C’s IV stands in the 29th percentile of its annual range and the 54th percentile of its most recent broad movement.

The price used for analysis was $67.01.

Premium: $1.80 Expire OTM  
C-iron fly Strike Odds Delta
Long 71.00 92.5% 8
Break-even 68.80
Short 67.00 51.4% 50
Short 67.00 48.8% 50
Break-even 64.80
Long 63.00 92.9% 7

The premium is 45% of the width of the position’s wings.

The risk/reward ratio is 1.2:1.

Decision for My Account

I have entered an order on C as described above. The stock at the time of entry was priced at $66.95.

By Tim Bovee, Portland, Oregon, July 13, 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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