JPM Analysis

JPMorgan Chase & Co. (JPM)

Update 7/14/2017: JPM opened lower after earnings were published and then rose during the day to near it’s close of the prior session. A large decline in implied volatility made the position profitable, and I exited at 24.9% of maximum potential profit, my target level.

Shares showed a net decline of 0.7% during my one day holding period, or a -250% annual rate. The options position produced a +33.1% yield on debit for a +12,086% annual rate.


JPM 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 19%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.

JPM’s IV stands in the 23rd percentile of its annual range and the 52nd percentile of its most recent broad movement.

The price used for analysis was $92.80.

Premium: $2.01 Expire OTM  
JPM-iron fly Strike Odds Delta
Long 97.00 91.6% 9
Break-even 95.01
Short 93.00 54.3% 47
Puts
Short 93.00 45.5% 53
Break-even 90.01
Long 88.00 88.5% 11

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

The risk/reward ratio is 0.8:1.

Decision for My Account

I have entered an order on JPM as described above. The stock at the time of entry was priced at $92.75.

By Tim Bovee, Portland, Oregon, July 13, 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 “JPM 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