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
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


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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