United Rentals Inc. (URI)

Update 7/20/2017: URI gapped upward after earnings were published. I exited at 25.0% of maximum potential profit.

Shares rose by 4.2% over three days, or a +507.1% annual rate. The options position produced a 33.3% yield on debit for a +4,049% annual rate.

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URI publishes earnings on Wednesday after the closing bell.

I shall use options that trade for the last time nine days later, on July 28.

Implied volatility stands at 44%, which is 4.5 times the VIX, a measure of the volatility of the S&P 500 index.

URI’s IV stands in the 65th percentile of its annual range and the peak of its most recent broad movement.

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eBay Inc. (EBAY)

Update 7/21/2017: EBAY gapped downward after earnings were published, and I exited at 45.1% of maximum potential profit

Shares declined by 1.9% over four days, or a -170% annual rate. The options position produced a +82.1% yield on debit for a +7,496% annual rate

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EBAY publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days later, on July 28.

Implied volatility stands at 33%, which is 3.3 times the VIX, a measure of the volatility of the S&P 500 index.

EBAY’s IV stands in the 59th percentile of its annual range and the 91st percentile of its most recent broad movement.

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Philip Morris International Inc. (PM)

Update 7/20/2017:  PM fell sharply after earnings were published. I exited at 39.6% of maximum potential profit.

Shares declined by 0.5% over three days, or a -56% annual rate. The options position produced a 65.9% yield on debit for a +7,992% annual rate

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PM publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days later, on July 28.

Implied volatility stands at 22%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

PM’s IV stands in the 66th percentile of its annual range and the peak of its most recent broad movement.

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General Electric Co. (GE)

Update 7/24/2017: GE gapped downward after earnings were published, and I exited as expiration approached.

Shares declined by 4.6% over seven days, or a -240% annual rate. The options position produced a 41.2% loss on debit for a -2,146% annual rate.

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GE publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days later, on July 28.

Implied volatility stands at 21%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

GE’s IV stands in the 65th percentile of its annual range and the 75th percentile of its most recent broad movement.

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The7/17 – 3:35 p.m. New York time

Outcomes: I entered six new positions today, all coinciding with earnings announcements throughout the week. They are EBAY, GE, MSFT, PM, QCOM and URI. I exited three positions — STZ, XBI and XLK — and updated their analyses with results.

I decided to hold off on my analysis of HAL, which doesn’t publish earnings until Monday before the opening bell.

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A slow week in economic exporting with only one major report: Housing starts on Wednesday at 8:30 a.m. New York time.

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Johnson & Johnson (JNJ)

JNJ publishes earnings on Tuesday before the opening bell.

I shall use options that trade for the last time 11 days later, on July 28.

Implied volatility stands at 16%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.

JNJ’s IV stands in the 49th percentile of its annual range and the 70th percentile of its most recent broad movement.

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U.S. Bancorp (USB)

USB publishes earnings on Wednesday before the opening bell.

I shall use options that trade for the last time 10 days later, on July 28.

Implied volatility stands at 25%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.

USB’s IV stands in the 96th percentile of its annual range and the 91st percentile of its most recent broad movement.

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International Business Machines Corp. (IBM)

Update 7/24/2017: IBM gapped downward after earnings were published and continued its decline for the next three days. I exited as expiration approached.

Shares declined by 4.7% over 10 days, or a -172% annual rate. The options position produced a 32.7% loss on debit for a -1,194% annual rate.

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IBM publishes earnings on Tuesday after the closing bell.

I shall use options that trade for the last time 10 days later, on July 28.

Implied volatility stands at 24%, which is 2.4 times the VIX, a measure of the volatility of the S&P 500 index.

IBM’s IV stands in the 67th percentile of its annual range and the 90th percentile of its most recent broad movement.

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CSX Corp. (CSX)

Update 7/24/2017: CSX gapped downward by about $1.50 after earnings were published and declined further that day, then entered a sideways movement. I exited as expiration approached.

Shares declined by 6.1% over 10 days, or a -222% annual rate. The options position produced a -27.4% loss on debit for a -1,000% annual rate.

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CSX publishes earnings on Tuesday after the closing bell.

I shall use options that trade for the last time 10 days later, on July 28.

Implied volatility stands at 34%, which is 3.5 times the VIX, a measure of the volatility of the S&P 500 index.

CSX’s IV stands in the 71st percentile of its annual range and the 84th percentile of its most recent broad movement.

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