Harley-Davidson Inc. (HOG)

Update 7/24/2017: HOG gapped downward after earnings were published and then rose to recover a portion of the decline, and I exited as expiration approached.

Shares declined by 5.4% over 10 days, or a -198% annual rate. The options position produced a 0.1% yield on debit for a +35% annual rate.

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HOG 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 39%, which is four times the VIX, a measure of the volatility of the S&P 500 index.

HOG’s IV stands in the 66th percentile of its annual range and the 86th percentile of its most recent broad movement.

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Netflix Inc. (NFLX)

Update 7/24/2017: NFLX shot up after earnings were published, moving it beyond the range of profitability, and I exited as expiration approached.

Shares rose by 18.4% over 10 days, or a +670% annual rate. The options position produced a 43.7% loss on debit for a -1,594% annual rate.

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NFLX publishes earnings on Monday after the closing bell.

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

Implied volatility stands at 46%, which is 4.7 times the VIX, a measure of the volatility of the S&P 500 index.

NFLX’s IV stands in the 56th percentile of its annual range and the 90th percentile of its most recent broad movement.

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7/14 – 3:45 p.m.

Exited WFC. Results posted.

7/14 – 3 p.m. New York time

Outcomes: I entered four new positions, on CSX, HOG, IBM and NFLX.

I exited four positions, on C, JPM, KBH and XRT.

I analyzed JNJ and USB but declined to take the trades.

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First Horizon National Corp. (FHN)

FHN 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 25%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.

FHN’s IV stands in the 52nd percentile of its annual range and the 48th percentile of its most recent broad movement.

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The PNC Financial Services Group Inc. (PNC)

PNC 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.

PNC’s IV stands in the 46th percentile of its annual range and the 40th percentile of its most recent broad movement.

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Infosys Ltd. (INFY)

INFY 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 32%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.

INFY’s IV stands in the 55th percentile of its annual range and the peak of its most recent broad movement.

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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.

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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.

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Wells Fargo & Co. (WFC)

Update 7/14/2017: WFC gapped $2 to the downside at the opening bell and then worked its way up during the day, reaching my target with 20 minutes left before the closing bell. I exited at 24.8% of maximum potential profit. 

Shares showed a net decline during my one-day holding period , or a -109% annual rate. The options position produced a 33.0% yield on debit for a +12,033% annual rate.

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WFC 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 21%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.

WFC’s IV stands in the 36th percentile of its annual range and the 59th percentile of its most recent broad movement.

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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.

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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.

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7/13 – 3:25 p.m. New York time

Outcomes: I entered positions on C, JPM and WFC, and exited a position on DAL.

I analyzed FHN, INFY and PNC but declined to take the trades. I have an exit order on KBH that I shall keep alive until the closing bell.

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