Taiwan Semiconductor Manufacturing Co. Ltd. (TSM)
TSM publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine 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.
TSM’s IV stands in the 79th percentile of its annual range and the 87th percentile of its most recent broad movement.
Delta Air Lines Inc. (DAL)
Update July 13, 2017: DAL moved little after earnings were published. The profit largely came from a decline in implied volatility. I exited at 24.9% of maximum potential profit.
Shares rose by 0.7% over one day, or a +256% annual rate. The options position produced a 33.1% yield on debit for a +12,081% annual rate.
DAL publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine days hence, on July 21.
Implied volatility stands at 31%, which is triple the VIX, a measure of the volatility of the S&P 500 index.
DAL’s IV stands in the 31st percentile of its annual range and the peek of its most recent broad movement.
Fastenal Co. (FAST)
Update 7/12/2017: FAST whipsawed dramatically in the first hour of trading after earnings were published, gapping to the upside and then falling like a rock in a movement that spanned $5. I exited at 29.1% of maximum potential profit.
During the lifespan of my position, less than a day, shares declined by 0.9%, or a -319% annual rate. The options position produced a 41.1% yield on debit for a +14,991% annual rate
FAST publishes earnings on Wednesday before the opening bell.
I shall use options that trade for the last time 10 days hence, on July 21.
Implied volatility stands at 33%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
FAST’s IV stands at the peak of both its annual range and its most recent broad movement.
Grupo Televisa S.A.B. (TV)
TV publishes earnings on Monday after the closing bell.
I shall use options that trade for the last time 11 days hence, on July 21.
Implied volatility stands at 32%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
TV’s IV stands in the 52nd percentile of its annual range and the 92nd percentile of its most recent broad movement.
PepsiCo Inc. (PEP)
Update 7/11/2017: PEP fell after earnings were published and I exited at 24.8% of maximum potential profit.
Shares declined by 1.2% over one day, or a 449% annual rate. The options position produced a 33.0% yield on debit for a 12,045% annual rate.
PEP publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on July 21.
Implied volatility stands at 17%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.
PEP’s IV stands in the 61st percentile of its annual range and the 82nd percentile of its most recent broad movement.
Prices move to the center of economic reporting this week, the consumer price index on Friday and the producer price index on Thursday, each at 8:30 a.m. New York time.
Two other major reports punctuate the week, both on Friday: Retail sales at 8:30 a.m. and industrial production at 9:15 a.m.
Fed Chair Janet Yellen testifies twice on Capitol Hill about monetary policy, On Wednesday before the House Committee on Financial services and on Thursday before the Senate Committee on Banking, Housing and Urban Affairs. Each hearing begins at 10 a.m.
Tim Bovee, Private Trader 
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