ACN Analysis

Accenture plc (ACN)

ACN publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on Oct. 6.

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

ACN’s IV stands in the 58th percentile of its annual range and at the peak of its most recent broad movement.

The price used for analysis was $136.45.

Premium: $4.05 Expire OTM
ACN-iron fly Strike Odds Delta
Long 146.00 92.6% 8
Break-even 141.05
Short 137.00 52.8% 49
Puts
Short 137.00 47.3% 51
Break-even 132.05
Long 128.00 86.8% 12

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

The risk/reward ratio is 1.2:1.

The zone of profit in the proposed trade covers a $4.50 move either way. The biggest immediate move after each of the past four earnings announcements was $6.20, and the average was $5.49. After eliminating the maximum and minimum post-earnings movements, the central tendency is $5.38.

The expected move covering 85% of occurrences is $4.48, within the profit zone by only 2 cents.

The bid/ask spread is #%.

Decision for My Account

The best I can do with the options grid produces a flawed structure for the iron fly: 1) A wide bid/ask spread of 26.5%, a slightly high risk/reward ratio of 1.2:1, an expected move with 85% confidence that barely covers the zone of profit, and moves immediately after the last four announcements that go far beyond the profit zone.

I am passing on ACN. No trade.

By Tim Bovee, Portland, Oregon, Sept. 27, 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.

One thought on “ACN 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