Citigroup Inc. (C)

Update 2/1/2022: I exited my short iron condor options spread on C, 17 days before expiration, for a $1.30 debit per contract/share, a profit before fees of $52.00 per contract. Shares were trading at $66.03, down $2.18 from the entry level.

The Implied Volatility Rank at exit was 42.8%, up 15.7 points from the entry level.

I exited because the position exceeded 25% of maximum potential profit, my normal exit point for earnings plays.

Shares declined by 3.2% over 19 days for a +61% annual rate. The options position produced a 40.0% return for a +768% annual rate.

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I have entered a short iron condor spread on C, using options that trade for the last time 36 days hence, on February 18. The premium is a $1.82 credit per contract share and the stock at the time of entry was priced at $68.21.

The Implied Volatility Ratio stands at 27.1%

Premium:	$1.82	Expire OTM
C-iron condor	Strike	Odds	Delta
Calls
Long	75.00	92.0%	10
Break-even	71.82	82.5%	20.5
Short	70.00	73.0%	31
Puts
Short	65.00	61.0%	34
Break-even	61.82	73.5%	23
Long	60.00	86.0%	12

The premium is 36.4% of the width of the positions short and long spread. The profit zone covers a 5.3% move to the upside and a 10.3% move to the downside.

The risk/reward ratio is 1.7:1, with maximum risk of $318 and maximum reward of $182 per contract.

How I chose the trade. The trade was placed to coincide with C’s earnings announcement, before the opening bell on the day after entry. The short strikes were set to coincide with the expected move of $1.64 either way, based on options pricing, which gives a price range of $65.46 to $68.64.

By Tim Bovee, Portland, Oregon, January 13, 2022

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.

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