Broadcom Ltd. (AVGO)
AVGO publishes earnings on Thursday after the closing bell.
I shall use options that trade for the last time eight days hence, on Sept. 1.
Implied volatility stands at 40%, which is 3.3 times the VIX, a measure of the volatility of the S&P 500 index.
AVGO’s IV stands in the 78th percentile of its annual range and at the peak of its most recent broad movement.
8/24 – 3:25 p.m. New York time
I entered a position on MRVL and exited positions on LOW, MDT and COTY.
I analyzed AVGO but declined to take the trade.
8/24 – 10:55 a.m. New York time
I have updated the exits with results. Also, I am removing GME from my prospects list. It has a high Earnings Surprise Predictor score from Zacks Investment Research, in theory increasing the chance that the price will move beyond the zone of profit.
8/24 – 9:40 a.m. New York time
8/23 – 1:30 p.m. New York time
I am shutting down early day, with these outcomes: I entered no new positions, and exited one position, in CRM.
Salesforce.com Inc. (CRM)
Update 8/23/2017: CRM met Street expectations with earnings of 33 cents per share. The stock price fell by about a dollar and a half immediately after the earnings announcement, and then after the opening bell returned to where it had closed the night before the announcement. I exited at 42.8% of maximum potential profit.
Shares showed a net decline during my one-day holding period of 0.4%, or a -142% annual rate. The options position produced a 74.8% return for a +27,297% annual rate.
CRM publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Sept. 1.
Implied volatility stands at 31%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.
CRM’s IV stands in the 52nd percentile of its annual range and at the peak of its most recent broad movement.
Lowe’s Cos. Inc. (LOW)
Update 8/24/2017: LOW’s earnings failed to attain the Street estimate, coming in at $1.57, rather than the expected $1.62. Shares fell nearly $5 after publication, and then recovered more than half of the loss in a zig-zag movement. I exited at 23.1% of max profit, about $2 below my target.
Zacks Investment Research had predicted a positive earnings surprise, with an Earnings Surprise Predictor score of 0.62.
Shares showed a net decline of 2.8% over two days, or a -501% annual rate. The options positions produced a 30.0% return for a +5,481% annual rate.
LOW publishes earnings on Wednesday before the opening bell.
I shall use options that trade for the last time 10 days hence, on Sept. 1.
Implied volatility stands at 30%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.
LOW’s IV stands in the 84th percentile of its annual range and at the peak of its most recent broad movement.
Medtronic plc (MDT)
Update 8/24/2017: MDT’s came in at $1.12 per share, slightly above analysts’ consensus estimate of $1.09. The stock price fell by $3+ over two days. (By the way, am I alone in thinking that such counter-intuitive declines show that earnings estimates have little predictive value to trading?)
Zacks Investment Research forecast a positive earnings surprise, with an Earnings Surprise Predictor score of 0.93.
Shares showed a net decline of 5.1% over my three-day holding period, or a -618% annual rate. The options position produced a -42.2% loss for a -5,137% annual rate.
MDT publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Sept. 1.
Implied volatility stands at 18%, which is 1.3 times the VIX, a measure of the volatility of the S&P 500 index.
MDT’s IV stands in the 32nd percentile of its annual range and the 57th percentile of its most recent broad movement.
Momo Inc. (MOMO)
Update 8/28/2017: MOMO met earnings expectations but even so, declined by $9 after publication. It moved in a slight uptrend for three days afterward, before falling another $3 and then on the next day $2 more.
The best exit strategy would have been to get out quickly. The first day’s fall took it below the breakeven point, and there it remained for the lifespan of the position. Perhaps that’s a good rule of thumb: If a position moves beyond breakeven, perhaps adding a requirement that it open beyond the next day, then exit immediately.
The Earnings Surprise Predictor from Zacks Investment Research gave no indication of a likely surprise, and there was none, illustrating yet against that earnings results are a poor predictor of post-earnings price movements.
Shares fell by 20.2% over seven days, or a -1,055% annual rate. The options position produced a -46.9% loss for a -2,446% annual rate.
MOMO publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Sept. 1.
Implied volatility stands at 61%, which is 4.3 times the VIX, a measure of the volatility of the S&P 500 index.
MOMO’s IV stands in the 23rd percentile of its annual range and the 58th percentile of its most recent broad movement.
Coty Inc. (COTY)
Update 8/24/2017; COTY missed earnings expectations, coming in at $0.63 as opposed to the consensus $0.75. Shares fell $3+ and zig-zagged for two days. I exited on the third day for a loss.
Shares declined by 13.4% over three days, or a -1,631% annual rate. The options position produced a 46.8% loss for a -5,699% annual rate.
COTY publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Sept. 1.
Implied volatility stands at 44%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.
COTY’s IV stands in the 88th percentile of its annual range and at the peak of its most recent broad movement.
Tim Bovee, Private Trader 
You must be logged in to post a comment.