NVIDIA Corp. (NVDA)
NVDA publishes earnings on Thursday after the closing bell.
I shall use options that trade for the last time eight days hence, on Aug. 18.
Implied volatility stands at 60%, which is 4.2 times the VIX, a measure of the volatility of the S&P 500 index.
NVDA’s IV stands in the 98th percentile of its annual range and at the peak of its most recent broad movement.
Snap Inc. (SNAP)
Update 8/14/2017: SNAP’s results came in at a loss of $0.16 per share, lower than the $0.14% loss in the analysts’ consensus forecast. Shares immediately declined by about $2, traded as high $2.20, declined a again to its $2 loss and then on the second day rose to close to pre-earnings levels. I exited with shares at $12.
Shares showed a net declined of 11.2% over my four-day holding period, or a -1,026% annual rate. Tye options position produced a 2.4% loss on debit for a -223% annual rate.
Zacks Investment Research forecast a downside earnings surprise a 29% score, which in terms of direction and the market response is in line with what actually happened.
Had I exited on the first session after earnings were published, I would have paid a $3.62 debit. By waiting, I reduced the debit to $2.05, mitigating the loss. In this case, waiting proved to be the correct strategy.
SNAP publishes earnings on Thursday after the closing bell.
I shall use options that trade for the last time eight days hence, on Aug. 18.
Implied volatility stands at 94%, which is 6.4 times the VIX, a measure of the volatility of the S&P 500 index.
SNAP’s IV stands in the 97th percentile of both its range since trading began last March and its most recent broad movement.
Kohl’s Corp. (KSS)
Update 8/14/2017: KSS’s earnings came in at $1.24 per share, well below the $1.86 expected by the Street. Shares declined by by $4 the session after earnings were published and then immediately moved upward by $3.50 before slipping again to the downside. I exited about $1.20 above the low, at $38.71 per share.
Shares declined by 8.7% over my five-day holding period, or a -637% annual rate. The options position produced a -17.9% loss on debit for a -1,308% annual rate.
KSS had 2.82% score on the Zacks Investment Research earnings surprise predictor, providing before the fact evidence (perhaps) that the trade ought to have been passed.
I would have exited at a $3.35 debit had I done so the session after earnings were published. Continuing to hold added an additional 50 cents to the debit, and I exited at $3.85.
KSS publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine days hence, on Aug. 18.
Implied volatility stands at 48%, which is four times the VIX, a measure of the volatility of the S&P 500 index.
KSS’s IV stands in the 89th percentile of its annual range and at the peak of its most recent broad movement.
Macy’s Inc. (M)
Update 8/10/2017: M whipsawed up then down after earnings were published, recovering a portion of the decline. I exited the roller coaster ride at 29.5% of maximum potential profit.
Shares showed a net declined of -4.1% over my one-day holding period, or a -1,488% annual rate. The options position produced a +41.3% yield on debit for a +15,268% annual rate.
M publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine days hence, on Aug. 18.
Implied volatility stands at 57%, which is 4.7 times the VIX, a measure of the volatility of the S&P 500 index.
M’s IV stands in the peak of its annual range and its most recent broad movement.
TripAdvisor Inc. (TRIP)
Update 8/9/2017: TRIP gapped up by $4 immediately after earnings were published, fell by $8 and then recovered by $4, ending up about where it had closed the day before earnings. I exited a bit below target, at $2.48, or 21.3% of maximum potential profit.
Shares showed a net decline of -8.25 over the day I held the position, or a -2,978% annual rate. The options position produced a 27.0% yield on debit for a +9,861% annual rate.
TRIP publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Aug. 18.
Implied volatility stands at 55%, which is 5.6 times the VIX, a measure of the volatility of the S&P 500 index.
TRIP’s IV stands in the 96th percentile of its annual range and the 93rd percentile of its most recent broad movement.
Fossil Group Inc. (FOSL)
Update 8/14/2017: FOSL shares fell about $4.50 after reporting earnings at a $0.61 loss per share, below the Street expectation of a $0.39 loss. Shares traded sideways for two sessions, and the fell an additional 50 cents, then traded sideways for an additional two sessions. I exited with shares at $8.31.
Shares declined by 32.5% over my six-day holding period, or a -1,977% annual rate. The options position produced a -49.9% loss on debit for a -3,033% annual rate.
The Zacks Investment Research earnings surprise predictor showed a 200% negative earnings surprise coming. Had I used the ESP as a screen, I would have passed on the trade.
Had I exited the first session after earnings were published, the cost would have been a $3.23 debit, or $0.32 below the $3.55 I paid to get out. It was the decline in the third session after publication that made holding a losing tactic.
FOSL publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Aug. 18.
Implied volatility stands at 99%, which is 9.9 times the VIX, a measure of the volatility of the S&P 500 index.
FOSL’s IV stands at the peak of both its annual range and its most recent broad movement.
Hertz Global Holdings Inc. (HTZ)
Update 8/14/2017: HTZ missed earnings estimate by a large margin. The Street expected a 23 cent loss per share; it got a $1.90 loss. The stock price rose (yes, “rose” is correct) by nearly $3 in the session after publication, and continued to rise steadily for the three ensuing days. I exited with shares at $19.50.
Shares rose by 33.1% over my six-day holding period, or a +2,014% annual rate. The options position produced a -41.5% loss on debit for a -2,525% annual rate.
Zacks Investment Research gave HTZ a 1.32% earnings surprise predictor score, probably not enough to warn me off of the trade.
Had I exited in the first trading session after earnings were published, I would have paid a $3.40 premium to exit. As it is, the price of getting out was $4.12, a significant worsening of the loss. In hindsight, an immediate exit was the best strategy.
HTZ publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Aug. 18.
Implied volatility stands at 102%, which is 10.3 times the VIX, a measure of the volatility of the S&P 500 index.
HTZ’s IV stands in the 91st percentile of its annual range and the 88th percentile of its most recent broad movement.
Tim Bovee, Private Trader 
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