Infosys Ltd. (INFY)
INFY publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 32%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.
INFY’s IV stands in the 55th percentile of its annual range and the peak of its most recent broad movement.
JPMorgan Chase & Co. (JPM)
Update 7/14/2017: JPM opened lower after earnings were published and then rose during the day to near it’s close of the prior session. A large decline in implied volatility made the position profitable, and I exited at 24.9% of maximum potential profit, my target level.
Shares showed a net decline of 0.7% during my one day holding period, or a -250% annual rate. The options position produced a +33.1% yield on debit for a +12,086% annual rate.
JPM publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 19%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.
JPM’s IV stands in the 23rd percentile of its annual range and the 52nd percentile of its most recent broad movement.
Wells Fargo & Co. (WFC)
Update 7/14/2017: WFC gapped $2 to the downside at the opening bell and then worked its way up during the day, reaching my target with 20 minutes left before the closing bell. I exited at 24.8% of maximum potential profit.
Shares showed a net decline during my one-day holding period , or a -109% annual rate. The options position produced a 33.0% yield on debit for a +12,033% annual rate.
WFC publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 21%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.
WFC’s IV stands in the 36th percentile of its annual range and the 59th percentile of its most recent broad movement.
Citigroup Inc. (C)
Update 7/14/2017: C fell after earnings were published. As expiration approached, I exited at 21.1% of maximum profit.
Shares fell by 1.0% over a day, or a -366% annual rate. The options position produced a +26.8% yield on debit for a +9,768% annual rate.
C publishes earnings on Friday before the opening bell.
I shall use options that trade for the last time eight days hence, on July 21.
Implied volatility stands at 23%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.
C’s IV stands in the 29th percentile of its annual range and the 54th percentile of its most recent broad movement.
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.
Tim Bovee, Private Trader 
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