Grupo Televisa S.A.B. (TV)
TV publishes earnings on Monday after the closing bell.
I shall use options that trade for the last time 11 days hence, on July 21.
Implied volatility stands at 32%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
TV’s IV stands in the 52nd percentile of its annual range and the 92nd percentile of its most recent broad movement.
PepsiCo Inc. (PEP)
Update 7/11/2017: PEP fell after earnings were published and I exited at 24.8% of maximum potential profit.
Shares declined by 1.2% over one day, or a 449% annual rate. The options position produced a 33.0% yield on debit for a 12,045% annual rate.
PEP publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on July 21.
Implied volatility stands at 17%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.
PEP’s IV stands in the 61st percentile of its annual range and the 82nd percentile of its most recent broad movement.
Prices move to the center of economic reporting this week, the consumer price index on Friday and the producer price index on Thursday, each at 8:30 a.m. New York time.
Two other major reports punctuate the week, both on Friday: Retail sales at 8:30 a.m. and industrial production at 9:15 a.m.
Fed Chair Janet Yellen testifies twice on Capitol Hill about monetary policy, On Wednesday before the House Committee on Financial services and on Thursday before the Senate Committee on Banking, Housing and Urban Affairs. Each hearing begins at 10 a.m.
7/6 – 3:20 p.m. New York time
I neither entered nor exited positions today. I have placed two orders to exit at my target prices for XLK and KBH, neither of which has been filled with 40 minutes to go before the closing bell. If either is filled, I shall update the analysis with results after the market close.
Yum China Holdings Inc. (YUMC)
Update 7/24/2017: YUMC gapped downward after earnings were published and quickly returned to about the midpoint of the gap, making the position profitable. I exited at 8% of maximum potential profit, below my 25% target, well before expiration to clear my account for other trades.
Shares declined by 6.3% over 19 days, or a -120% annual rate. The options position produced an 8.9% yield on debit for a +170.8% annual rate.
YUMC publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time 16 days hence, on July 21.
Implied volatility stands at 41%, which is 3.6 times the VIX, a measure of the volatility of the S&P 500 index.
YUMC’s IV stands in the 16th percentile of its annual range, due to an initial public offering spike last November, and the 91st percentile of its most recent broad movement.
SPDR S&P Retail (ETF) (XRT)
Update 7/14/2017: I exited XRT in order to clear space for the more profitable earnings plays. I exited at 12.0% of maximum potential profit, well below my 25% goal but profitable all the same.
Shares declined by 1.2% over nine days, or a -50% annual rate. Te options position produced a 13.6% yield on debit for a +551.94% annual rate.
XRT has sufficiently high implied volatility relative to its most recent and annual ranges to qualify as a direction-neutral trade.
I shall use options that trade for the last time 44 days hence, on Aug. 18.
Implied volatility stands at 20%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.
XRT’s IV stands in the 46th percentile of its annual range and the 76th percentile of its most recent broad movement.
SPDR S&P Biotech (ETF) (XBI)
Update 7/17/2017: XBI has traced a sideways pattern since I entered the position. Although options expiration is a month away, I exited to make room in my account for earnings plays, which tend to be higher velocity and more profitable. I exited at 12.3% of maximum potential profit, about half of my 25% target.
Shares rose by 0.5% over 12 days, or a 15% annual rate. Tye options position produced a 14.0% yield on debit for a +426% annual rate.
XBI has sufficiently high implied volatility relative to its most recent and annual ranges to qualify as a direction-neutral trade.
I shall use options that trade for the last time 44 days hence, on Aug. 18.
Implied volatility stands at 30%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.
XBI’s IV stands in the 27th percentile of its annual range and the 91st percentile of its most recent broad movement.
Tim Bovee, Private Trader 
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