8/6 – 12 p.m. New York time
My position on SBUX, which was turned into a zombie by an options assignment, has finally met its end, expiring after Friday’s session. I have updated the analysis with results.
By Tim Bovee, Portland, Oregon, Aug. 6, 2017
It’s inflation week in economic reporting, or deflation week, or some sort of ‘flation — no one can really figure it out at this point, as the Fed raises rates to calm nearly non-existent inflation while a non-existent deflation continues to threaten the economy. Fake ‘flation, anyone?
The producer price index final demand will be published on Thursday, to followed on Friday by the consumer price index, each at 8:30 a.m. New York time. And that is pretty much the high point of the week.
8/4 – 3:45 p.m. New York time
I have completed updating the AAPL and STX analyses with results. Note that I’ve added additional odds information to the exit analysis.
8/4 – 2:20 p.m. New York time
AAPL and STX halted their favorable micro-trends, and I have exited both. I shall update their analyses with results shortly.
8/3 – 7:05 p.m. New York time
As I expected, the protective exit orders I placed on AAPL and STX expired unfilled while I was airborne over the Pacific. Both reach the mandatory exit date on Monday, so I shall be actively working to to manage the positions.
I have updated ADM with results. I exited the position on Aug. 2 but was unable to complete results calculation because of my travel schedule.
Transocean Ltd. (RIG)
RIG publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time nine days hence, on Aug. 11.
Implied volatility stands at 55%, which is 5.5 times the VIX, a measure of the volatility of the S&P 500 index.
RIG’s IV stands in the 62nd percentile of its annual range and the 73rd percentile of its most recent broad movement.
9/2 – 4:55 p.m. New York time
I analyzed RIG but declined to take the trade.
An exit order on ADM was filled. I’m catching a flight back to the United States shortly, so I shall defer posting the full results until my arrival in Portland, Oregon on Thursday after the closing bell. I can say now that the exit was at my target, about 25% of maximum potential profit, which produces a yield on debit of about 33%.
Apple Inc. (AAPL)
Update 8/4/2017: AAPL rose by $12 after earnings were published, and the worked its way down by nearly $4 over the next three days. I exited for a loss at a $7.20 premium with shares at $156.22 as expiration approached.
The short call breakeven strike delimiting the losing side of the trade had a 76% chance at entry of expiring out of the money, By exit that had dropped to an 37% chance, well within the one standard deviation range.
Shares showed a net rise of 4.7% over my three-day holding period, or a +568% annual rate. The options position produced a -22.8% loss on debit for a -2,771% annual rate.
AAPL publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Aug. 11.
Implied volatility stands at 27%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.
AAPL’s IV stands in the 88th percentile of its annual range and at the peak of its most recent broad movement.
Tesla Inc. (TSLA)
TSLA publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Aug. 11.
Implied volatility stands at 52%, which is five times the VIX, a measure of the volatility of the S&P 500 index.
TSLA’s IV stands in the 95th percentile of its annual range and the 94th percentile of its most recent broad movement.
8/15 – 5:20 p.m. New York time
The ADM exit order, placed at my target of 25% of maximum potential profit, wasn’t filled.
8/1 – 9:55 a.m. New York time
I have entered a position on AAPL but after analysis declined to open a position on TSLA. I have placed an exit order at my target on ADM that has yet to be filled. I shall report on the outcome of that order after the closing bell.
Archer-Daniels-Midland Co. (ADM)
Update 8/2/2017: ADM rose sharply after earnings were published and then moved back toward my short strikes, allowing an exit at 24.7% of maximum potential profit.
Shares produced a net rise on my position of 1.3% over two days, or a +243% annual rate. The options position produced a 32.8% yield on debit for a +5,981% annual rate.
ADM publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Aug. 11.
Implied volatility stands at 25%, which is 2.4 times the VIX, a measure of the volatility of the S&P 500 index.
ADM’s IV stands in the 57th percentile of its annual range and the 88th percentile of its most recent broad movement.
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