5/22 – 3:30 p.m. New York time

I entered a position on AAPL as a volatility play without an associated earnings announcement. My analyze of AZO showed it to be a reasonable trade, although I passed on it for my accounts because of the high price per contract.

In addition to the five exits this morning — EWZ, LB, XOP CSCO and DE — an exit order on TJX was filled late in the trading day. All analyses have been updated with results.

I have an exit order in on CPB that has not yet been filled. I shall leave it active until the losing bell and update if the order goes through.

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5/20 – 11 p.m. New York time

Portions of two positions expired without value on Saturday, and I have updated their analyses with results. They are LB and YELP.

By Tim Bovee, Portland, Oregon, May 20, 2017

 

The gross domestic product statistics providing a second estimate for the 1st quarter will be published on Friday at 8:30 a.m. New York time. Durable goods orders will be released concurrently.

Two real estate reports will punctuate the week: New home sales on Tuesday and the far larger existing home sales on Wednesday, each at 10 a.m.

Also out: the Purchasing Managers Institute composite flash report on Wednesday at 9:45 a.m., Federal Open Market Committee minutes from the May 2-3 meeting on Wednesday at 2 p.m. and international trade in goods on Thursday at 8:30 a.m.

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iShares MSCI Brazil Index (EWZ)

Update 5/22/2017: EWZ fell slightly after I entered this short-term position. Implied volatility held steady, and time decay brought the position into profitability. I exited as expiration approached, at 5.9% of maximum potential profit.

Shares showed a net declined of 2.3% over three days, or a -275% annual rate. Tye options position produced a +6.3% yield on debit for a +760.42% annual rate.

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EWZ is showing high implied volatility relative to both its annual range and its most recent movement.

I shall use the series of monthly options that trade for the last time seven days hence, on May 26.

Implied volatility stands at 45%, which is 3.7 times the VIX, a measure of the volatility of the S&P 500 index.

EWZ’s IV stands in the 79th percentile of its annual range and the 75th percentile of its most recent broad movement.

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5/19 – 3:25 p.m. New York time

I entered one new position on Friday, on the EWZ exchange-traded fund.

I exited three positions, each for a profit. They are AMAT, CRM and GPS,

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Campbell Soup Co. (CPB)

Update 5/30/2017: CPB whipsawed after earnings were published, quickly declining from my entry point and then reversing to climb above my entry point. It then fell again, and I exited at about the point where I entered, at . Time decay took care of the work of producing a profit of 24.9% of its potential maximum.

Shares showed a net rise of 0.8% over 12 days, or a +23% annual rate. The options position produced a +33.2% yield on debit for a +1,008% annual rate.

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CPB publishes earnings on Friday before the opening bell.

I shall use the series of monthly options that trade for the last time 29 days hence, on June 16.

Implied volatility stands at 23%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.

CPB’s IV stands in the 55th percentile of its annual range and the 89th percentile of its most recent broad movement.

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Foot Locker Inc. (FL)

Update 6/9/2017: FL gapped $10 to the downside after earnings were published and fell a bit ore than $4 more in the ensuing two weeks before I took the loss.

Shares decliend by 23.2% over 22 days, or a -384% annual rate. The options position produced a -147.6% loss on debit for a -2,448% annual rate.

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FL publishes earnings on Friday before the opening bell.

I shall use the series of monthly options that trade for the last time 29 days hence, on June 16.

Implied volatility stands at 33%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

FL’s IV stands in the 69th percentile of its annual range and the 98th percentile of its most recent broad movement.

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Deere & Co. (DE)

Update 5/22/2017; DE gapped sharply to the upside after earnings were published and stayed at that higher level for two subsequent days. I exited for a loss as the options approached expiration.

Shares rose by 8.2% over four days, o a +751% annual rate. The options position produced a -37.3% loss on debit for a -3,399% annual rate.

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DE publishes earnings on Friday before the opening bell.

I shall use the series of monthly options that trade for the last time eight days hence, on May 26.

Implied volatility stands at 29%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.

DE’s IV stands in the 86th percentile of its annual range and the 88th percentile of its most recent broad movement.

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Gap Inc. (GPS)

Update 5/19/2017: GPS had declined for six trading days prior to the earnings announcement, and declined again the day after earnings were published.

In the one day I was in the position, shares fell by 3.8%, or a -1,386% annual rate. The options position produced a 28.1% yield on debit for a +13,919% annual rate.

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GPS publishes earnings on Thursday after the closing bell.

I shall use the series of monthly options that trade for the last time eight days hence, on May 26.

Implied volatility stands at 45%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

GPS’s IV stands in the 41st percentile of its annual range and the 89th percentile of its most recent broad movement.

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Salesforce.com Inc. (CRM)

Update 5/19/2017: CRM rose sharply after earnings were published and then fell back for a partial retracement. I exited for a debit of  $3.17, or 28.8% of maximum potential profit.

Shares at exit had risen by 2.3% compared to my entry into the position the day beofre, or a +839% annual rate. The optoins position produced a 40.4% yield on debit for a +14,738% annual rate.

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CRM publishes earnings on Thursday after the closing bell.

I shall use the series of monthly options that trade for the last time eight days hence, on May 26.

Implied volatility stands at 34%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

CRM’s IV stands in the 61st percentile of its annual range and the 91st percentile of its most recent broad movement.

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