10/19 – 2:50 p.m. New York time
I have declined all potential trades without subjecting them to full analysis.
ATHN and ETFC have overly wide bid/ask spreads. HON and KSU have wide intervals on their options grids that put the at-the-money points over far from the nearest strike prices.
I exited DAL for a profit.
Verizon Communications Inc. (VZ)
VZ publishes earnings on Thursday before the opening bell.
I shall use options that trade for the last time nine days hence, on Oct. 27.
Implied volatility stands at 20%, which is double the VIX, a measure of the volatility of the S&P 500 index.
VZ’s IV stands in the 57th percentile of its annual range and the 34th percentile of its most recent broad movement.
American Express Co. (AXP)
AXP publishes earnings on Wednesday after the closing bell.
I shall use options that trade for the last time nine days hence, on Oct. 27.
Implied volatility stands at 20%, which is double the VIX, a measure of the volatility of the S&P 500 index.
AXP’s IV stands in the 40th percentile of its annual range and the 75th percentile of its most recent broad movement.
Lam Research Corp. (LRCX)
LRCX publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Oct. 27.
Implied volatility stands at 34%, which is 3.3 times the VIX, a measure of the volatility of the S&P 500 index.
LRCX’s IV stands in the 90th percentile of its annual range and the 95th percentile of its most recent broad movement.
International Business Machines Corp. (IBM)
Update 10/18/2017: IBM’S earnings came it at $3.30 per share, slightly below the $3.33 Street consensus. Shares shot up by $10.58, and the continued to rise, breaking past the $156.42 resistance level set last June.
The rise carried the share price beyond the profit zone’s $4.50 in either direction and above the expected move of $4.85 and the maximum post-earns move of the past year, $6.47
Zacks indicators missed the move, showing neutral for the score and an upside surprise for the earnings.
Shares rose by 8.0% over my one-day holding period, or a +2,912% annual rate. The options position produced a 42.6% loss for a -15,538% annual rate.
IBM publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days hence, on Oct. 27.
Implied volatility stands at 23%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
IBM’s IV stands in the 74th percentile of its annual range and at the peak of its most recent broad movement.
Johnson & Johnson (JNJ)
Update 10/18/2017: JNJ’s earnings came in at $1.90 per share, exceeding the consensus forecast of $1.82. The price rose by $5 in the post-earns session, breaking out of the $3 profit range and doubling the expected move and exceeding the maximum post-earns move of the past year.
Zacks suggested there would be an upside earnings surprise, None of the telltales I use pointed toward the magnitude of the move.
Shares rose by 3.7% over my two-day holding period, or a +672% annual rate. The options position produced a 38.6% loss for a -7,037% annual rate.
JNJ publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Oct. 27.
Implied volatility stands at 16%, which is !0 times the VIX, a measure of the volatility of the S&P 500 index.
JNJ’s IV stands in the 53rd percentile of its annual range and the 43rd percentile of its most recent broad movement.
Morgan Stanley (MS)
Update 10/17/2017: MS published earnings of $0.93 per share, beating the Street estimate by nine cents. The share price fell by nearly a dollar and then rose by about a dime, thereafter swinging into a very narrow sideways micro-trend.
I exited at 2% of maximum potential profit, well below my 25% target. I trade small positions, so the profit was barely enough to pay my trading fees.
Shares showed a net rise of 71 cents from entry to exit, less than half of the expected move and within the central tendency of the last four post-earns moves.
Zacks gave MS a 0.25 score after running its earnings surprise predictor algorithm; the beta is 1.61
Shares rose by 1.5% during my one-day holding period, or a +530% annual rate. The options position produced a 2.0% return for a +740% annual rate.
MS publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days hence, on Oct. 27.
Implied volatility stands at 25%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.
MS’s IV stands in the 39th percentile of its annual range and the 76th percentile of its most recent broad movement.
10/16 – 3:15 p.m. New York time
I entered two new positions, JNJ and MS.
I attempted to exit SCHW at under my target of 25% of maximum potential profit. The trend today has been ambiguous and it has been difficult to get a fill because of the wide bid/ask spread.
I knew it was wide when I went into the trade, and take this to be a lesson learned — the hard way. I shall attempt an exit on Tuesday. The options don’t expire until the end of the next week, so there is time.
Tim Bovee, Private Trader 
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