U.S. Bancorp (USB)
USB publishes earnings on Wednesday before the opening bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 25%, which is 2.6 times the VIX, a measure of the volatility of the S&P 500 index.
USB’s IV stands in the 96th percentile of its annual range and the 91st percentile of its most recent broad movement.
International Business Machines Corp. (IBM)
Update 7/24/2017: IBM gapped downward after earnings were published and continued its decline for the next three days. I exited as expiration approached.
Shares declined by 4.7% over 10 days, or a -172% annual rate. The options position produced a 32.7% loss on debit for a -1,194% annual rate.
IBM publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 24%, which is 2.4 times the VIX, a measure of the volatility of the S&P 500 index.
IBM’s IV stands in the 67th percentile of its annual range and the 90th percentile of its most recent broad movement.
CSX Corp. (CSX)
Update 7/24/2017: CSX gapped downward by about $1.50 after earnings were published and declined further that day, then entered a sideways movement. I exited as expiration approached.
Shares declined by 6.1% over 10 days, or a -222% annual rate. The options position produced a -27.4% loss on debit for a -1,000% annual rate.
CSX publishes earnings on Tuesday after the closing bell.
I shall use options that trade for the last time 10 days later, on July 28.
Implied volatility stands at 34%, which is 3.5 times the VIX, a measure of the volatility of the S&P 500 index.
CSX’s IV stands in the 71st percentile of its annual range and the 84th percentile of its most recent broad movement.
Harley-Davidson Inc. (HOG)
Update 7/24/2017: HOG gapped downward after earnings were published and then rose to recover a portion of the decline, and I exited as expiration approached.
Shares declined by 5.4% over 10 days, or a -198% annual rate. The options position produced a 0.1% yield on debit for a +35% annual rate.
HOG publishes earnings on Tuesday before the opening bell.
I shall use options that trade for the last time 11 days later, on July 28.
Implied volatility stands at 39%, which is four times the VIX, a measure of the volatility of the S&P 500 index.
HOG’s IV stands in the 66th percentile of its annual range and the 86th percentile of its most recent broad movement.
Netflix Inc. (NFLX)
Update 7/24/2017: NFLX shot up after earnings were published, moving it beyond the range of profitability, and I exited as expiration approached.
Shares rose by 18.4% over 10 days, or a +670% annual rate. The options position produced a 43.7% loss on debit for a -1,594% annual rate.
NFLX publishes earnings on Monday after the closing bell.
I shall use options that trade for the last time 11 days later, on July 28.
Implied volatility stands at 46%, which is 4.7 times the VIX, a measure of the volatility of the S&P 500 index.
NFLX’s IV stands in the 56th percentile of its annual range and the 90th percentile of its most recent broad movement.
First Horizon National Corp. (FHN)
FHN 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 25%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.
FHN’s IV stands in the 52nd percentile of its annual range and the 48th percentile of its most recent broad movement.
The PNC Financial Services Group Inc. (PNC)
PNC 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.
PNC’s IV stands in the 46th percentile of its annual range and the 40th percentile of its most recent broad movement.
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.
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