Wells Fargo & Co. (WFC)

Update 7/14/2017: WFC gapped $2 to the downside at the opening bell and then worked its way up during the day, reaching my target with 20 minutes left before the closing bell. I exited at 24.8% of maximum potential profit. 

Shares showed a net decline during my one-day holding period , or a -109% annual rate. The options position produced a 33.0% yield on debit for a +12,033% annual rate.

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WFC 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 21%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.

WFC’s IV stands in the 36th percentile of its annual range and the 59th percentile of its most recent broad movement.

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Citigroup Inc. (C)

Update 7/14/2017: C fell after earnings were published. As expiration approached, I exited at 21.1% of maximum profit.

Shares fell by 1.0% over a day, or a -366% annual rate. The options position produced a +26.8% yield on debit for a +9,768% annual rate.

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C 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.

C’s IV stands in the 29th percentile of its annual range and the 54th percentile of its most recent broad movement.

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7/13 – 3:25 p.m. New York time

Outcomes: I entered positions on C, JPM and WFC, and exited a position on DAL.

I analyzed FHN, INFY and PNC but declined to take the trades. I have an exit order on KBH that I shall keep alive until the closing bell.

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Taiwan Semiconductor Manufacturing Co. Ltd. (TSM)

TSM publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine 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.

TSM’s IV stands in the 79th percentile of its annual range and the 87th percentile of its most recent broad movement.

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Delta Air Lines Inc. (DAL)

Update July 13, 2017: DAL moved little after earnings were published. The profit largely came from a decline in implied volatility. I exited at 24.9% of maximum potential profit.

Shares rose by 0.7% over one day, or a +256% annual rate. The options position produced a 33.1% yield on debit for a +12,081% annual rate.

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DAL publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on July 21.

Implied volatility stands at 31%, which is triple the VIX, a measure of the volatility of the S&P 500 index.

DAL’s IV stands in the 31st percentile of its annual range and the peek of its most recent broad movement.

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6/12 – 3:05 p.m. New York time

Outcomes: I entered a new position on DAL and analyzed TSM for entry but declined the trade. I exited positions in FAST and XOP.

An exit order on KBH remains unfilled, and I shall keep it alive until the market close.

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Fastenal Co. (FAST)

Update 7/12/2017: FAST whipsawed dramatically in the first hour of trading after earnings were published, gapping to the upside and then falling like a rock in a movement that spanned $5. I exited at 29.1% of maximum potential profit.

During the lifespan of my position, less than a day, shares declined by 0.9%, or a -319% annual rate. The options position produced a 41.1% yield on debit for a +14,991% annual rate

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FAST publishes earnings on Wednesday before the opening bell.

I shall use options that trade for the last time 10 days hence, on July 21.

Implied volatility stands at 33%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

FAST’s IV stands at the peak of both its annual range and its most recent broad movement.

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7/11 – 3:35 p.m. New York time

PEP exit order filled. 

7/11 – 3:15 p.m. New York time

Outcomes: I entered a new position on FAST and made no exits. I have three exit attempts active as we approach the closing bell: PEP, XLK and XOP,

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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.

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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.

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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.

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