Technology Select Sector SPDR Fund (XLK)

Update 7/17/2017: XLK began rising a few days after I entered the position, moving beyond the zone of profitability. I exited for a loss as options expiration approached.

Shares rose by 3.4% over 17 days, or a +73% annual rate. The options position produced a -23.9% loss on debit for a -514% annual rate.

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XLK has sufficiently high implied volatility to qualify as a short-term direction neutral trade.

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

Implied volatility stands at 17%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.

XLK’s IV stands in the 62nd percentile of its annual range and the 90th percentile of its most recent broad movement.

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6/30 – 3:05 p.m. New York time

I entered one position today, XLK, and exited one, MU.

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Nike Inc. (sym)

Update 7/3/2017: NKE closed up $5 from the day before after earnings were published and remained high in that range the day after. I exited for a loss during expiration week.

Shares rose 10% over four days, or a +911% annual rate. The options position produced a 46.0% loss on debit for a -4,201% annual rate.

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NKE publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days hence, on July 7.

Implied volatility stands at 29%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

NKE’s IV stands in the 63rd percentile of its annual range and at the peak of its most recent broad movement.

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Micron Technology Inc. (MU)

Update 6/30/2017: MU fell sharply after earnings were published. I exited for a profit at 41.8% of maximum potential profit.

Shares rose by 1.6% over my one-day holding period, or a +567% annual rate. The options position produced a 71.7% yield on debit for a +26,173% annual rae.

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MU publishes earnings on Thursday after the closing bell.

I shall use options that trade for the last time eight days hence, on July 7.

Implied volatility stands at 31%, which is 5.3 times the VIX, a measure of the volatility of the S&P 500 index.

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

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6/29 – 3 p.m. New York time

I entered two new positions, MU and NKE, and exited one position, WBA.

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Walgreens Boots Alliance Inc. (WBA)

Update 6/29/2017: WBA gapped sharply upward after earnings were published and quickly dropped back close to the prior day’s final price. I exited a bit shy of my target price, judging that I now had more to lose than to win by waiting.

Shares showed a net rise of 1.2% from my entry to exit, about a day,, for a +419% annual rate. The options position produced a 21.1% yield on debit for a +7,702% annual rate.

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WBA publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time nine days hence, on July 7.

Implied volatility stands at 27%, which is 2.7 times the VIX, a measure of the volatility of the S&P 500 index.

WBA’s IV stands in the 78th percentile of its annual range and the 91st percentile of its most recent broad movement.

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Constellation Brands Inc. (STZ)

Update 7/17/2017: STZ rose sharply after earnings were published. With no return to profitability in sight, I exited for a loss as the options entered their week of expiration.

Shares rose by 7.6% over 19 days, or a +146% annual rate. The options position produced a 22.6% loss on debit for a -435% annual rate.

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STZ publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time 23 days hence, on July 21.

Implied volatility stands at 29%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

STZ’s IV stands in the 75th percentile of its annual range and the 94th percentile of its most recent broad movement.

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Conagra Brands Inc. (CAG)

CAG publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time 23 days hence, on July 21.

Implied volatility stands at 29%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.

CAG’s IV stands in the 27th percentile of its annual range and at the peak of its most recent broad movement.

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6/28 – 3:05 p.m. New York time

Outcomes: I entered positions in STZ and WBA, and exited a position in PAYX. I analyzed CAG but declined the trade.

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Paychex Inc. (PAYX)

Update 6/28/2017: PAYX gapped to the downside by about $2 after earnings were published, and then rose to regain about half of the decline. I exited at 25% of maximum potential profit, my target.

Shares showed a net decline of 2.2% over my holding period of less than a day, or a -787% annual rate. The options position produced a +33.3% yield on debit for a +12,167% annual rate.

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PAYX publishes earnings on Thursday before the opening bell.

I shall use options that trade for the last time 24 days hence, on July 21.

Implied volatility stands at 24%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

PAYX’s IV stands in the 81st percentile of its annual range and the 89th percentile of its most recent broad movement.

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