iShares MSCI Brazil Index (EWZ)

Update 6/2/2017: I have exited the second round of my EWZ, wrapping the series. Here are the results for the series as a whole:

Shares rose by 1.0% over 10 days, or a +38% annual rate. The options position produced a 14.9% yield on debit for a +545% annual rate.

I considered rolling forward for yet another around, but implied volatility as dropped below the 50th percentile of both the annual range and the most recent movement. Even so, IV is 3.5 times the VIX, which is a high level.

If conditions improve, I shall return to EWZ, starting a new series.

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Update 5/26/2017: I exited the May 23 position EWZ for a small profit, a week before the options, and re-established the position with adjusted strike prices and a June 16 expiration. In rolling the position forward, I shall treat the entire series as a single trade for the purpose of calculating results.

In the May 23-26 leg, shares rose by 2.98% over three days, or a +363% annual rate. The options position produced a +2.4% yield on debit for a +293% annual rate.

The new position is structured like this:

Premium:	$2.40	Expire OTM
EWZ-iron fly	Strike	Odds	Delta
Long	40.50	94.1%	7
Break-even	37.90
Short	35.50	50.9	53
Puts
Short	35.50	49.0%	47
Break-even	32.90
Long	30.50	88.8%	9

The premium is 48% of the width of the position’s wings.

The risk/reward ratio is 1.1:1.

The stock at the time of entry was priced at $35.60.

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EWZ has sufficiently high implied volatility to warrant consideration as a volatility play.

I shall use the series of weekly options that trade for the last time 10 days hence, on June 2.

Implied volatility stands at 41%, which is 3.8 times the VIX, a measure of the volatility of the S&P 500 index.

EWZ’s IV stands in the 65th percentile of its annual range and the 64th percentile of its most recent broad movement.

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5/23 – 3;20 p.m. New York time

I have entered new position on AAP, EWZ and LOW.

I have exited no positions. I have an exit order in on CPB that appears unlikely to be filled. I shall keep the order active until the closing bell.

I posted an essay exploring the uses of implied volatility and how to judge its level for the purposes of trade selection, appropriately titled Implied Volatility: High or Low?

5/23 – 10 a.m. New York time

In addition, I shall also be looking at rolling forward with another position on EWZ, the one liquid exchange-trade fund with decently high implied volatility.

5/23 – 9:50 a.m. New York time

I shall be posting an analysis of AZO as an earnings play today. Open interest on LOW’s options remains lower than is compatible with my guidelines. Honestly, as earnings season winds down and trades become scarce, I’m tempted to bend the liquidity rules. Final decision: Still pending.

I have placed an exit order at my target price on CPB that has yet to be filled.

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AutoZone Inc. (AZO)

AZO publishes earnings on Tuesday before the opening bell.

I shall use the series of monthly options that trade for the last time 25 days hence, on June 19.

Implied volatility stands at 25%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.

AZO’s IV stands in the 77th percentile of its annual range and the 78th percentile of its most recent broad movement.

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Apple Inc. (AAPL)

Update 6/2/2017: I entered AAPL as the price began a steady sideways move in order to take advantage of time decay. The position did not disappoint. I exited at 25.1% of maximum potential profit, a bit above my target price.

Shares showed a net decline of 0.2% over 11 days, or a -8% annual rate. The options produced a 33.4% yield on debit for a +1,109% annual rate.

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AAPL has sufficiently high implied volatility for consideration as a volatility play.

I shall use the series of monthly options that trade for the last time 25 days hence, on June 16.

Implied volatility stands at 19%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.

AAPLs IV stands in the 47th percentile of its annual range and the 64th percentile of its most recent broad movement.

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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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