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,
CPB Analysis
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.
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.
FL Analysis
Foot Locker Inc. (FL)
Update 6/9/2017: FL gapped $10 to the downside after earnings were published and fell a bit ore than $4 more in the ensuing two weeks before I took the loss.
Shares decliend by 23.2% over 22 days, or a -384% annual rate. The options position produced a -147.6% loss on debit for a -2,448% annual rate.
FL 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 33%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
FL’s IV stands in the 69th percentile of its annual range and the 98th percentile of its most recent broad movement.
DE Analysis
Deere & Co. (DE)
Update 5/22/2017; DE gapped sharply to the upside after earnings were published and stayed at that higher level for two subsequent days. I exited for a loss as the options approached expiration.
Shares rose by 8.2% over four days, o a +751% annual rate. The options position produced a -37.3% loss on debit for a -3,399% annual rate.
DE publishes earnings on Friday before the opening bell.
I shall use the series of monthly options that trade for the last time eight days hence, on May 26.
Implied volatility stands at 29%, which is 1.9 times the VIX, a measure of the volatility of the S&P 500 index.
DE’s IV stands in the 86th percentile of its annual range and the 88th percentile of its most recent broad movement.
GPS Analysis
Gap Inc. (GPS)
Update 5/19/2017: GPS had declined for six trading days prior to the earnings announcement, and declined again the day after earnings were published.
In the one day I was in the position, shares fell by 3.8%, or a -1,386% annual rate. The options position produced a 28.1% yield on debit for a +13,919% annual rate.
GPS publishes earnings on Thursday after the closing bell.
I shall use the series of monthly options that trade for the last time eight days hence, on May 26.
Implied volatility stands at 45%, which is 2.9 times the VIX, a measure of the volatility of the S&P 500 index.
GPS’s IV stands in the 41st percentile of its annual range and the 89th percentile of its most recent broad movement.
CRM Analysis
Salesforce.com Inc. (CRM)
Update 5/19/2017: CRM rose sharply after earnings were published and then fell back for a partial retracement. I exited for a debit of $3.17, or 28.8% of maximum potential profit.
Shares at exit had risen by 2.3% compared to my entry into the position the day beofre, or a +839% annual rate. The optoins position produced a 40.4% yield on debit for a +14,738% annual rate.
CRM publishes earnings on Thursday after the closing bell.
I shall use the series of monthly options that trade for the last time eight days hence, on May 26.
Implied volatility stands at 34%, which is 2.2 times the VIX, a measure of the volatility of the S&P 500 index.
CRM’s IV stands in the 61st percentile of its annual range and the 91st percentile of its most recent broad movement.
AMAT Analysis
Applied Materials Inc. (AMAT)
Update 5/19/2017: AMAT’s shares rose sharply after earnings were published and then took most of it back in an immediate retracement. I exited for a debit of $1.64, or 29.6% of maximum potential profit.
Shares had risen by 1.9% at exit over my entry price a day earlier, or a +689% annual rate. The optoins position produced a +40.4% yield on debit for a +15,736% annual rate.
AMAT publishes earnings on Thursday after the closing bell.
I shall use the series of monthly options that trade for the last time eight days hence, on May 26.
Implied volatility stands at 44%, which is times the VIX, a measure of the volatility of the S&P 500 index.
AMAT’s IV stands in the 75th percentile of its annual range and the 89th percentile of its most recent broad movement.
Live: Thursday, May 18, 2017
LB Analysis
L Brands Inc. (LB)
Update 5/22/2017: LB rose after earnings were published and then quickly declined. The price appeared to be settling into a sideways pattern. I judged there was little likelihood of significant movement going forward and chose to take my money out of risk, exiting at 18.4% of maximum potential profit.
Shares showed a net rise of 2.0% over five days, or a +143% annual rate. The options position produced a 22.6% yield on debit for a +1,646% annual rate
LB publishes earnings on Wednesday after the closing bell.
I shall use the series of monthly options that trade for the last time 30 days hence, on June 16.
Implied volatility stands at 47%, which is 3.2 times the VIX, a measure of the volatility of the S&P 500 index.
LB’s IV stands at the peak of both its annual range and its most recent broad movement.
WMT Analysis
Wal-Mart Stores Inc. (WMT)
Update 5/18/2017: WMT gapped to the upside after earnings were published and then retreated a bit. I exited at $1.98, or 16.5% of maximum potential profit, below my 25% target.
This was very much a gut feel exit, an approach I’m quite comfortable with, given the human brain’s excellent pattern recognition skills. It seemed likely to me, about 10 minutes after the opening bell, that a reversal to the upside, toward less profit, was imminent, although there was no rational basis that I could point to. The next 30 minutes provided my hunch to be correct.
At exit shares had shown a net rise of 1.8% over one day, or a +657% annual rate. The options position produced a +19.7% yield on debit for a +7,189% annual rate.
WMT publishes earnings on Thursday before the opening bell.
I shall use the series of monthly options that trade for the last time nine days hence, on May 26.
Implied volatility stands at 21%, which is 1.5 times the VIX, a measure of the volatility of the S&P 500 index.
WMT’s IV stands in the 53rd percentile of its annual range and the 98th percentile of its most recent broad movement.
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