Caterpillar Inc. (CAT)

Updte 5/1/2017: CAT gapped sharply to the upside after earnings were published and continued trading largely above the initial gap. I exited for a loss as the options neared expiration.

Shares showed a net rise of 5.3% over seven days, or a +276% annual rate. The options position produced a 30.7% loss on debit for a -1,601% annual rate.

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CAT publishes earnings on Tuesday before the opening bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 5.

Implied volatility stands at 26%, which is 2.3 times the VIX, a measure of the volatility of the S&P 500 index.

CAT’s IV stands in the 51st percentile of its annual range and the 50th percentile of its most recent broad movement.

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The Coca-Cola Co. (KO)

KO publishes earnings on Tuesday before the opening bell.

I shall use the series of weekly options that trade for the last time 11 days hence, on May 5.

Implied volatility stands at 14%, which is 1.2 times the VIX, a measure of the volatility of the S&P 500 index.

KO’s IV stands in the 39th percentile of its annual range and the 67th percentile of its most recent broad movement.

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4/24 – 3:35 p.m. New York time

I entered a position on CAT coinciding with an earnings announcement. I analyzed KO as a possible trade but rejected it.

My exit orders on HOG, RF and UAL have not yet been filled. If they are, then I shall post an update after the market close.

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3/22 – 2:00 p.m. New York time

Two zombie positions expired today, on LOW and TGT. By “zombie” I mean very low premium options that are the remnants of a more complex structures. The low premium means they can’t be traded, so there they sit, tying up funds until the day of their departure arrives.

The entire positions on LOW and TGT produced losses. I have updated their analyses with results.

By Tim Bovee, Portland, Oregon, April 22, 2017

 

A first look at gross domestic product for the 1st quarter will be published on Friday at 8:30 a.m. New York time.

Other major reports out during the week: Durable goods orders and international trade in goods, both out on Thursday at 8:30 a.m., and new home sales on Tuesday at 10 am.

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CurrencyShares Euro ETF (FXE)

Update 4/25/2017: FXE gapped up sharply after the French presidential election were known, a response greater than I antipated. As options expiration rapidly approached, I exited for a loss.

Shares rose by 2.26% over four days, or a +206% annual rate. The options position produced a -27.0% loss on debit for a =2,460% annual rate.

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I am constructing an event play for the first round of the French presidential election on Sunday. There are four ideologically diverse candidates running a tight race, including the right-wing party leader Marine Le Pen.

It all leaves room for all sorts of surprises and for none at all. See more details in the excellent Wikipedia article covering the election.

If no candidate gets more than half the vote on Sunday, the election will go to a run-off between the top two candidates, on May 7. I am playing each vote separately.

I have chosen FXE as my vehicle, as I did before last  year’s Bexit vote in the U.K. It tracks the Euro and therefore the heart of the European project.

I shall use the APR28 series of weekly options, which trades for the last time seven days hence, on April 28.

Implied volatility stands at 15%, about the same as the VIX, a measure of the volatility of the S&P 500 index.

FXE’s IV stands in the 100th percentile of both its annual range and its most recent broad movement.

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4/22 – 3:20 p.m. New York time

I exited V for a profit and entered an event play on FXE in connection with the French presidential election on Friday.

I have an open order to exit DAL but it has not been filled and appears unlikely to be filled today.

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Visa Inc. (V)

Update 4/21/2017: V rose sharply in the pre-market after earnings were published and then after the opening bell dropped back to to the prior day’s closing, bringing the price to close to the maximum profit point on my position. I exited at 20.6% of maximum potential profit; my goal was 25%. Since time is money, I think getting out early was a good trade-off.

Stocks showed a net decline of 0.9% over one day, or a 317% annual rate The options position produced a 26.0% yield on debit for a +9.490% annual rate.

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V publishes earnings on Thursday after the closing bell.

I shall use the 28APR series of option weeklys, which trades for the last time eight days hence, on April 28.

Implied volatility stands at 26%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.

V’s IV stands in the 75th percentile of its annual range and the 91st percentile of its most recent broad movement.

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4/20 – 2:30 p.m. New York time

I entered a new position, an earnings play on V.

I exited three positions: CSX, EBAY and QCOM.

I am attempting an exit on DAL, but it appears unlikely to go through. If it does I shall update with results.

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CSX Corp. (CSX)

Update 4/20/2017: CSX gapped sharply higher after earnings were published. I exited for a loss.

Shares rose by 6.7% over one day, or a +2,458% annual rate. The options position produced a -46.5% loss on debit for a -16,974% annual rate

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CSX publishes earnings on Wednesday after the closing bell.

I shall use the MAY series of options, which trades for the last time 30 days hence, on May 19.

Implied volatility stands at 35%, which is 2.5 times the VIX, a measure of the volatility of the S&P 500 index.

CSX’s IV stands in the 75th percentile of its annual range and the 64th percentile of its most recent broad movement.

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