The Goldman Sachs Group Inc. (GS)
GS publishes earnings on Tuesday before the opening bell.
I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.
Implied volatility stands at 26%, which is 1.7 times the VIX, a measure of the volatility of the S&P 500 index.
GS’s IV stands in the 33rd percentile of its annual range and the 72nd percentile of its most recent broad movement.
Bank of America Corp. (BAC)
Update 5/15/2017: BAC rose sharply beginning on the 5th trading day after earnings were published, gapping on two consecutive days and rapidly becoming unprofitable. As expiration approached, I exited the position for a $3.10 debit.
Shares rose by 6.6% over 28 days, or a +86% annual rate. The options position produced a -23.6% loss on debit for a -308% annual rate.
BAC publishes earnings on Tuesday before the opening bell.
I shall use the MAY series of options, which trades for the last time 32 days hence, on May 19.
Implied volatility stands at 30%, which is double the VIX, a measure of the volatility of the S&P 500 index.
BAC’s IV stands in the 33rd percentile of its annual range and the 77th percentile of its most recent broad movement.
Industry and housing top the economic reporting for the week.
Industrial production statistics will be published Tuesday at 9:15 a.m. New York time.
The housing reports are housing starts on Tuesday at 8:30 a.m. and existing home sales on Friday at 10 a.m.
4/13 – 2:40 p.m. New York time
I’m closing down my trading desk, with no new positions in my holdings and no exits in sight. The U.S. markets will next be open on Monday, April 17.
The PNC Financial Services Group Inc. (PNC)
PNC publishes earnings on Thursday before the opening bell.
I shall use the MAY series of options, which trades for the last time 37 days hence, on May 19.
Implied volatility stands at 27%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.
PNC’s IV stands in the 43rd percentile of its annual range and the 99th percentile of its most recent broad movement.
Citigroup Inc. (C)
Update 4/19/2017: C gapped to the downside after earnings were published and then rose back to profitable levels. I exited at 18.2% of maximum potential profit.
Shares declined by 0.9% over seven days, or a -47% annual rate. The options position produced a 22.2% yield on debit for a +1,159% annual rate
C publishes earnings on Thursday before the opening bell.
I shall use the MAY series of options, which trades for the last time 37 days hence, on May 19.
Implied volatility stands at 27%, which is 1.8 times the VIX, a measure of the volatility of the S&P 500 index.
C’s IV stands in the 26th percentile of its annual range and the 93rd percentile of its most recent broad movement.
Wells Fargo & Co. (WFC)
Update 4/19/2017: WFC gapped to the downside after earnings were published and then over three days retraced much of the decline. I exited at 19.4% of maximum potential profit.
Shares declined by 2.0% over seven days, or a -102% annual rate. The options position produced a 24.1% yield on debit for a +1,258% annual rate.
WFC publishes earnings on Thursday before the opening bell.
I shall use the MAY series of options, which trades for the last time 37 days hence, on May 19.
Implied volatility stands at 26%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.
WFC’s IV stands in the 56th percentile of its annual range and the peak of its most recent broad movement.
JPMorgan Chase & Co. (JPM)
Update 4/17/2017: JPM fell after earnings were announced, the day before a three-day holiday weekend, and then recovered most of its loss after the holiday. I exited slightly below my target of 25% of maximum potential profit in order to clear space in my account for new trades. At exit the price was at 22.6% of max profit.
Shares decliend by 0.3% over five days for a 24% annual rate. The options posiion produced a 29.1% yield on debit for a +2,127% annual rate
JPM publishes earnings on Thursday before the opening bell.
I shall use the MAY series of options, which trades for the last time 37 days hence, on May 19.
Implied volatility stands at 25%, which is 1.6 times the VIX, a measure of the volatility of the S&P 500 index.
JPM’s IV stands in the 42nd percentile of its annual range and the peak of its most recent broad movement.
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