The shares declined by 10.1% over 37 days, or a -100% annual rate. The options produced a 92.0% yield on debit, for a +908% annual rate
The semiconductor manufacturer Intel Corp. (INTC), headquartered in Santa Clara, California, publishes earnings on Wednesday after the closing bell.
[INTC in Wikipedia]
Click on chart to enlarge.
|INTC at 10:23 a.m. New York time, 30 days hourly bars|
I shall use the AUG monthly series of options, which trades for the last time 37 days hence, on Aug. 21.
|Week||SD1 68.2%||SD2 95%||Chart||Earns|
The maximum earnings movement range is relatively wide, and the only way to put most of it in the zone of maximum profit is to construct a strangle, which lacks hedging and therefore has a potentially unlimited loss.
sold for a credit and expiring Aug. 22
Probability of expiring out-of-the-money
The premium is $0.48. The stock at the time of purchase was priced at $29.81.
The zone of profit in the proposed trade covers a $2.50 move either way. The biggest immediate move after each of the past four earnings announcements was $2.94, and the average was $1.35.
Decision for My Account
I've opened a position in INTC has described above.
-- Tim Bovee, Portland, Oregon, July 15, 2015
My volatility trading rules can be read here.
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Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
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