Details: I exited six iron condors and in addition, the remaining 14 call pairs, which were a bear call spread, on July 22. The remaining bull put spreads expired on July 25.
Shares rose by 2.6% over 10 days, or a +91% annual rate. The optons produced a 37.1% 7ield on debit, for a +1,325% annual rate.
The financial company JPMorgan Chase & Co. (JPM), headquartered in New York City, publishes earnings on Tuesday prior to the opening bell.
[JPM in Wikipedia]
Click on chart to enlarge.
|JPM at 11:02 a.m. New York time, 30 days hourly bars|
|Week||SD1 68.2%||SD2 95%||Chart||Earns|
I shall use the JUL4 weekly series of options, which trades for the last time 11 days hence, on July 24.
short the $67 puts and long the $66 puts,
sold for a credit and expiring July 25.
Probability of expiring out-of-the-money
I skewed the profit zone toward the upside in order to account for the strong rising trend since July 8.
The premium is $0.24, which is 25% of the width of the position’s wings.The stock at the time of purchase was priced at $67.92.
The zone of profit in the proposed trade covers a $2.25 move either way. The biggest immediate move after each of the past four earnings announcements was $2.42, and the average was $1.40.
The risk/reward ratio is 3:1, a bit high. That's the price I pay for a wide profit zone.
Decision for My Account
I've opened a position in JPM as described above.
-- Tim Bovee, Portland, Oregon, July 13, 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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