Trading Earnings Announcements

Transcription

1 Trading Earnings Announcements Interactive Brokers Webcast July 18, 2018 Russell Rhoads, CFA

2 Disclosure Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options. Copies are available from your broker or from The Options Clearing Corporation at The information in these materials are provided for general education and information purposes only. No statement within these materials should be construed as a recommendation to buy or sell a security or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in these materials is available by contacting Cboe at Multiple leg strategies involve multiple commission charges. All other trademarks and service marks are the property of their respective owners Cboe Exchange, Inc. All rights reserved. 2

3 Outline Earnings Announcements GS TSLA BBBY T NVDA Summary / Questions / Contact 3

4 Earnings Announcements Four times a year public companies in the US are required to report their financial results These announcements often result in short term price move in the underlying stock that is greater than an average move for shares The option market adjusts for these anticipated moves and there is often an increase in option trading activity before and after earnings announcements 4

5 GS Reported Before the Open April 17 th Recent Price Reaction History Average Move Biggest Gain Biggest Loss Last Quarter +/- 2.43% +2.15% -4.72% -1.86% 3% 2% 1% 0% -1% -2% -3% -4% -5% -6% Previous Six Quarters Price Reaction Data Source: Bloomberg 5

6 GS Bull Put Spread GS at Sell GS Apr 20 th 250 Put at 0.92 Buy GS Apr 20 th 245 Put at 0.35 Net Credit =

7 GS Bull Put Spread Payoff at Expiration 1 Down 3.2% Down 5.2% -5 7

8 GS Bear Call Spread GS at Sell GS Apr 20 th 265 Call at 1.27 Buy GS Apr 20 th 270 Call at 0.42 Net Credit =

9 GS Bear Call Spread Payoff at Expiration 2 1 Up 2.3% Up 4.2% -5 9

10 GS Earnings Price Reaction /2/18 3/14/18 3/26/18 4/6/18 4/18/18 Data Source: Bloomberg 10

11 TSLA Reported After the Close May 2 nd Recent Price Reaction History Average Move Biggest Gain Biggest Loss Last Quarter +/- 5.71% 6.51% -8.63% -8.63% 8% 6% 4% 2% 0% -2% -4% -6% -8% -10% Previous Six Quarters Price Reaction Data Source: Bloomberg 11

12 TSLA Iron Condor TSLA at Buy TSLA May 4 th Sell TSLA May 4 th 260 Put at 1.35 Sell TSLA May 4 th 345 Call at 0.54 Buy TSLA May 4 th 350 Call at 0.36 Net Credit

13 TSLA Iron Condor Payoff at Expiration 1 Down 13.7% Up 14.6% Down 15.3% Up 16.2% -5 13

14 TSLA Bull Put Spread TSLA at Sell TSLA May 4 th 280 Put at 4.23 Buy TSLA May 4 th 270 Put at 2.40 Net Credit =

15 TSLA Bull Put Spread 2.50 Down 7.1% Down 10.4%

16 TSLA Earnings Price Reaction /16/18 3/28/18 4/10/18 4/20/18 5/2/18 Data Source: Bloomberg 16

17 BBBY Reported After the Close on June 27 th Recent Price Reaction History Average Move Biggest Gain Biggest Loss Last Quarter +/ % +3.93% % % 10% 5% 0% -5% -10% -15% -20% -25% Previous Six Quarters Price Reaction Data Source: Bloomberg 17

18 BBBY Long Call BBBY at Buy BBBY Jun 29 th Call at

19 BBBY Long Call Payoff at Expiration Break-Even Up 12.7%

20 BBBY Short Put BBBY at Sell BBY Jun 29 th Puts for

21 BBBY Short Put Payoff at Expiration 1 Down 7.6%

22 BBBY Earnings Price Reaction /11/18 5/23/18 6/5/18 6/15/18 6/27/18 Data Source: Bloomberg 22

23 T Reported After the Close on April 25 th Recent Price Reaction History Average Move Biggest Gain Biggest Loss Last Quarter +/- 2.89% +5.00% -3.93% +4.57% Previous Six Quarters Price Reactions 6% 4% 2% 0% -2% -4% -6% Data Source: Bloomberg 23

24 T Bear Call Spread T at Sell T Apr 27 th Call at 0.21 Buy T Apr 27 th Call at 0.12 Credit =

25 T Bear Call Spread Payoff at Expiration 0.25 Up 2.2% Up 3.6%

26 T Long Put T at Buy May 4 th Put at

27 T Long Put Payoff at Expiration Up 4.1% 27

28 T Earnings Price Reaction /9/18 3/21/18 4/3/18 4/13/18 4/25/18 Data Source: Bloomberg 28

29 T Through May 4 th Expiration /9/18 3/22/18 4/5/18 4/18/18 5/1/18 Data Source: Bloomberg 29

30 NVDA Reported After the Close on May 10 th Recent Price Reaction History Average Move Biggest Gain Biggest Loss Last Quarter +/ % % -5.33% +6.69% 40% 30% 20% 10% 0% -10% Previous Six Quarters Price Reaction Data Source: Bloomberg 30

31 NVDA Iron Condor NVDA at Buy NVDA May 11 th Put at 0.55 Sell NVDA May 11 th Put at 0.79 Sell NVDA May 11 th Call at 1.46 Buy NVDA May 11 th Call at 1.16 Credit =

32 NVDA Iron Condor Payoff at Expiration Down 8.7% Up 7.6% Down 9.7% Up 8.6%

33 NVDA Bearish Butterfly NVDA at Buy 1 NVDA May 11 th Put at 0.28 Sell 2 NVDA May 11 th Puts at 1.43 ea Buy 1 NVDA May 11 th Put at 4.47 Net Cost =

34 NVDA Bearish Butterfly Payoff at Expiration Down 6.9% Down 11.7% Down 3.0% 34

35 NVDA Earnings Price Reaction /23/18 4/5/18 4/17/18 4/27/18 5/9/18 Data Source: Bloomberg 35

36 Resources Questions / Comments? Cboe Resources Twitter Contact 36