Saturday, October 17, 2015

AAPL Update #36 (Expiration Friday)

Oct 16

Analysis

AAPL continued to trade in a tighter range for the past couple weeks. Earnings is within two weeks.

AAPL closed at 111.04 today, trading within a 1pt range and implied volatility continues to pick up going into the earnings cycle. 

Its 52 week rank is still just 44, but this should rise in the coming week.

There was some opportunity to roll down the short calls this week to capture some delta movement, but nothing too great. I would have had to roll down a couple of strikes and risk the short position being in the money and then having to roll out again. With earnings coming, I want to position the collar a little wider but within the 1SD range to allow and upside room.

Without any upcoming event, I would have probably just rolled the short call over at the same strike picking up another week of premium (sold). I decided to roll up the calls by one strike for another week and collect premium and then wait to purchase the next cycle's put.

AAPL will probably continue to move in a tight range and I have one more opportunity to roll before earnings are released on Oct 27th.

Expected Move (EM) for Earnings (chart from dough.com)

Looking out to earnings week (Oct 30' expiration), the ATM straddle is currently selling for 7.10 and the corresponding EM (shaded) move for that week is approximately 105-117. The 16 delta OTM options representing a 1SD move is currently 101 and 121

Ideally, I want to have the collar with as much upside within the EM and the put as close to current price as possible to capture any move.




Trades

Roll out the short call
+7c Oct 16' 112 Call @ 0.28
-7c Oct 23' 113 Call @ 0.81
Net credit: -0.53/c

105 Oct 16' Puts will expire worthless @ 0.0

The position has a breakeven (downside) of 105.68 and an upside maximum profit of 5376 at 113.

I do not expect much movement this week. I want to have on the full collar, however by expiration next Friday going into earnings.

Purchase new weekly Put
+7c Oct 23' 108 Put @ 0.51

-End