Intel Revenue (INTC): Finding a Potential Options Exchange
OWelcome to the ORATS Earnings Report, where we research companies with upcoming earnings announcements, view historical earnings information, and find a potential options trade. Read on or watch the presentation video here: https://youtu.be/FfkPznQ3Jyw. Let’s start by running an analysis of stocks reporting profits this week, which includes the total options volume indicator, sorted from largest to least. Focusing on Intel, as we click on it, we see this large-cap company in the semiconductor industry reporting earnings on Thursday, January 26, after the close. The Earnings and Financials tab takes us to more details showing the options market expecting a 6.4% move in either direction. This decision has been violated in 9 of the last 12 wins. Meanwhile, the post-earnings move was outside the implied range 10 times. In these cases, long overlaps were profitable. The rest of the profit moves likely generated profitable short overlaps. We can overlay quarterly financial data by clicking on the ratios below the earnings chart. Let’s look at the PE ratio, which is the share price divided by trailing twelve month earnings per share. For INTC, the current PE ratio is 10.4, or 4.2% above the average of the last twelve earnings observations. By returning to the Overview tab, we can quickly run an analysis to find the best options trades. Since profits are fast approaching, we look for neutral strategies and then filter the results of the analysis by S%, or smoothed edge, setting them between negative 3% and 3%. This allows the results to be restricted to transactions that are priced fairly. The top-ranked trade is a LongPutCalendar with strikes at 29, expiring Friday, February 17 and Friday, April 21, for a debit of $0.48. By pulling up the trade, we can see the theoretical values in more detail. The distribution advantage, found by the expected value of the gain picture over the historical distribution of the stock, has a 43.6% advantage. The expected advantage, which is derived from historical volatility, has an advantage of 12.7%. Finally, the smoothed edge, which is calculated by drawing a curve of best fit through the monthly implied volatilities, has an edge of -1.3%. The advantage is relative to the average market price of the trade. Larger positive edges are a theoretical advantage for the trader. We can also look at the earnings chart. The profit probability sums the nodes probability for the part of the win picture above the zero profit line over three standard deviations. For this trade, the profit probability is 75.39%. The risk reward divides the maximum gain by the maximum loss. Here, the 2.3 to 1 is the ratio of the maximum gain of $106 to the maximum loss of -$47. There are two breakeven points for this LongPutCalendar at 26.3 and 32.4. You can also view the price attribution to see how much each of the individual Greek and theoretical values contributes to the trade price change from yesterday to today. Next, let’s look at this trade in the trade builder. Over the past month, the stock price has increased by 13.5%, while the thirty-day implied volatility has increased by 6.3%. The average slope of the trend lines is positive. The heat map on the right side of the chart is green where volatility and slope are undervalued, and red where they are overvalued. In this case, the short-term IV and slope are slightly undervalued, while the long-term is slightly overvalued. We can also see this trade overlaid on the monthly implied volatility chart in the channel tab. The legs of this craft are circled. For any questions or issues with the item, please contact [email protected] To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed as representing trading or investment advice tailored to your investment objectives. You should not rely solely on the contents herein and we strongly encourage you to discuss any transaction or investment with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction or investment strategy is suitable for any particular person. Trading and investing in options involves risk and is not suitable for all investors. The views and opinions expressed herein are the views and opinions of the author and do not necessarily reflect those of Nasdaq, Inc.