UBS: http://www.marketwatch.com/story/ubs-ceo-gruebel-resigns-in-wake-of-rogue-trades-2011-09-24 http://www.cnbc.com/id/44653674?__source=yahoo|headline|quote|text|&par=yahoo http://finance.yahoo.com/q/pr?s=UBS+Profile http://moneycentral.msn.com/investo...ment=10YearSummary&symbol=US:UBS&stmtView=Qtr http://finance.yahoo.com/q/ks?s=UBS+Key+Statistics http://finance.yahoo.com/q/bc?s=UBS&t=2y&l=off&z=l&q=l&c= Jan '12 = 118 DAYS Trade 1: Bear put spread With UBS at 11.25 buy the Jan '12 12.50 put and sell the Jan '12 10.00 put for a net debit of $135 Price..........................P/L 9.00.........................115 10.00.......................115 11.00.........................14 12.00.......................(85) 13.00.......................(135) 14.00.......................(135) Trade2: bear call spread Sell the Jan '12 15 call and buy the Jan '12 17.50 call for a net credit of $15. Price..........................P/L 9.00........................ .15 10.00........................15 11.00........................15 12.00........................15 13.00........................15 14.00........................15 15.00........................15 16.00.......................(85) 17.00......................(186) 18.00......................(235) Probabilities and expectation based on previous price behavior are meaningless in this type of situation.
XOM: http://www.businesswire.com/news/home/20110728006047/en http://finance.yahoo.com/q/ks?s=XOM+Key+Statistics http://seekingalpha.com/article/294...ks-in-a-volatile-market-exxon-mobil-microsoft http://seekingalpha.com/article/292140-large-put-spread-targets-exxon-mobil?source=yahoo http://finance.yahoo.com/q/bc?t=5y&s=XOM&l=off&z=l&q=c&c=&c=^DJI http://finance.yahoo.com/q/bc?s=XOM&t=5y&l=off&z=l&q=c&c= Trade: Sell the Apr '12 50 put and buy the Apr '12 47.5 put for a net credit of 25. Yield = 25/225 = 11.1% in 207 days or 19.6% annualized. Prob = 91.1% Expectation = .911(25) - .055(225) - .034(112) = 22.8 - 12.4 - 3.8 = 6.6
WAG: http://www.bloomberg.com/news/2011-...helped-by-prescription-demand.html?cmpid=yhoo http://finance.yahoo.com/q/ks?s=WAG+Key+Statistics http://moneycentral.msn.com/investo...ment=10YearSummary&symbol=US:WAG&stmtView=Qtr http://finance.yahoo.com/q/bc?t=5d&s=WAG&l=on&z=l&q=l&c=&c=^DJI http://finance.yahoo.com/q/bc?t=5y&s=WAG&l=on&z=l&q=l&c= Trade: Sell the Jan '12 25 put and buy the Jan '12 22.50 put for a net credit of $20 Yield = 20/230 = 8.7% in 115 days or 27.6% annualized. Prob = 93.5% Expectation = .935(20) - .021(230) - .044(115) = 18.7 - 4.8 -5.1 = 8.8 Prob and Expectation based on prior distribution of stock price.
BA: http://www.reuters.com/article/2011/09/28/us-boeing-idUSTRE78R03420110928 http://www.fool.com/investing/general/2011/09/27/congrats-boeing-but-now-your-run-is-done.aspx http://moneycentral.msn.com/investo...ement=10YearSummary&symbol=US:BA&stmtView=Qtr http://finance.yahoo.com/q/bc?s=BA&t=5d&l=off&z=l&q=l&c= http://finance.yahoo.com/q/bc?s=BA&t=5y&l=off&z=l&q=l&c= "The first nine years of this multi-decade revenue stream are going to look simply awful. As far back as June, Boeing had been warning investors that despite enjoying incredible sales success, the 787 would not actually become profitable "for some time." Yesterday, management put a number on that caveat: New Dreamliners will begin grossing profits by 2020" Trade: With BA at 62.78 Jan '12 Iron Condor http://www.investopedia.com/terms/i/ironcondor.asp#axzz1ZEC74bEx Sell the 52.50 put and the 72.50 call Buy the 50 put and the 75 call Lower breakeven = 51.56 Upper breakeven = 73.44 ...........................P/L.................Prob 45....................(156).................7% 50....................(156)................16% 55.....................94....................28% 60.....................94....................42% 65.....................94....................44% 70.....................94....................31% 75.....................(156)...............21% 80.....................(156)...............14% Potential yield = 94/156 = 60.2% in 115 days One could take the top half or the bottom half of the Iron Condor alone.
HES: http://blogs.barrons.com/stockstowa...en-down-oil-stocks-barclays/?mod=yahoobarrons http://finance.yahoo.com/news/Hess-Sees-Higher-Shale-zacks-3913725771.html?x=0&.v=1 http://finance.yahoo.com/q/ks?s=HES+Key+Statistics http://finance.yahoo.com/q/bc?s=HES&t=5y&l=on&z=l&q=l&c= Trade: Sell the Jan '12 35 put and buy the Jan '12 30 put for a net credit of $36. Yield = 36/464 = 7.8% in 115 days or 24.6% annualized Prob = 91.6% Expectation = .916(36) - .03(464) - .06(232) = 33 - 13.9 - 13.9 = 5.2
WMT: http://www.bloomberg.com/news/2011-...nd-quarter-profit-climbs-5-7-.html?cmpid=yhoo http://finance.yahoo.com/q/bc?s=WMT&t=5y&l=off&z=l&q=l&c=^DJI http://finance.yahoo.com/q/bc?t=5y&s=WMT&l=off&z=l&q=l&c= Trade: Sell the Jan '12 40 put and buy the Jan '12 37.50 put for a net credit of $15. Yield = 15/235 = 6.38% in 114 days or 20.4% annualized Prob = 96.75% Expectation = .9675(15) - .0076(235) - .03(117) = 14.6 -1.6 - 3.5 = 9.5
I got $40 for the HES trade which gives a yield of 40/460 = 8.69% in 114 days or 27.8% annualized. Speaking of Boeing: http://finance.yahoo.com/news/Dozens-arrested-in-drug-raid-apf-1025195682.html?x=0 I think they are going to be late on helicopter deliveries.
BMY: http://finance.yahoo.com/news/Ahead-of-the-Bell-Analyst-apf-1613699753.html?x=0&.v=1 http://finance.yahoo.com/news/BristolMyers-Evenly-zacks-3075024408.html?x=0&.v=1 http://seekingalpha.com/article/296...-in-on-a-blockbuster-cancer-drug?source=yahoo http://finance.yahoo.com/q/ks?s=BMY+Key+Statistics http://moneycentral.msn.com/investo...ment=10YearSummary&symbol=US:BMY&stmtView=Qtr http://finance.yahoo.com/q/bc?t=5y&s=BMY&l=on&z=l&q=l&c=&c=^DJI http://finance.yahoo.com/q/bc?s=BMY&t=5y&l=on&z=l&q=l&c= Trade: Jan '12 bull put spread 22.50/20: credit = $12 Yield = 12/238 = 5.04% in 113 days or 16.2% annualized. Prob = 98.7% Expectation = .987(12) - .012(238) .001(119) = 11.8 - 2.8 - .12 = 8.9
YHOO: http://finance.yahoo.com/news/And-the-Drama-Continues-for-zacks-640432760.html?x=0&.v=1 http://finance.yahoo.com/q/bc?s=YHOO&t=5y&l=on&z=l&q=l&c= Sell the Jan '12 12.50 put and buy the Jan '12 10 put for a net credit of $92 Yield = 92/158 = 58% in 113 days or 188% annualized Prob = 51% Expectation = .51(92) - .22(158) - .27(79)= 46.9 - 34.8 - 21.3 = -9.2 The expectation on the trade is not important IF the takeover gells, but without the takeover and based solely on stock price distributions this is not a very good trade.
AEP: http://seekingalpha.com/article/295...her-its-recent-love-is-justified?source=yahoo http://seekingalpha.com/article/295...-good-dividend-yield-with-upside?source=yahoo http://finance.yahoo.com/q/ks?s=ETR+Key+Statistics http://moneycentral.msn.com/investo...ment=10YearSummary&symbol=US:AEP&stmtView=Qtr http://finance.yahoo.com/q/bc?s=AEP&t=5y&l=on&z=l&q=l&c= http://finance.yahoo.com/q/bc?s=AEP&t=2y&l=on&z=l&q=l&c= Trade: Sell the May '12 30put and buy the May '12 25 put for a net credit of $45 Yield = 45/455 = 9.9% in 230 days or 15.7% annualized. Prob = 87% Expectation = .87(45) - .03(455) - .1(227) = 39.2 - 13.6 -22.7 = 2.9