http://finance.yahoo.com/news/post-maker-3ms-profit-beats-120635342.html http://finance.yahoo.com/news/3m-mmm-beats-q1-earnings-125212234.html http://www.msn.com/en-us/money/stockdetails/financials/fi-126.1.MMM.NYS http://finance.yahoo.com/echarts?s=MMM+Interactive#{"range":"2y","allowChartStacking":true} Trade: With MMM at 166.96 Jan '17 135/130 bull put spread for a net credit of $40 Yield = 40/460 = 8.7% in 269 days or 11.8% annualized Prob = 90% Expectation = .9(40) - .06(460) - .04(230) = 36 - 27.6 - 9.2 = 0.0 Price.......... Profit / Loss....... ROM % 97.50............. (460.00)........... -91.30% 115.00........... (460.00)........... -91.30% 130.00........... (460.00)........... -91.30% 134.60................ 0.00............... 0.00% 135.00.............. 40.00............... 8.70% 145.00.............. 40.00............... 8.70% 155.00.............. 40.00............... 8.70% 165.00.............. 40.00............... 8.70% 170.00.............. 40.00............... 8.70% MMM pays a 2.6% dividend. filled immediately for $42 (10:15)...a lot of put activity.
I don't really understand your expectation calculation... How do you get to that? I assume you use delta as a proxy for prob? And why do you calculate your yield in this way... I don't get your analysis....