The Walt Disney Company (DIS) is scheduled to report earnings after the markets close on Tuesday, February 9, 2016.
Last quarter, the stock had the following price movement after reporting earnings:
Nov 6, 2015
Nov 5, 2015
Historically, (DIS) does not move a lot post-earnings. I like the Neutral Calendar Spread here, which is a strategy that takes advantage of overpriced options and time-decay. The current Implied Volatility (IV) on the February Week 2 expiration is 86.77, while the Implied Volatility on the February 2016 expiration is 54.02. I am expecting the stock this quarter to move around $2.00 -$2.50/share This fits in well with the Neutral Calendar Spread strategy, as the break-even points are wide and the potential ROI is also high. I am giving this trade a 9/10.
Here is how the trade is placed:
Sell -25 DIS FebWk2 91 Call
Buy 25 DIS Feb16 91 Call
Greeks / NBBO
DIS FebWk2 91 Call
DIS Feb16 91 Call
NBBO 0.30 – 0.50. Try to pay 0.40 or less for this trade. At a maximum, pay up to 0.43.
See the attachment for the profit/loss chart. I will post the price to close this trade out tomorrow before the opening bell.
Update 2: 1:48 pm EST: This trade is looking very good. STC still at 0.80.
Update 3: 2/1116: Position Closed.