GoPro, Inc. (GPRO) is scheduled to report earnings after the markets close on Thursday, 11/3/16.
Last quarter, the stock had the following price movement after reporting earnings:
Jul 28, 2016
Jul 27, 2016
The Implied Volatility on the weekly at-the-money strike price is an extremely high 401. This is very rare. Compared this number to the November 2016 at-the-money strike price of 113, which is still high, but there’s still a huge discrepancy here. If the stock make a similar move as to what it did last quarter, the trade and strategy I am using here, the Neutral Calendar Spread, will be very profitable immediately. The price is excellent to place this trade, as well, with weekly options available. 9/10.
Here is how to place this trade:
Sell -75 GPRO NovWk1 12 Call
Buy 75 GPRO Nov16 12 Call
NBBO 0.06 – 0.13. Try to pay 0.10 or less for this trade. At a maximum, pay up to 0.11. See the attachment for the profit/loss chart. I will post the price to close this position out tomorrow morning right before the opening bell.
Update 1: 9:22 am EST, 11/4/16 – Pre-market, the stock is down about $2.00/share. This is close to what I expected, so I am anticipating the stock to recover off this low. I am placing the STC (net credit) at 0.30 for now, and will update any changes to this here.
Update 2, 10:07 am EST – price to close this trade out (net credit) now at 0.25.
Update 3: 10:42 am EST. Position closed at 0.27. Paid 0.12.