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Selling Out-Of-The-Money Puts The Day Before Earnings Had 92% Winning Occurrences

MarketChameleon's Option Strategy Analysis Shows That Selling Out-Of-The-Money Puts The Day Before Earnings Had 92% Winning Occurrences

Feb. 12, 2018 11:07 AM ET|Includes: KOPepsiCo Inc. (PEP)

Summary

PEP to Release Earnings on February 13.

option traders are expecting a ± 3.6% move for this earnings.

average gain of +70.3%.

PEP to Release Earnings on February 13

Pepsico (PEP) is scheduled to release earnings on February 13, 2018, before the market opens, and will hold a conference call at 7:45 AM ET on the same day. The stock currently trades at 111.43, which is1.9% higher than the close following its last reported earnings, trading with a range of 106.19 to 122.51 since that time.

Expected Price Volatility

Currently, option traders are expecting a ± 3.6% move for this earnings, and during the previous earnings release, the stock experienced a +0.2% move. Over the last 12 quarters, the absolute average move has been ± 0.9%, with a minimum move of 0.0% and a maximum move of 2.5%. PEP has only experienced 1larger-than-expected earnings move in the last 12 quarters.

Earnings Price Pattern

The MarketChameleon earnings price pattern has detected two notable historical trends.

Opening Gap Rebound:For each of the last 4 quarters, PEP stock price has rebounded intraday after negative opening gaps. Over that time, it eventually closes an average of +1.3% higher than the open.

Earnings Opening Gap:For each of the last 4 quarters, the stock price has gapped open with significant losses, on average opening down -1.6%.

Earnings Option Strategies

MarketChameleon's option strategy analysis shows that selling out-of-the-money puts the day before earnings had 92% winning occurrences, for an average gain of +70.3%. Additionally, selling at-the-money straddles resulted in 83% winning occurrences, for an average return of +36.1%.

EPS Estimate

Analysts are currently expecting PEP to report an earnings of $1.31 per share, compared to $1.20 for the same quarter last year. Revenue is expected to come in at $19.4 billion versus $19.5 billion for the previous year.

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