MMM

[oldnemesis]

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.

 

[JackRab]

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....