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Quantchabot has detected a promising Long Risk Reversal trade opportunity for VALARIS PLC (VAL) for the 21-Feb-2020 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
VAL was recently trading at $7.28 and has an implied volatility of 87.57% for this period. Based on an analysis of the options available for VAL expiring on 21-Feb-2020, there is a 34.13% likelihood that the underlying will close within the analyzed range of $7.30-$10.41 at expiration. In this scenario, the average linear return for the trade would be 65.74%.
Big 7.72% Change: After closing the last trading session at $6.76, VALARIS PLC opened today at $7.38 and has reached a high of $7.45.
Trade approach: A movement as big as 7.72% is a significantly bullish indicator, so this trade is designed to be profitable if VAL maintains its current direction and does not revert back to pricing on the bearish side of $7.28 on 21-Feb-2020. If possible, the trade has been padded such that slight movement against the trade would still return a profit.
Upside potential: Using this bullish strategy, the trade would be profitable if VALARIS PLC closes at or above $6.80 on 21-Feb-2020. Based on our risk-neutral analysis, there is a 57.91% likelihood of this return.
Downside risk: As with any options trade, there is a substantial downside risk where you may lose most or all of your investment.
To analyze this trade in depth, please visit the Quantcha Options Search Engine.