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Quantchabot has detected a promising Long Risk Reversal trade opportunity for CHEVRON (CVX) for the 17-Apr-2020 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
CVX was recently trading at $74.20 and has an implied volatility of 53.92% for this period. Based on an analysis of the options available for CVX expiring on 17-Apr-2020, there is a 34.14% likelihood that the underlying will close within the analyzed range of $74.24-$92.59 at expiration. In this scenario, the average linear return for the trade would be 75.07%.
Big 7.11% Change: After closing the last trading session at $69.27, CHEVRON opened today at $70.30 and has reached a high of $75.97.
Trade approach: A movement as big as 7.11% is a significantly bullish indicator, so this trade is designed to be profitable if CVX maintains its current direction and does not revert back to pricing on the bearish side of $74.20 on 17-Apr-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 CHEVRON closes at or above $70.90 on 17-Apr-2020. Based on our risk-neutral analysis, there is a 58.25% 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.