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Quantchabot has detected a promising Short Risk Reversal trade opportunity for NTERCEPT PHARMACEUTICALS (ICPT) for the 17-Jul-2020 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
ICPT was recently trading at $78.56 and has an implied volatility of 74.87% for this period. Based on an analysis of the options available for ICPT expiring on 17-Jul-2020, there is a 34.14% likelihood that the underlying will close within the analyzed range of $58.54-$78.58 at expiration. In this scenario, the average linear return for the trade would be 40.56%.
Big -14.33% Change: After closing the last trading session at $91.69, NTERCEPT PHARMACEUTICALS opened today at $80.01 and has reached a low of $77.00.
Trade approach: A movement as big as -14.33% is a significantly bearish indicator, so this trade is designed to be profitable if ICPT maintains its current direction and does not revert back to pricing on the bullish side of $78.56 on 17-Jul-2020. If possible, the trade has been padded such that slight movement against the trade would still return a profit.
Upside potential: Using this bearish strategy, the trade would be profitable if NTERCEPT PHARMACEUTICALS closes at or below $79.40 on 17-Jul-2020. Based on our risk-neutral analysis, there is a 51.41% 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.