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Quantchabot has detected a promising Short Risk Reversal trade opportunity for PBF ENERGY (PBF) for the 18-Jun-2021 expiration period. You can analyze the opportunity in depth over at the Quantcha Options Search Engine.
PBF was recently trading at $14.42 and has an implied volatility of 86.31% for this period. Based on an analysis of the options available for PBF expiring on 18-Jun-2021, there is a 34.14% likelihood that the underlying will close within the analyzed range of $11.24-$14.42 at expiration. In this scenario, the average linear return for the trade would be 54.34%.
Big -7.62% Change: After closing the last trading session at $15.61, PBF ENERGY opened today at $14.92 and has reached a low of $14.00.
Trade approach: A movement as big as -7.62% is a significantly bearish indicator, so this trade is designed to be profitable if PBF maintains its current direction and does not revert back to pricing on the bullish side of $14.42 on 18-Jun-2021. 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 PBF ENERGY closes at or below $14.65 on 18-Jun-2021. Based on our risk-neutral analysis, there is a 52.52% 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.