The automated Quantcha Trade Ideas Service has detected a promising
CME was recently trading at $122.48 and has an implied volatility of 16.54% for this period. Based on an analysis of the options available for CME expiring on 15-Sep-2017, there is a 50.24% likelihood that the underlying will close within the analyzed range of $105.00-$128.33 at expiration. In this scenario, the average linear return for the trade would be 46.80%.
Price target: Zacks Research has updated their six-month price target for CME to $116.67. This price target is a consensus price created from the price targets published by 9 participating analysts whose targets ranged from $92.00 to $136.00.
Mean recommendation: Zacks normalizes analyst recommendations to a 1-5 scale where 1 indicates a strong buy. Their mean recommendation for CME has been updated to 2.33, which indicates a buy consensus from analysts. Sentiment has moved from 2.20 to 2.40 to 2.40 over the past three months.
Trade approach: The difference between the current price for CME and the mean price target is $5.48, which represents a 4.75% move (9.86% annualized). Since the 180-day implied volatility for CME is 18.04%, a neutral range-bound strategy could prove effective if the price target ultimately turns out to be accurate.
Upside potential: Using this neutral range-bound strategy, the trade would be profitable if CME GROUP closed in the range $101.65-$128.35 on 15-Sep-2017. Based on our analysis, there is a 54.92% likelihood of this return. The maximum return for this trade would be 50.38% if CME GROUP closed in the range $105.00-$125.00.
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
This is an automated post generated based on a market analysis of delayed data at 2/28/2017 12:20:40 PM ET. The analysis does not include brokerage fees or commissions and is not investment advice.