CRSP July 25th Options Begin Trading

Analysis of CRISPR Therapeutics AG (CRSP) options reveals potential yield-boosting strategies for investors. Selling a $35 put offers a 5.71% return (41.71% annualized) if the contract expires worthless, which analytics suggest has a 66% probability. Conversely, a covered call strategy selling a $40 call yields a potential 11.86% return if the stock is called away, with a 56% chance of the contract expiring worthless and providing a 5.71% (41.65% annualized) premium boost; implied volatilities for the put and call are 64% and 61% respectively, compared to a trailing twelve month volatility of 55%.

Analysis

The analysis of CRISPR Therapeutics AG (CRSP) options highlights two potential yield-enhancing strategies. Selling the $35.00 strike put contract, with a current bid of $2.00, could allow an investor to acquire shares at an effective cost basis of $33.00, representing an approximate 7% discount from the current $37.68 share price. There is a 66% probability, based on current analytical data, that this out-of-the-money put contract will expire worthless, in which case the $2.00 premium would yield a 5.71% return on the cash commitment, or an annualized 41.71%. On the call side, selling the $40.00 strike call contract against existing CRSP shares at $37.68, with a current bid of $2.15, presents a covered call strategy. If CRSP shares are called away at $40.00 by the specified July 25th expiration, the total return would be 11.86%. Alternatively, if this call contract, which is approximately 6% out-of-the-money, expires worthless (a 56% probability), the investor retains the shares and the premium, realizing a 5.71% yield boost, or 41.65% annualized. Notably, the implied volatility for the put is 64% and for the call is 61%, both exceeding CRSP's trailing twelve-month actual volatility of 55%, suggesting options are pricing in greater future price swings than observed historically.

Key Decisions for Investors

• Investors interested in acquiring CRSP at a discount to its current price of $37.68 could consider selling the $35.00 strike put, targeting an effective purchase price of $33.00 or a 5.71% unannualized return if the option expires worthless.
• Current CRSP shareholders seeking to generate income and willing to cap upside potential could evaluate selling the $40.00 strike covered call, which offers an 11.86% potential return if called away by the July 25th expiration or a 5.71% premium yield if it expires worthless.
• Recognize that the elevated implied volatilities (61-64%) compared to historical volatility (55%) may offer favorable conditions for option sellers, but also signal market expectations for significant price movements in CRSP.
• Monitor CRSP's share price movement relative to the $35.00 put strike and $40.00 call strike, particularly as the July 25th expiration approaches for the call, to manage potential assignment or expiration outcomes.