Earningsoption Scenario Wba Us 01072016

In Progress...
Probability
Cum. Prob
81
0
0
Maturity/Scenario
08/07/2016
15/07/2016
22/07/2016
29/07/2016
05/08/2016
12/08/2016
81.5
0
0
81
-68%
-50%
-41%
-35%
-25%
-28%
81.5
-79%
-57%
-47%
-40%
-29%
-30%
82
5%
0.05
82
-86%
-63%
-52%
-43%
-31%
-32%
82.5
10%
0.15
82.5
-91%
-68%
-55%
-46%
-33%
-33%
83
83.5
84
84.5
15%
25%
25%
10%
0.3
0.55
0.8
0.9
Strangle Put 81 Call 86
85
5%
0.95
83
-94%
-70%
-57%
-47%
-34%
-34%
85
-85%
-61%
-50%
-41%
-29%
-30%
83.5
-95%
-71%
-57%
-47%
-34%
-34%
84
-94%
-69%
-56%
-46%
-33%
-33%
84.5
-90%
-66%
-54%
-44%
-32%
-32%
85.5
5%
1
85.5
-77%
-55%
-45%
-37%
-26%
-27%
86
0
1
1
OK
86
-67%
-47%
-38%
-32%
-21%
-24%
WALGREENS BOOTS ALLIANCE INC

WBA US
83.3
Spot basis (round)
Expectation
-91.8%
-67.9%
-55.2%
-45.5%
-32.8%
-33.0%
Dates
08/07/2016
15/07/2016
22/07/2016
TS bef.
40.6%
33.5%
29.9%
TS aft.
22.6%
22.5%
21.7%
Earnings Release Paris Time:

Management Call Paris Time:
81.5
82
82.5
83
83.5
06/07/2016
FOR US STOCKS
Calls
81
13:00
14:30:00
29/07/2016
28.1%
21.6%
We assume sticky moneyness.
julien.messias@uncia-am.com
05/08/2016
28.0%
23.0%
Summary as of
01/07/2016
12/08/2016
27.7%
23.6%
We price the options as if we were just before earnings release.
The earnings date must be before the first option maturity date
OK
Fill in the yellow cells
According to ATM volatilities, assuming a flat Term Structure, formula for implied earnings move is:
Minimum premium is set up at 0.02
Expected move - act
5.58%
83.5
Strike Step (+-)
0.5
Strikes Strangle
81
86
Puts
RETURN OPTIONS MATU 08-07-2016. Vol swings from 40.6 to 22.6. Spot at 83.5
Strike/Spot
06/07/2016
06/07/2016
84
84.5
85
85.5
86 Expectation Strike/Spot
84
84.5
85
85.5
86
81
81
-44%
-62%
-76%
-86%
-92%
-96%
-98%
-99%
-100%
-100%
-100%
-94%
81.5
81.5
-30%
-50%
-67%
-79%
-87%
-93%
-96%
-98%
-99%
-100%
-100%
-91%
82
82
-16%
-38%
-56%
-70%
-81%
-89%
-93%
-96%
-98%
-99%
-100%
-87%
82.5
82.5
-3%
-25%
-45%
-61%
-74%
-83%
-90%
-94%
-97%
-98%
-99%
-82%
83
83
8%
-14%
-34%
-51%
-65%
-76%
-85%
-91%
-95%
-97%
-99%
-75%
17%
-4%
-23%
-41%
-56%
-69%
-79%
-86%
-92%
-95%
-97%
-68%
81
81.5
83.5
-97%
-95%
-91%
-85%
-76%
-65%
-50%
-33%
-13%
9%
32%
-57%
83.5
84
-98%
-97%
-94%
-89%
-82%
-72%
-59%
-42%
-22%
0%
25%
-64%
84
84.5
-99%
-98%
-96%
-93%
-88%
-80%
-68%
-53%
-34%
-11%
16%
-72%
84.5
85
-100%
-99%
-98%
-96%
-92%
-85%
-76%
-62%
-44%
-22%
5%
-78%
85
85.5
-100%
-99%
-99%
-97%
-95%
-90%
-83%
-72%
-57%
-37%
-11%
-84%
85.5
-100% -100%
-99%
-99%
-97%
-94%
-88%
-80%
-66%
-48%
-24%
-89%
86
86
81
81.5
82
82.5
83
83.5
Strike/Spot
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
Expectation
82
82.5
83
83.5
84
84.5
85
85.5
86
81
81
-13%
-30%
-44%
-56%
-66%
-74%
-81%
-86%
-90%
-93%
-95%
-74%
81.5
81.5
-5%
-22%
-37%
-50%
-60%
-69%
-77%
-83%
-87%
-91%
-93%
-69%
82
82
1%
-15%
-30%
-44%
-55%
-65%
-73%
-79%
-84%
-88%
-92%
-65%
82.5
82.5
6%
-10%
-25%
-38%
-50%
-60%
-68%
-75%
-81%
-86%
-90%
-60%
83
83
14%
-2%
-17%
-31%
-43%
-54%
-63%
-71%
-77%
-83%
-87%
-55%
19%
3%
-12%
-25%
-37%
-48%
-58%
-66%
-73%
-79%
-84%
-50%
81
-4%
-2%
6%
11%
15%
18%
81.5
-19%
-16%
-9%
-4%
1%
5%
82
82.5
83
83.5
84
84.5
85
-32%
-44%
-54% -62% -69%
-76%
-81%
-29%
-40%
-50% -59% -67%
-73%
-78%
-22%
-34%
-44% -54% -62%
-69%
-75%
-17%
-29%
-39% -49% -57%
-65%
-71%
-12%
-24%
-35% -45% -53%
-61%
-68%
-8%
-20%
-31% -40% -49%
-57%
-64%
85.5
-85%
-83%
-80%
-77%
-74%
-70%
86
-88%
-87%
-84%
-81%
-79%
-76%
Expectation
-63%
-60%
-55%
-50%
-46%
-42%
81
2%
7%
9%
13%
15%
9%
81.5
-11%
-7%
-4%
0%
3%
-2%
82
82.5
83
83.5
84
84.5
85
-23%
-34%
-44% -53% -60%
-67%
-72%
-19%
-30%
-40% -48% -56%
-63%
-69%
-16%
-27%
-36% -45% -53%
-60%
-66%
-12%
-23%
-33% -42% -50%
-57%
-63%
-9%
-19%
-29% -38% -46%
-54%
-60%
-12%
-22%
-31% -39% -47%
-54%
-60%
85.5
-77%
-74%
-72%
-69%
-66%
-66%
86
-81%
-79%
-77%
-74%
-71%
-71%
Expectation
-53%
-49%
-46%
-43%
-40%
-41%
81
9%
12%
15%
18%
19%
4%
81.5
-3%
0%
3%
6%
8%
-6%
RETURN OPTIONS MATU 05-08-2016. Vol swings from 28 to 23. Spot at 83.5
82
82.5
83
83.5
84
84.5
85
-14%
-24%
-33% -41% -48%
-55%
-61%
-11%
-21%
-30% -38% -46%
-52%
-59%
-7%
-17%
-26% -35% -42%
-49%
-56%
-4%
-14%
-23% -32% -39%
-46%
-53%
-2%
-12%
-21% -29% -37%
-44%
-51%
-14%
-22%
-30% -37% -44%
-50%
-55%
85.5
-67%
-64%
-61%
-59%
-56%
-61%
86
-71%
-69%
-67%
-64%
-62%
-65%
Expectation
-42%
-39%
-36%
-33%
-31%
-38%
81
6%
-1%
5%
3%
15%
-7%
81.5
-4%
-11%
-4%
-6%
5%
-15%
82
82.5
83
83.5
84
84.5
85
-14%
-22%
-31% -38% -45%
-51%
-57%
-19%
-27%
-34% -41% -47%
-53%
-58%
-13%
-21%
-29% -36% -42%
-49%
-54%
-14%
-22%
-29% -36% -42%
-48%
-54%
-4%
-12%
-20% -28% -35%
-41%
-47%
-22%
-28%
-35% -40% -46%
-51%
-56%
85.5
-62%
-63%
-59%
-59%
-53%
-60%
86
-66%
-68%
-64%
-63%
-58%
-64%
Expectation
-39%
-42%
-37%
-37%
-29%
-42%
83.5
-84%
-78%
-71%
-63%
-54%
-43%
-30%
-17%
-1%
15%
33%
-37%
83.5
84
-86%
-81%
-75%
-67%
-58%
-48%
-35%
-21%
-6%
11%
30%
-42%
84
-88% -84% -78% -71% -63% -52% -40%

-26%
-10%
7%
-90% -87% -81% -75% -67% -57% -45%
-31%
-15%
3%
-92% -89% -84% -78% -71% -62% -50%
-37%
-21%
-2%
-94% -91% -87% -82% -75% -66% -56%
-43%
-27%
-9%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
27%
23%
18%
12%
-46%
-51%
-55%
-60%
84.5
85
85.5
86
84.5
85
85.5
86
Strike/Spot
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
Strike/Spot
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
Strike/Spot
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
Strike/Spot
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
-75% -69% -62% -54% -45% -35% -24%

-12%
1%
15%
-78% -72% -65% -57% -49% -39% -27%
-15%
-1%
13%
-81% -76% -70% -62% -54% -45% -34%
-22%
-9%
6%
-82% -77% -71% -63% -55% -45% -34%
-21%
-7%
9%
-84% -79% -74% -67% -58% -49% -37%
-25%
-10%
6%
-86% -81% -76% -69% -61% -52% -41%
-28%
-13%
3%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
-69% -63% -57% -49% -41% -32% -22%

-11%
0%
-70% -64% -58% -50% -41% -32% -22%
-10%
2%
-73% -68% -61% -54% -46% -37% -27%
-15%
-3%
-75% -69% -62% -55% -47% -37% -26%
-15%
-2%
-77% -71% -65% -58% -49% -40% -29%
-17%
-4%
-78% -73% -66% -59% -51% -41% -30%
-18%
-4%
RETURN OPTIONS MATU 05-08-2016. Vol swings from 28 to 23. Spot at 83.5
81
81.5
82
82.5
83
83.5
84
84.5
85
12%
15%
10%
12%
10%
10%
85.5
-58% -52% -45% -37% -29% -20% -11%

-1%
10%
22%
-60% -53% -46% -39% -30% -21% -11%
-1%
10%
22%
-61% -55% -48% -40% -32% -23% -13%
-2%
9%
22%
-63% -57% -50% -42% -34% -25% -14%
-3%
8%
21%
-65% -59% -52% -44% -35% -26% -15%
-4%
8%
21%
-66% -60% -53% -45% -36% -26% -15%
-4%
9%
23%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
-58%
-56%
-59%
-55%
-58%
-64%
-52%
-50%
-53%
-49%
-52%
-58%
-46%
-43%
-47%
-42%
-45%
-52%
-40%
-36%
-40%
-34%
-37%
-45%
-33%
-29%
-33%
-26%
-29%
-38%
-26%
-21%
-25%
-17%
-20%
-30%
-18%
-12%
-17%
-7%
-10%
-21%
-10%
-3%
-8%
3%
0%
-12%
-1%
7%
2%
14%
11%
-1%
8%
17%
12%
26%
23%
10%
30%
29%
21%
26%
23%
22%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
-31%
-34%
-40%
-40%
-43%
-46%
25%
29%
24%
27%
25%
27%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
-28%
-28%
-32%
-32%
-35%
-36%
33%
34%
35%
34%
35%
38%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
-16%
-17%
-19%
-20%
-22%
-22%
18%
28%
22%
39%
36%
21%
81
81.5
82
82.5
83
83.5
84
84.5
85
85.5
86
-23%
-18%
-22%
-13%
-16%
-26%
ATM TS before (blue) / after (orange)
Expectation
Historical Distribution of Earnings Moves (10 yrs histo) - in red, estimate of abs value for next earnings
45%
20%
40%
15%
35%
-2%
30%
10%
25%
20%
5%
15%
10%
04/07/2016
0%
09/07/2016
14/07/2016
19/07/2016
24/07/2016
29/07/2016
03/08/2016
08/08/2016
13/08/2016
18/08/2016
-20% -18% -16% -14% -12% -10% -8%
-6%
-4%
-2%
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
20%
>0.2

Earningsoption Scenario Wba Us 01072016

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Earningsoption Scenario Wba Us 01072016

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In Progress...

WALGREENS BOOTS ALLIANCE INC

Earnings Release Paris Time:

-88% -84% -78% -71% -63% -52% -40%

-75% -69% -62% -54% -45% -35% -24%

-69% -63% -57% -49% -41% -32% -22%

-58% -52% -45% -37% -29% -20% -11%

ATM TS before (blue) / after (orange)

-20% -18% -16% -14% -12% -10% -8%

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