Traders of J.C. Penney Co. Inc. options are preparing for an unusually wild ride in the stock after the department store chain reports fiscal first-quarter results Friday morning. An options strategy known as a straddle, which is a pure volatility play that involves the simultaneous buying of bullish and bearish at-the-month options expiring after Friday's close, are pricing in a 13% one-day, post-earnings move in the stock in either direction after results are reported. That compares with the average post-earnings move of 9.1% the past 20 quarterly results, based on an analysis of FactSet data. The median move was 6.5%. It would be the sixth-biggest move, and the biggest since it tumbled 15.4% on Nov. 13, 2015 after third-quarter 2015 results were reported. The biggest move was a gain of 25.3% after Q4 2014 results were reported, while the smallest move was a 2.5% decline after Q2 2014 results. After day after the past 20 reports, the stock has gained nine times and declined 11. J.C. Penney's stock tumbled 8.2% in afternoon trade Thursday, pulled lower by disappointing results from fellow department store chain Macy's Inc. . Penney's stock has plummeted 37% year to date, while the SPDR S&P Retail ETF has slipped 2.2% and the S&P 500 has gained 6.9%.
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