That was the advantage you had with QQQ-- you have more time. So you are not playing the alpha of appl but the effect of alpha change of appl on the deltas of QQQ calls.
Please, do elaborate... At different times during the day, the market was predicting earnings move from 7% to 8.5%.
well apple closed AH at 523.5........better hope for a volitile pre market, all of those option holders are gonna get smoked from what it looks like tonight
"Implied 1 day move in QQQ is 1.7%" must be a typo, even for the rest of the week it's high. My 83.50 calls would be worth $0.83. $82.92 + 1.7% = $84.33
Tomorrow early AM dip, then rip higher, the market wont reverse IMO until Wednesdays FOMC minutes, marking a DCH, we correct for a week or 2, then march higher towards 1800.
Break-even of an option is not the same thing as implied move for a single day which you are going to delta hedge. Let's say the weekly straddle is priced at 1.75% - since a straddle price is approximately 0.8 * volatility * sqrt(T), the average implied volatility is 0.0175/(0.8*sqrt(5/252)) = 15.5%. This "average" is a combination of 1 large event move and the regular volatility, which you can impute from longer-dated options (it's like 11% annualized). So, average_vol^2 = ((T-1)*regular_vol^2 + event_vol^2); rearranging it you can solve for the event vol, sqrt(((5/252)*.155^2 - (4/252)*.12^2)) = 1.57%. You 83.5 calls should be worth very little even with the implied move, as an estimate, (0.16 * 0.4 * sqrt(4/252)) - log(83.50/82.92) * 0.5 = 0.0045, .45% * 82.92 = 0.35 cents. PS. I am at the park walking the dogs, so calculations are a bit on the rough side, but should be ok. PPS. the right way to calculate the implied move is to solve a system of two equations from two implied vols, but the rough calc above is good enough
u guys are just rolling a magic 8 ball at best, so all these calcs are just eyewash. at least you've accomplished something useful. (dog pooped)