The ATM $37 straddle for this Friday's expiry is ~7.5%. - Sales release Thursday the 16th. - Down 2.68% today so far. - IV30: 45% - HV30: 30% -ATM IV for $37 Put & Call: ~88% Thoughts?
Jan17 vol is way bid, obviously something is coming this week. Looking at strikes near, and beyond the straddle range. I was looking at otm put and call calendars. But is the short gamma worth the risk? Who knows.
Do you remember what the straddle was selling for? The 37 Put was about $10.00 on Thursday and $12.00 on Friday. BBY 5 Day Chart
Well when I was looking at the trade was Monday (see January 13th OP above). I just checked Fidelity's site.. at EOD Janunary 13th the... $37 ATM P - $1.42 $37 ATM C - $1.34 Thus: $1.42 + $1.34 = $2.76 $2.76 / $37 = ~7.5% move. We had to see it coming, the IV was through the roof for a Thursday announcement. Someone loaded up on those ATM driving the IV of that strike much higher than the rest of chain.
Yes I am aware of the threads timestamp, the 5 day chart includes January 13th. You didn't include the price for the straddle in your post. If someone saw it coming then why was there no live trade posted to ET? These sort of trading opportunities are always spotted after they occur. No big loss. Realistically the trade would have been closed on Thursday at about $10.00, so maybe a 4x trade. To hold till Friday would be foolish because reversals are common. Options go up 4x on a weekly basis, so there will be lots of other trades with the same potential. Take a look at GOOG, PCLN, AAPL, QQQ. The tricky part is getting into them before the move. You just wanted thoughts on the straddle, there was no post on a position actually taken. This is now a "could have, should have, would have" type of thread.
I mean... who would go short a straddle on an earnings/sales date with IV so high? I am sorry. I made assumptions we would be logical and pragmatic. I will be more precise, and unfortunately more verbose, in the future.