Thank you Atticus for your prompt answer. May I ask which volatility is he talking about as I see the current IV around 33% and historical below 25%. It seems a very big increase or is he using another volatility calculation? I am using the IB figures. Thanks again for your help and thanks for your journal, very interesting.
I doubt we touch 110, but Oct vol will be up massively as the report occurs two days prior to expiration.
Yep , exactly that My bet is that ATM straddle will be at 3$ on the day of report I am already a hair below after some scalping profits
RUT trade is a bet on realized to remain low into the election. The month prior to the General is not a volatile month. Implied is low, but realized should be lower. Close to close var should be lower still.
pin the 70 strike tommorrow.... looking for a buy up into the close how much you think that 665 calender has in it? think its spent.. still pricing a otm calender..
Don't look at the call cal, look at the puts. Same spread, but shows extrinsic prem. 15.50 debit / 14.50 Oct / 30.00 Nov. Nearly 1:1 with Nov as the reporting month. It's still an arb and my biggest position.
i don't get it .. AAPL - OCT 19 '12 + NOV 16 '12 665 Call Calendar Spread 14.45 AAPL - OCT 19 '12 + NOV 16 '12 665 Put Calendar Spread 15.50 about a dollar difference... right.. wheres the 30 nov coming from? extrinsic prem=? lost me
if you were going to call a strike pin... is this the most levered way to do it.. 665/670/680 on the weekly for like .20 cents.. break the wing.. put up five bills on the wider spread.. and let it rip..