Better, and fits perfectly w/what you said: sell 20/25 calls *2, buy one 17 put. Zip cost right now, and if it stays below 20, they (theoretically anyway, if you hold to expiry) go to zero and you get to play w/the 17 for free. I like that a lot.
It might go lower. I remember buying the LNKD straddle 3 weeks before earnings announcement last quarter. I bought it at 15.60 or so for gamma scalping purposes. The straddle went down all the way to the 12's before going above 16. I think it was the 105 straddle.
Agree, it may go down. But I do expect 16$ ATM again this time around on the report day Using your own last qtr infoâ¦so it was a rent free trade AND straddle gained 0.40c, correct? Hence, a very good r/r trade this time
I don't see how this one is rent free. You are paying approx 2.2% for the non-earnings days and 10% for the earnings day. Current realized is about 1.4% (all in daily terms).
He's solving for premium on the day before the report using the last few report's vol-figures. I am sure there is more to it if IV wants to elaborate.
.15 on the fill on that trade just now. Messed up the spread a bit and wound up getting .625 when .65 was definitely doable, but managed to get the puts for 1.4; opening on that was 1.45, so made up for it just a bit on that side. I'll be watching with interest, to say the least.
That's what I did but with the assumption that vol today = vol post earnings. EDIT: I am using some premium over the average of the last vol moves for the earnings vol parameter.
not sure what you are saying , new NOV is a report month ( so i hope) , straddle at 14$ and staying there ( or even going up) on the report day , imo