Long the GOOGL Feb1/8 1100 calendar from an average of 15.05. Paid 15.40 for the last. Very good position with the front leg expiring prior to the report. Vol will ramp on the Feb8, so essentially zero decay on the back leg. I'd go with puts here, but it doesn't matter which you buy.
This is already flashing 16! Do you have a certain exit criteria? I have not updated on my straddles going into earnings (don't think i will post them any more because of delta hedges). But I took a few losses and a few gains. With BERY and RJF being my worst and UNP and SYK being my largest winners. I also want to apologize if some of my executions are not marketable when I post them here. I put in limit orders and check back on them, and then update the earnings journal. Will be trying to get a short straddle fill on CAT for 7.9$ I will also be buying the wings 80%/120% wings for no more than a dime
I tend to keep a mental stop equal to the "alpha" premium, i.e., the strike +/- the front leg valuation at neutrality. Say the front leg is trading 17 at 1100... I'll reevaluate if spot trades 1083 or 1117. It's self regulating to gamma/theta as the alpha (ATM premium) will be 15 on Monday and hence a tighter stop as time passes or with changes in vol.
I'll use a proximal (near ATM) strike if away from my desk or interpolate to arrive at the alpha premium. I already have the CS-interpolation running, but you can just price a near-ATM option.
Filled $7.82 short 136 straddle. Long the 115/160 wings for .09 On my screen GOOGL is implying a 4.3% move which is inline over the past 4 quarters. How did you go about finding the trade? Do you have a screener running for the top 50 stocks looking for these? The trades already up a buck!
I use the entire alpha premium on the 1W trades (or shorter), but I'll go 1/2 of the alpha premium on longer durations (ATM alpha * delta).
Hey guys there is a really good relative value play on Monday. Zacks has not updated the earnings date for BG. Its actually confirmed 02/21 before market! Zacks still has it as estimated 02/13. Implied vol for Feb is 33% and implied vol for march is 30% (no earnings move priced in). The feb/march 52.5 C calendar is currently marked at .75!! Let's hope zacks do not update on monday! It slipped through my scanner or I would have mentioned it earlier (they confirmed yesterday)!