March is pricing 30% as you state, so the term-structure shows that the report is in the market. You'd see something like 25Feb/30Mar if Feb was outside the reporting period. The vols are very low for BG even in light of the warning. It's definitely worth the gamma-scalp on a sub-$4.00 straddle for Feb. Feb vol will rise, but only because the report is a binary event (synthetic vol).
Hey buddy, how are you feeling? It's a custom excel sheet that I made on Bloombergs Launchpad. The report is outside the Feb month (reporting Feb 21st) but Feb is still pricing in the move. We should see something like you mentioned 25 Feb/ 30 March. So sell Feb by March?
Feel much better from nasty flu. Hopefully will get back to schedule from Monday. Looks like you had good week in earnings so far
Oh, gotcha. I don't think 33% is especially high as there is only 1.65 in extrinsic prem in the straddle. I would definitely gamma trade the March. There is a long time spread opp in the 55 calendar.
I'm in on the 52.5 P Cal for .98. BG has a .5 dividend in the march cycle as well. Zacks did update to Feb 21st today but it's still pretty cheap in my opinion. Taking a loss so far on CAT, straddle marked at 10.85. I am still holding. No trades from me today, will be away from the desk
Pretty exciting move for CAT shorts today. Out of CAT 136 for 11.77 and the 115 put for .18. Total loss of $3.80 per contract on this one!