(a) 3.7% B/E is lower then both mean and median historical earnings moves. (b) naive ranking of 3.7% in the historical earnings is ~20th percentile (28 of 36 obs higher). (c) Z-score (b/e - mean)/sdev is -0.35. Sorry, maybe I am being slow here - where do you get 84% probability of loss?
Soo... 939ish after the close, i presume the OP is selling delta to lock in his gains PS. I was long the 890 calls against delta, so I got roughly a b/e move but it did look like a cheap lottery ticket.
Could not make it in time for the close. Man I hope you made some serious coin on this. Great analysis and spot on. The straddle was a no-brainer buy today. Might end up being a 2 bagger.
all I can saw is WOW...still not a smart strat over the long term...but ENJOY your winnings at the GOOG racetrack.. sle just a back of the envelope peek at delta of the 930...
Those probabilities are meaningless on a per case basis. You can drown in an average 1" pond of water.
If you knew when to hedge you'd be Steve Cohen. Being long options doesn't make you any smarter than you'd be at random.