Are we looking at the same GOOG? Mine is realising 12 vol, which is consistent with it's beta to Qs and Jan-31 1117.5 strike implied has a 23 handle...
ATM is at 5.5%...I adjusted the expected reporting vola due to the last Q move. Can't see straddle goes much below 5% on the day of report.
I don't know if you are delta-hedging, but the general problem with that reasoning is that path dependency can and probably will lose you money on the whole trade - i.e. ATM straddle will be worth 6%, but it's going to be a different strike. Meanwhile you going to lock-in low vol through the life of the straddle you buy today (unless you are buying a strip of some sort).
Might work. Personally, I'd just by Feb then so you'd have some residual vega even if you drift away from the strike...
I have a bunch of ICs on this thing (short g/v) in Jan17s. 7/2 risk in the 1065/75/1155/65 strikes. I may short some shares against it here at ~1117 even though I am neutral to 1105. Edit: I am content to be short to 05.
Sad face: http://investor.google.com/releases/2013/1227.html "Please visit Googleâs Investor Relations website at investor.google.com on January 30th, 2014 to view the earnings release prior to the conference call."
Oh shit. I took a flyer short the Jan24 as the vola was 50/50 for the report missing that date. I hope that nobody is too concentrated long the 24th.