This is a wrong question to ask. Novice traders ask "how much I can earn if I'm right?" Professionals ask "How much I can lose if I'm wrong?" The trick in options trading is not to lose much even when you are wrong. Buying cheap OTM options before earnings is a pure gambling as we can see now. Even if the stock increased 10% after earnings (not very likely, considering how quickly and hard it went up before earnings), the 220 calls would be breakeven at best.
So that option opened at 62 vol and has been around 50 handle the whole day. I assume the op had delta against it?
You are looking that the Ivol of an option that closed at 0.08 with 3 trading days left. The ATM options are 32/33 or less out to Jan 2018. Lower than I expected.
Exactly. Tiny options near expiry usually trade at "high" vol because only morons are willing to sell them.
I was thinking the same about buying them! I don't get any value out of looking at the Ivol of a short dated option under $0.15, IMO. Just a number.
Wasn’t that what I was saying? the fact that it’s a far wing will support the price and this make the IV higher, right? PS. Actually, if you think of the type of gap required to get to these low delta short dated options, vol that’s “implied” is not that unreasonable
Whatdayameanbythat? You mean tinies will always have relatively high IV especially for near expiry? 32 ATM IV... that's exactly what the fwd vol was... I thought it would be a bit higher as well. I guess no move does that
Someone said something like “it’s high, but it’s meaningless” - I was just saying that if there is a chance of it getting to the strike, what you realize along the way will be pretty high. When you are forced to refit that normal distribution so the fourth moment is expressed via second one, you can get some extreme values