* Intel (INTC) - Earnings Update

Discussion in 'Options' started by livevol_ophir, Apr 14, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    INTC is trading 23.33 up 2.5% on earnings. IV30&#8482 is down 16.4%.

    <img src="http://2.bp.blogspot.com/_hMry1m7UF10/S8XWxxcrraI/AAAAAAAABy8/EugJOsRVdJU/s1600/intc_summary_2.gif">

    The first post to this follow up: <a href="http://livevol.blogspot.com/2010/04/intc.html">Click Here</a>.

    <b>Quick Summary:</b>
    It turned out a simple startegy of selling the back month ATM straddle on the close of the day of earnings and then buying it back the next day was a winner 7/8 times. Details are included (in the article).

    As of yesterday's close here is how the May 23 straddle and Apr 23 straddle closed:

    May 23 Straddle at close:
    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/S8XWyoPX_vI/AAAAAAAABzM/5nIKDlRc8o0/s1600/intc_may_23_straddle.gif">

    Apr 23 Straddle on close:
    <img src="http://3.bp.blogspot.com/_hMry1m7UF10/S8XWyYyyj0I/AAAAAAAABzE/XvJ8rQ_1b0g/s1600/intc_apr_23_straddle.gif">

    The Options Tab (in the article) from today one hour after the open is included.

    <b>Calculations: May 23 Straddle</b>
    Yesterday close: $0.64 + $0.96 = $1.60 (sell)
    As of ~10:30 EST: $0.785 + $0.57 = $1.36 (buy)
    Net: +$0.25 or 15.3%
    So it did a little better than the average of ~10%

    <b>Calculations: Apr 23 Straddle</b>
    Yesterday close: $0.35 + 0.56 = $0.91 (sell)
    As of ~10:30 EST: $0.45 + 0.105 = $0.56 (buy)
    Net: +$0.35 or 39%
    So the front month turned out to be a better.

    In either case, the straddle sale was a winner. For the back month strategy - now 8/9 times are a winner. The updated "scorecard" looks like this (in the article):

    One caveat - the other calcs are close to close - I have just thrown in a calc which is just one hour into trading... Please note, that value must be updated at some point. Try to stay away from "convenient" record keeping for strategies.

    Finally, the Skew Tab snap from yesterday and today (in the article).

    And from 1-13-2010 and 1-15-2010 (in the article):

    Please remember: This is trade analysis, not a recommendation! We're just analyzing earnings vol and straddles.

    Details, prices, straddles, skews, vols here:
    http://livevol.blogspot.com/2010/04/intel-intc-earnings-update.html
     
    #1     Apr 14, 2010
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