IV before Earnings Season

Discussion in 'Options' started by spindr0, Jan 2, 2007.

  1. sorry x , I confused your post with Daniel's ( he entered DNA 2 weeks ago). You are correct on all the above , if stock didn't moved big in the latest qtrs , spike will not reach previous levels. In case of DNA I "reduced " my expectations to mid-upper 20th for this qtr. Got in at vols=21 .
     
    #11     Jan 2, 2007
  2. xyannix

    xyannix

    No Problem :)

    Are you able to explain to me how you projected IV?

    Are you targeting Implied Volatility to reach the peak Historical 30 Day Volatility that was reached in mid october?

    Also what type of trade are you doing to capture the increase in Volatility? Straddle / Strangle or something else?

    I am still just a newbie trying to learn.
     
    #12     Jan 2, 2007
  3. spindr0

    spindr0

    >> I would love to know the answer too. This is a strategy I love but can't seem to perfect it. <<

    LOL. You and me both! I'm trying to balance decay versus timeliness.

    >> Take a company like DNA. Its IV ran up in Sept - Oct from 23 to 33. Then nothing really happened by the earnings release so does that mean this quarter we should expect it to rise again to 33 or will the IV rise only slightly. Another example would be ISRG. will we see 70 IV on the Feb contract? <<

    I'm no expert (maybe IV TTrader is :->) but I think that if ISRG is at 40 at the low end of its annual range (50 for Feb) and its spike for the past 4 quarters has been to b/t 70 and 80, it's reasonable to assume that it will head up in the next few weeks.
     
    #13     Jan 2, 2007
  4. out of DNA , nice start for 07
    :)
     
    #14     Jan 3, 2007
  5. tony5147

    tony5147

    Hi everyone :

    Seems like you guys hope IV would rise leading to earnings announcement. Are you guys buying options and expect to sell them when volatility picks up before earnings announcement?
     
    #15     Jan 4, 2007
  6. xyannix

    xyannix

    Yes, that is correct
     
    #16     Jan 4, 2007
  7. Eric99

    Eric99

    IV,

    Did you pick up a 2-3% vol increase in DNA? Which months were you long and did you hedge with any shorts?

    Thanks,
     
    #17     Jan 14, 2007
  8. long only , had a 4% vols gains on 80 FEB atm
     
    #18     Jan 15, 2007
  9. Eric99

    Eric99

    Nice work.

    I was long the March ATM's and short Jan ATM's in a ratio favoring longs (tyring to stay theta neutral). It didn't really work. My Marchs' picked up about 4 pts of vol while my short Jan's picked up 13%. I hit my $ loss point and closed out.

    With hindsight, perhaps a better approach is to be long a furhter out month and use the vol spike as a rolling opportunity for the short months. But I'm starting to conclude that if I'm after theta, then the ratio of longs to shorts should be lower than under your approach. You're after gamma.
     
    #19     Jan 15, 2007