IV vs. RV, earnings blowouts on weeklies.

Discussion in 'Options' started by pikerforlife, Jan 27, 2013.

  1. who wins in these situations, and who is hedged properly? do these wild moves into weekly exp. which double the IV going into the announcement, blow folks up often?

    examples this week; AAPL and NFLX, both blew right through the going IV on the weeklies. is this great difference in implied vol. and realized vol. days later somehow reflected in the back weeks/months?

    i guess what i'm asking, is there a 'tell' in the option chain going into these events that screams, "hey, this weekly IV is likely to be blown out by a factor of 2!", where the implied $5 or $20 move based off the weekly straddle into the event is really pointing to a potentially much larger move.

    often the implied move is bang on, other times a bit off as things are pegged inside the straddle, but, what makes for these earnings outliers, and are they really a surprise (pain) to anyone selling the teenies?

    when can *i* drive the bulldozer,.. tossing out (buying up) nickels and teenies onto the path for those times the quick become the dead.


    (always like the vol. talk here,... wondered if anyone ever put all that option market making machinery, working large neutral books, large institutional type premia playing into being that small directional bulldozer driver instead.) ... or is that what you guys are trying to do, but need the premium to pay for the gas while the dozer idles,.. (short gamma, yet long vol., grinding it out and surviving day to day, until others don't, then picking up their corpses every few years as a bonus.)
  2. umm.. sometimes i think when the IV going into earnings is higher then typical its good to buy it.. but every situation is so different.. even with apple.. you could have put a fly on before earnings on the feb 15's and pullled it off after earnings with very little loss if you took it off at the open.. its a speculation in vol crush/ change in underlying .. of course.. a blow out would happen if you did something like over positioned.. even then there will be value to whatever you put on.. unlike if you hit for the fences with a strangle with everything you got and the underlying didn't move very much at all