I wanted to know everyoneâs opinion playing joyg off their earnings. I was thinking a June 55 straddle.
B Jun 50 x 1 S Jun 55 X 2 S Jun 60 x 2 B 4 Jul 65 x 4 "hell freezes over" exposure -$92 Joyg to 92 + 564 2 sgima exposure -92 max peaking at 231 bet 52 to 62 That is dropping the vols across the board to 55IV
Forecast average SV with 23 days to expiration is at 45.3% and 44.9% for my two primary models, respectively. Current JOYG IV at 85.8% for a ~40% premium to SV forecast. When you said "June 55 straddle", I am assuming you mean shorting a June 55 straddle, right? -segv
Congratulations on a nice ramp in IV. When did you buy it? There was a nice discount to forecast in March and April at points, would have been a very nice long gamma ride. They announce tomorrow? Might not be a bad short towards the close. -segv
a week or so ago , paid low 50th vols. My pre report expected vols were no higher than 60 , but with late VIX action I raised it a bit. Still totally shocked to see almost 90 now ( although JOYG moved 15% in the last 2 qtrs , but still...)
good question ! I do reverse position some times , but staying away this time . Good luck If you going short ; its a good r/r and you covered for first +/- 18 % of the move
I checked it before : both front and back month vols needed to collapse to high 30th to make it vega neutral