Discussion in 'Options' started by arc316, May 24, 2006.

  1. arc316


    I wanted to know everyone’s opinion playing joyg off their earnings. I was thinking a June 55 straddle.
  2. 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
  3. segv


    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?

  4. I closed my long JOYG straddle yesterday with a nice profit , I cannot belive its up another 1$ !!!
  5. 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.

  6. 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...)
  7. segv


    So uh, why aren't you short? :D

  8. 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
  9. segv


    I do not want the -gammas, but I might sick the bot on the short calendar.

  10. I checked it before : both front and back month vols needed to collapse to high 30th to make it vega neutral
    #10     May 24, 2006