stunning drop in vols in the last 2 days. Some sold at 6.1% ATM straddles on stock that moved 24% few qtrs ago. And guess what...up 12% in after hours.
Yes, here's a graph of the stock and implied earnings move for the last four days. The high was an implied move of 7% now it's down to 6%. https://gyazo.com/acea3afc1648ce037044dbceb8662f10 Here's a 12 quarter history of earnings. Average move 11.4%. When those green and red dots are outside the shaded implied moves the straddles were profitable, about 6/12 times. https://gyazo.com/92c74153a5db7457c4b9636531ffcac2 Time & Sales large trades: I see more buyers than sellers today of premium: https://gyazo.com/f09f0770e291d615e6ebf76a752527d4
I closed my position at 7.5% Monday or last Friday. Was tempting to keep it and wait for 8.5-9.0 and I am glad I didn't!! I think at 9% the R/R would be solid...but NEVER at 6%!
I see how this can be confusing, my bad. I was long (as always) pre report vola rump and was planning to exist before the report (as I almost always do). Had a good profit and existed few days before report. I was lucky not to hold it in the last 2 days before the report when vols crashed. Now ideally, I should hold it into the report , but it's simple not my game.
Movers keep on moving... SNAP (no position): down 30% after hours. FTNT (no position): up 15% Let's see what RBLX (closed with profit on vols rump and scalping) does tomorrow morning.