It's a long way until expiration, and it's unlikely I will hold the position unchanged until then. The OTM fly is just a directional bet for now - it gives me good negative delta. For flys I think it's better further out because the value doesn't change much. If SPX drops, I could adjust the position by exiting, adding a call fly, or other trades. Put Calendars, being vega rich, are probably better, but I think flys are okay. To be honest, this fly was also the easiest to accomplish since I already had a front spread position. Getting SPXPM spreads filled near mid hasn't been easy for me in general. It takes a while so I didn't want nor need the hassle this time. Maybe a higher strike fly would have been better, but at least even here theta for the fly isn't bad so I'm not bleeding much.
I just noticed GMCR is also reporting earnings tonight....it was one of my winners last Q, but probably not enough time to research and set up a trade here. Still, I'm going to do the research and see what I come up with.
LOL Remember FF ? He seems to have vanished but remember how he sold puts? LOL!!! EDIT: Sweet GANESH and SWEET JESUS!!! 260% vol!!! But I think most of the movement's factored in.. I'm not sure it'll move $8 today... But you never know, the rabbit hole might be deeper
Hmmm, interesting, I see options heavy on calls, short interest is huge at 3rd highest reported by Nasdaq in past 12 months. numbers should stay solid. Avgs 20% swing minimum. Someone going with 1 direction could take the 52.5 at 2.56 with a 7.44 return potential for a 3:1 risk. I'm just going on the fact that if GMCR does rally, then it will surely hit 20% gain with price point at $60-$61. I think I'm going to take the lower risk route on this trade. I'm still going to put a position in play, but won't do it till tomorrow morning. From the open, and depending on the earning report, I'll play it with a 3-4% potential move in the same direction as the open and make a small 20-30% return on the options. There's just too much risk right now and I'm already in WFM and V. Good luck to everyone else though who dares take a position.
GMCR has averaged 20% swings, with the wild card -41% drop....there's no guarantee, but the odds are for another 20% move. No one should be playing this straight calls or puts, has to be spreads of some sort, or butterflies, maybe even condors.
The annualized vol-figure is really meaningless. Add another quarter to the straddle and you're nearing 300-vol. May18 vols will drop more than 3000bp; more like 3800bp. The long backspread is a no go. I would go long the 45/52/60 fly from 1.80 mid in May18. Do not trade any weekly flies, as the wings will implode after the number. The fly debit is at great risk to May04. The May18 45/52/60 fly is decent. Good to 56 up, 45 down. I will do a ten-lot to maintain interest in the report. Edit: Did 10 at 1.85 risk (short gamma).