ONXX - cheap vol play

Discussion in 'Options' started by scriabinop23, Jun 1, 2007.

  1. Is this the volatility play of the week?

    I bought a synthetic straddle before market close. Delta neutral long stock, long Jun 30 puts at 1.70. iv only about 75%.

    The story goes they have a cancer drug that they are releasing study efficacy data for ASCO for Monday. If the drug competes well with PFE's product, stock goes up. If its a disappointment, it looks like there's quite a bit of downside.

    Looking at liver cancer mortality rates, it seems a drug like this could command a decent premium.


    Since Bayer has some connection with this company, yahoo message board fantasizers dream of a Bayer buyout upon hearing good data at double the current price.

    Looking at historic volatility on this stock, I don't see the IV collapse risk breaking the incentive to take this trade. All I need here is a few dollars either way. Something gigantic would be a dream.

    Included is a chart showing implied volatilities over the past year.
  2. I'm cynical, and I think the major (and correct) moves in ONXX, DNA, IMCL, etc. happened a few weeks ago when the ASCO abstracts were released and leaked to the financial community. I expect the IV of each of the stocks to plummet after the presentations. I did some buy-writes of IMCL last week.
  3. You were right.

    I have a tiny loss on the trade. Sold off half the stock in the 35s today. Need to hit 36.00 on the remainder stock to breakeven on the trade. Either that, or a nice quick selloff to near 30 so I can unload those puts at something other than .10.

    I had an odd dream on Sunday waking up on Monday to the stock skyrocketing to 700... makes absolutely no sense... But i managed to sell off my position at an average in the 200-300s... I think I made 800k on my dream trade!!!

    i need a break.
  4. nikko309


    I think that you need to share what you're inhaling before bedtime :)