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Question about GOOG options

  1. Goog october options will expire tomorrow. At the close today the volatility on the october calls had a range from 82% to around 94%.
    The November calls volatility was trading from 25% to 30%. Is there any way to divine what volatility will be priced in on the october calls around the open. I will assume that the stock will open 540. Obviously this is a guess on where the stock will open but assuming you had the opening value can you price the volatility. I know it will collapse somewhat, should I look at historical measures or what? I put in a screen shot of the near money strikes I am referring to. Thanks in advance. :)
     
  2. ok thank you. :)
     
  3. The IV for Oct ATM calls will fall into 30% ~ 40% range 15 minutes after openning, if you want me to bet.
     
  4. There's no way to know what the opening IV will be. Some collapse quickly, others take a couple of hours to get there. And there's always the morning news wild card. AM numbers are just a guess.
     
  5. You did not ask, but just in case you own some options. DO NOT ENTER A MARKET ORDER AT THE OPENING.

    If you want to sell quickly, be ready with a limit order as soon as you see the real quotes.

    Mark
     
  6. ok thanks for the replies, lots of things working against a long call position, high theta, volatility crush, etc. I was trying to figure out what the best strike was to buy pre earnings, I am also curious to see where november volatility is on the open. :)
     
  7. Don't worry about the theta during the early morning on the OE day, not only the theta won't drop that much, but also there is a good chance it rises a little in the early morning from yesterday's close level. After 10 or 10:30 AM, you will see the theta drops like a stone.

    The Nov IV will drop a little while the Oct IV will drop to a few pencentage points above Nov IV within half an hour trading begins.

    All those, of course are just a guess but they are the gusses based on 5 years of earning play experiences.

    GOOG always releases their earning one day before OE so you might want to check out what happened in the past cases.
     
  8. Is there a source (free) for historical option data 3, 6 or more months expired?