About 50% of optional stocks reported so far. The after report ABS change vs. premium paid ratio was the highest in the last five years (maybe ever), which made the long straddles/strangles a HUGE winners. Short combos suffered a double whammy : stocks moved big AND IV did NOT collapsed to SV levels. Most notable winners for both long and short: Long : UPS ( iv=18 , moved 10%) and YHOO ( iv=42 , moved 22(!)%) Short : GOOG ( 1300 bp loss , stock price unchanged)
Hey IV thats very interesting. I had noticed in the options chatter a lot of interest in ppl taking long straddle positions and not many interested in short straddle or short calendar (vol) plays. I haven't done either, no special reason but now since I'm more likely to sell than buy I'm glad I didn't.
Hey , RR , how are you ? Every quarter those stats are pretty much the same , but this time was a huge bias for a long play. Based on those recent big moves in reporting stocks , I think we will see extra ramp in pre-report vols in OCT. Vols skew for OTM puts should be significant for many stocks too. I hope so
I am one of the sorry souls that long goog straddle before earning. Just wish I had enough fund in my account to lock in profit in after market trading.
IV, i read an article describing similar facts. Mostly how the market has been underpricing the options this earning season vs the previous few. It had some stats in there like the average number of stocks that moved more than what the ivs were predicting balooned 5 fold or something like that if i am not mistaken. Unfortunately i forgot where i read it or i would've posted the link. Given your trading style, you would've found it very inriguing.
Thanks , Rally. I have my own database for five years now,the source that you mentioned probably very close to my results : its a clear cut stats. Actually the universe's average IV was higher than in the last quarter(partially market/war related), but stock's change even much higher that expected. I will post the final stats when season is over.
I have noticed that the weekly HV of the VIX itself is similar to crisis events (9/11, Asian etc) - anything here?
It's not over yet. Couple of more names that can move. Check out CKFR after hours. Anyone finding NYSE stocks tend not to gap as much as NASDAQ stocks? Went long ATM premium on both and am finding the NASDAQ ones are coming in a lot better then NYSE issues.
That would make sense. Nasd stocks tend to be smaller cap /highly volatile vs NYSE your large lower vol stocks.