Vols are marked down by decay; IOW, the straddle can actually lose premium with an increase in vol. It's not going to lose much, no more than a buck, and a gain of premium is more likely. I would be more interested in selling the CME vols the morning of the day before earnings. It should be close enough to neutrality before the earnings are released, without the inevitable decline in vols immediately preceeding the number[same day as release].
CME earnings is in 10 days....watch over the nxt 4-7 days to see if vol increases then sell into and hold thur earnings...when vol drops..buy the wings?
Reminds me of scenarios on expiration day in biotech in the early 90's and long bond options. A guy I knew well had made something like 900k on a $10k put-buy in some biotech on exp day. I had a similar occurrence on bond flies that pinned to the body strike at expiration. I was long something like 1500 consecutive-strike flies with the contract pinned within a tick of the body strike. Funny thing, I was sitting there with my eyes glued to the CQG in amazement while the 50's sci-fi "The Forbidden Planet" was playing on cable. Strange how you remember the minutiae of every detail on days like that.
The GOOG trade will be added to the fly-book. Here's the 7d value at neutrality and a drop of 800bp in vol to 55%.
I will fly or cover all of the original tickers, today near the close. The GOOG and OIH will be held through Friday.
I am gonna sit tight on the GOOG straddle another few days to see if there will be some IV contraction along with theta. I know the IV will not pull back to much with earnings release coming. I was thining of adding more OTM strangles than I am short straddles to play off a potential surge outside the breakeven points. Maybe 7 or 8 strangles against the 5 short straddles... EDIT: Vol at $400 is down about 2oo basis points from opening high but deltas in calls on this up day pushing value up slightly.
Yeah, I was differentiating between the actual change in the vol number and the % change. For example, if IV moves from 10% to 5%, IV dropped 50% but in absolute terms it moved 5 whole percent points (or better said in finance, 500 basis points lower). So with GOOG, if I said IV dropped 2%, it can be confusing since 2% of 65% IV is only 1.3. That is what happens when you are discussing changes in numbers which are already % lol. Sorry for the confusion..