Last quarter the atm straddle was trading at $25 the day before earnings. Stock dropped >$18 points on the release. I think this report will be less volatile, however. I would play it slightly bullish.
Thanks guys. I sold the following as well: NTRI 50 straddle @ 7.70 IV = 70% Earnings came out AH, stock gapped +$13-$14 This will probably be a good example for worse case scenario for this strategy. Huge gap before protective wings are placed. It will be interesting to see what happens tomorrow but unfortunately I will be in NYC for an interview. Open to suggestions for adjustments, the most prudent thing seems to be to close for a loss. btw, these are paper trades only.
The earnings were released in Mar. This current IV is 75% . They announced stock split and it will be effective on May 16th Stock is at 66 Straddle 70 is at $11.00 From trending Most Overpriced Puts: Titanium Metals Corp. (NYSE:TIE - News) May 60. TIE's PowerRating is 2 How can we play this
There is negligible skew in the 60s. I think TIE will beat soundly. The 60 combo is trading $1.00 over the 70 combo, so there is no incentive to short those deltas. I would probably take a shot at the May 70 straddle. I will be selling some back month 70s.
Front months[back] win or lose from gamma[vega]. There is simply more vega sensitivity in the back months.
I missed the mention of March earnings. I doubt I will play TIE right now, unless the vols are compelling.
riskarb did you play CME earnings? I threw on a Bear call CS last nite 500/510 for a 4.05 credit....now I'm thinking of doing a put CS ...but then thought what about covert to B-fly by buying 490/500....I'd love your thoughts on doing the IC vs the B-fly...