** UPDATE: BRCM - Earnings Results

Discussion in 'Options' started by livevol_ophir, Jul 28, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    * UPDATE
    This is an update to the blog posted yesterday <b><a href="http://livevol.blogspot.com/2010/07/brcm.html">Broadcom (BRCM) - Earnings Preview; Vol Pattern and Straddle Sale </a></b>.

    BRCM is trading $37.99 with IV30&#8482 down 11.6% after earnings.

    <img src="http://4.bp.blogspot.com/_hMry1m7UF10/TFA14M3tu2I/AAAAAAAADy4/gl8Qs2ncG5c/s1600/brcm_summary_update.gif">

    In yesterday's article I noted that:
    BRCM has followed a consistent pattern for seven out of the last eight earnings starting with the 10-21-2008 cycle and ending with the last earnings cycle on 4-27-2010. Specifically, a straddle sale at the close on the day of earnings and a purchase back the day after was a winner seven times.

    BRCM had earnings last night, the Options Tab today (<a href="http://livevol.blogspot.com/2010/07/update-brcm-earnings-results.html">in the article</a>).

    We can see the ATM straddle is now worth $2.54. Yesterday, the straddle was worth $3.31. The one day trade would have turned a 23% profit ex-commissions. The updated earnings and dividends stats are included (<a href="http://livevol.blogspot.com/2010/07/update-brcm-earnings-results.html">in the article</a>).

    <img src="http://2.bp.blogspot.com/_hMry1m7UF10/TFA142dM32I/AAAAAAAADzI/732k7l8hAdY/s1600/brcm_ed_stats_update.gif">

    If you sold the straddle at the close the value was $3.01, so the gain is 18%. Either way, the result is right around our expectation.

    This is trade analysis, not a recommendation.

    Details, trades, prices, vols, skews, charts here:
    http://livevol.blogspot.com/2010/07/update-brcm-earnings-results.html