* UPDATE: ITRI - Strangle Buyer Wins; Vol Pattern Persists

Discussion in 'Options' started by livevol_ophir, Jul 22, 2010.

  1. livevol_ophir

    livevol_ophir ET Sponsor

    ** UPDATE

    This is an update to the prior article from 7-20-2010 (i.e. two days ago): <b><a href="http://livevol.blogspot.com/2010/07/itri.html">Itron (ITRI) - Strangle Buyer on Earnings Stock Move Pattern</a></b>


    ITRI is trading $56.97, down $5.76 with IV30&#8482 up 11.4%.

    <img src="http://1.bp.blogspot.com/_hMry1m7UF10/TEhpOckRN5I/AAAAAAAADro/VpjhU0Uf83Y/s1600/itri_summary_update.gif">

    In the 7-20-2010 article I noticed an Aug 55/70 strangle buyer for $1.75 into earnings which are due out in six days on 7-28-2010. ITRI has moved more than the straddle implies for the last two earnings cycles, and it looked like this trade was betting on a third move.

    It turns out that the move was before earnings - it was today. The updated Options Tab is included (<a href="http://livevol.blogspot.com/2010/07/itri_22.html">in the article</a>):

    Even assuming the Aug 70 calls can't be sold (i.e. there is no bid), the Aug 55 puts are now worth ~ $2.27. That's $0.52 winner or 29.7% in two days. In the words of Adam Sandler, "Not too shabby." That gambler won.

    This is trade analysis, not a recommendation.

    Details, trdaes, prices, vols, skews, charts here:
    http://livevol.blogspot.com/2010/07/itri_22.html
     
  2. If the stock had rallied the same, you'd have implied volatility decline? Is the "real" premium-selling occuring now? :confused:
     
  3. livevol_ophir

    livevol_ophir ET Sponsor

    I'd sell this vol; for whatever that's worth, lol.