When will IV peak before earnings?

Discussion in 'Options' started by turkeyneck, Aug 25, 2011.

  1. I want to do a CC on AAPL to capture IV and theta drop post earnings. Would you recommend the Oct or Nov expiration for this? When will the IV usually peak for maximum premium? About 1 week before earnings? Thanks!
     
  2. You're confusing issues. Theta is time decay and has nothing to do with IV peak and collapse.

    If your only concern is maximum amount of premium from IV peak/collapse and no concern for underlying movement, most of the time, the near month will inllate the most and collapse the most (later month provides larger premium but less collapse). Most of the time it will also peak the day before earnings but occasionally you'll see a peak a day or two before. Track/graph it intraday to see the patterns.
     
  3. rmorse

    rmorse ET Sponsor

    My advise is to do nothing right now. Watch this page: http://investor.apple.com/ might not see it until mid September.

    Wait until AFTER the earning date is announced. Their earning are most likely AFTER October Expiration, but could be before. They change from time to time. It make an enormous difference in pricing earnings. If earnings are three days before expiration of just after.

    What spread did you have in mind.
     
  4. AAPL's earnings is on Oct 18. When do you think the IV will peak?
     
  5. +1. option traders need to know when earnings are BEFORE putting on a trade not just guess what expiry month they'll be in. i've seen traders get hosed b/c a company was scheduled to release in one expiry month then pushes it back a week - not a big deal to anyone except those long the front month.

    lesson: confirm ER date from company website/bloomberg and don't risk so much in case even if this is confirmed you lose if the company decides to postpone.