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10 days HV on SPX is 4.66 , I think its the lowest I ever saw. Some all cash buy out stocks still trading with similar HV numbers , lol

slightly bullish on GOOG ( DEC/JAN calls ?) , aren't ya Smurfy ? :):):)

IV left the building

I did on few last week ... entered 18 cents to sell (15-20 b/a) and got filled . Another good one was 62 cents ( to buy) at 60-70 b/a

MM , I can see how my previous posts can be confusing.. Here is the better way : buy JAN ( vols=40) sell FEB ( vols=60 AND almost at the top of per-report run) All at ATM. position carries +gamma , +theta and almost neutral vega . Close all at JAN expiration ( or before on +PnL). I am...

what if FEB vols are 2000bp (and has limited upside from this point) higher then JAN ...?

X and MM , I will close it all (ISRG) on the last day of JAN exp ( but hopefully before , if stock moves enough) ps , I will enter this position ONLY if: +gamma , + theta and limited -Vega conditions. Big IFs :)

if XYZ is at 45 , sell 40-50 JAN strangle and buy 40-50 FEB ( reporting)...Compare PnL vs ATM's (especially if price is at/close to one of the strikes) IMO

I like double calendars in this case ( OTM and even FOTM)

WEBX is out , I don't see vols rising to previous levels. If conditions are right , I will put the following trade on ISRG : buy 1 atm JAN sell 2 atm FEB buy 1 atm MAR So basically its exactly opposite bet from what you planning to do.

lemme guess , you are taking about ISRG here? FEB strike is not exists yet ,it will be available only on 12/18 and it will open at 50-55vols , so you can forget about 30 , I guarantee it :)

the biggest vols spike is always occurs in FEB ( reporting month). Thats where the unusual option's volume action ( read : demand and supply) will be. Having said so , I'm running position model on next (MAR) month vols if xyz is reporting in the LAST week of FEB. IV numbers are to wild with...

Long calendars on this thread. The only ones I ever did before where reverse calendars (into report , one day trade) , which are very diff.

New to those calendars , still testing , but I like what I see so far...Future vols bet aside , it looks to me that best way to enter non-directional trade is : 1. Double long calendar 2. 30d-60d OR 60d-90d 3. OTM or even FOTM (which is not necessary is a lotto ticket)

I am using IB ; use the ET search button , there is a lot of info here about brokers and platforms. I am buying long combos ( from two days up to a month before report) and gamma scalping via stock to minimize theta . Closing before report , but sometimes reversing to short or reverse...

no , opposite...I am glad to see someone else doing what I've beeing doing for a long time, buying long straddles/strangles before report , scalping and closing position (or sometimes reversing to short) day before report. Not too many takers on this strategy here.

wow , this is the FIRST pre-event vols ramp post on ET ! I'm trading this strategy for 5+ years now (retail) . Good luck , mm

Yes , I am ! :)

got ya , that's what I thought

if stock moves up big , wouldn't vols go higher ( due to calls become ITM = skew) ? If yes , you need to buy even more stock to stay neutral , but definetly not to sell , no ?