atticus' single-name delta book

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Quote from IV_Trader:

I wouldn’t bet on it Atty

Usually (for apr , july and oct exp) the front/back vola is at 28/22 by now

Currently it’s 26/26

You are right.

They also reported in Jan 2011 maturity. But you are right before that they reported around the 22nd but that didn't have to be before maturity.
 
Quote from IV_Trader:

I wouldn’t bet on it Atty

Usually (for apr , july and oct exp) the front/back vola is at 28/22 by now

Currently it’s 26/26

I've been distracted and didn't check the term structure. Reuters shows 1/18 to 1/23.
 
closed my goog jan vol. Lost some money on this. 8% of original investment in the straddles a month and a half ago.

This is too tricky for me.
 
Quote from newwurldmn:

closed my goog jan vol. Lost some money on this. 8% of original investment in the straddles a month and a half ago.

This is too tricky for me.

I am confident we have a Jan report, but it was smart to get out with the uncertainty. I'll be out by the 26th.
 
Quote from cdcaveman:

when do you think taking a look at the pre/intra earnings month calenders will come into play? on apple or goog..

AAPL is known (Feb), and GOOG is still a toss-up. GOOG is probably the play in long Jan/Mar, ATM (720). If GOOG announces a date >1/20 then the calendar will lose $8 within seconds.
 
The Dec28/Jan04 trades inside earnings and looks very good here at a debit of 3.45 mid on the 720P. I am already heavily short distro so I don't know if I'll play it today, but it looks like a 5.00 print within the week.

Long the Dec28/Jan04 720P cal from 3.60 would fill quickly.
 
Quote from atticus:

I am confident we have a Jan report, but it was smart to get out with the uncertainty. I'll be out by the 26th.

For it to be consistent they have to report on the 19th. That's earlier than any other time they have reported q4 earnings. The last two times they reported on the 20th and 21st respectively and we happend to have a long expiration cycle.

I give this 50/50.
 
Quote from newwurldmn:

For it to be consistent they have to report on the 19th. That's earlier than any other time they have reported q4 earnings. The last two times they reported on the 20th and 21st respectively and we happend to have a long expiration cycle.

I give this 50/50.

They've been the third Thursday each month this year, save for the April which was 2nd Thurs. It would be unusual to go later than the 17th.
 
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