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BBBY Earning Front Month Straddle
- Thread starter gulatin2
- Start date
Quote from gulatin2:
Looked at the order flow , looked at skew chart in Live vol ,
Interestingly 65 was priced cheaper than 67.5 's
In fact skew chart at 65/67.5/70 looked quiet similar to a butterfly shape at that specific moment , wish I had taken a screen shot that time
You're massively overstating it. If you bot the ATM fly due to skew then god help you. We're literally talking a penny here.
Quote from gulatin2:
Look at the trade structure I had put on and what my thesis for putting that structure was..
You might have different opinion than mine & might take the other side of that trade and I guess that 's what creates the market
No, that's what creates sheep. It's not a matter of opinion.
Quote from gulatin2:
Why don't you other side of this trade if you feel so strong about it
In-fact the position I had is up 11.5 % since I put it this after noon.
Front month has came in 2.30 points since then..
Sure it has, and what has happened to the strangle? Hint, it's down $0.20 since 11am.
I didn't state I want to short the fly, but your rationale is silly. Skew? Demand for calls? The commish and microstructure you paid is 8-10x the value of any skew. I don't take dumb risks into earnings, but it's not to state that it's bad.
Quote from gulatin2:
That's the position I ended up putting eventually
Apr 65/67.5/70 added extra 60/70 strangle to ride the strong move up or down if there is one
Reason 1. ATM 65 were priced cheaper than 67.5 , 70's were quiet flat - Buy Low sell high - edge created by buying Low IV and selling High IV
Reason 2. If 67.5's were catching a bid leading to rise in IV,meaning there a demand on expectation in market it can go upto 67.5
Reason 3 : Not too bullish on gamma here, so this position gives me that
Reason 4: Expecting a vol crush of atleast 30 points in front month, so if underlying moves up slightly , vol crush will help significantly
I'm a bit confused about this position. Is the fly is in Apr and the strangle is in May? or both are on the same month?
Also is there any ratio between the fly and the strangle or just 1:1 ?
Btw, why are other posters talking about an ATM fly? (This one has quite a few deltas).
Thanks for any information
Indeed Vol for strangle has came in too but vol crush is more near the money as opposed to OTM strangle. More loss on 67.5 has in fact created profits which has offset the loss in OTM strangle for me.
As I stated at that specific moment it was priced in more which made it good timing to sell for me and that's what has protected this position for me .
As I stated at that specific moment it was priced in more which made it good timing to sell for me and that's what has protected this position for me .
Quote from gulatin2:
Indeed Vol for strangle has came in too but vol crush is more near the money as opposed to OTM strangle. More loss on 67.5 has in fact created profits which has offset the loss in OTM strangle for me.
As I stated at that specific moment it was priced in more which made it good timing to sell for me and that's what has protected this position for me .
The vol-crush? Right.... the wings have held you say? Would you like me to price out the 60/65/70 fly throughout the day? The strangle lost on deltas, period.
The strangle has dropped a ton and the fly was at $0.50 this morning as it printed the HOD on shares. Your fly is $0.42 mid as I type this, and it's 35x48 NBBO.
Your fly is UNCH on mid since 11am. The only thing that got crushed today was the strangle. So how is that again?
I have no problem with the fly.... it's your logic that fails. There was no boost to the 67-strike and the vol in 65s have been HIGHER than the 67s all day, but we're talking a penny or two in $-terms.
Fly is unch, strangle down $0.20.
Sorry if I come off as a ass, but I couldn't sell your reasoning to anyone who has any experience trading vol. Imagine you're at a firm and you tell your boss that the 67s are trading materially over the 65s... and then he pulls up a sheet and sees that the mids contradict your point. Another analogy would the upstairs guy crowing about the 45-vol sale when the MMer was buying 45 and selling 47 all day.
The pricing in BBBY is nearly flat (vertically). A penny in the 60P will torque the vol a half-percent. Stop sweating the vol-figure as it's noise to you.