Earnings journal

destriero said:
Long the GOOGL Feb1/8 1100 calendar from an average of 15.05. Paid 15.40 for the last. Very good position with the front leg expiring prior to the report. Vol will ramp on the Feb8, so essentially zero decay on the back leg.

I'd go with puts here, but it doesn't matter which you buy.
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I missed this post today. Probably too late enter on Monday
 
TheBigShort said:
Hey guys there is a really good relative value play on Monday. Zacks has not updated the earnings date for BG. Its actually confirmed 02/21 before market! Zacks still has it as estimated 02/13. Implied vol for Feb is 33% and implied vol for march is 30% (no earnings move priced in). The feb/march 52.5 C calendar is currently marked at .75!! Let's hope zacks do not update on monday! It slipped through my scanner or I would have mentioned it earlier (they confirmed yesterday)!
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March is pricing 30% as you state, so the term-structure shows that the report is in the market. You'd see something like 25Feb/30Mar if Feb was outside the reporting period. The vols are very low for BG even in light of the warning. It's definitely worth the gamma-scalp on a sub-$4.00 straddle for Feb.

Feb vol will rise, but only because the report is a binary event (synthetic vol).
 
srinir said:
Is that Bloomberg Excel linked sheet?
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Hey buddy, how are you feeling? It's a custom excel sheet that I made on Bloombergs Launchpad.
destriero said:
March is pricing 30% as you state, so the term-structure shows that the report is in the market. You'd see something like 25Feb/30Mar if Feb was outside the reporting period. The vols are very low for BG even in light of the warning. It's definitely worth the gamma-scalp on a sub-$4.00 straddle for Feb.

Feb vol will rise, but only because the report is a binary event (synthetic vol).
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The report is outside the Feb month (reporting Feb 21st) but Feb is still pricing in the move. We should see something like you mentioned 25 Feb/ 30 March. So sell Feb by March?
 
TheBigShort said:
Hey buddy, how are you feeling? It's a custom excel sheet that I made on Bloombergs Launchpad.
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Feel much better from nasty flu. Hopefully will get back to schedule from Monday. Looks like you had good week in earnings so far
 
TheBigShort said:
Hey buddy, how are you feeling? It's a custom excel sheet that I made on Bloombergs Launchpad.

The report is outside the Feb month (reporting Feb 21st) but Feb is still pricing in the move. We should see something like you mentioned 25 Feb/ 30 March. So sell Feb by March?
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Oh, gotcha. I don't think 33% is especially high as there is only 1.65 in extrinsic prem in the straddle. I would definitely gamma trade the March. There is a long time spread opp in the 55 calendar.
 
destriero said:
Oh, gotcha. I don't think 33% is especially high as there is only 1.65 in extrinsic prem in the straddle. I would definitely gamma trade the March. There is a long time spread opp in the 55 calendar.
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I'm in on the 52.5 P Cal for .98. BG has a .5 dividend in the march cycle as well. Zacks did update to Feb 21st today but it's still pretty cheap in my opinion.


Taking a loss so far on CAT, straddle marked at 10.85. I am still holding.

No trades from me today, will be away from the desk
 
Pretty exciting move for CAT shorts today.
Out of CAT 136 for 11.77 and the 115 put for .18. Total loss of $3.80 per contract on this one!
 
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I got filled on few trades for tomorrow morning earnings.
 

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