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GOOG next report
- Thread starter IV_Trader
- Start date
Quote from sle:
Are we looking at the same GOOG? Mine is realising 12 vol, which is consistent with it's beta to Qs and Jan-31 1117.5 strike implied has a 23 handle...
ATM is at 5.5%...I adjusted the expected reporting vola due to the last Q move.
Can't see straddle goes much below 5% on the day of report.
I don't know if you are delta-hedging, but the general problem with that reasoning is that path dependency can and probably will lose you money on the whole trade - i.e. ATM straddle will be worth 6%, but it's going to be a different strike. Meanwhile you going to lock-in low vol through the life of the straddle you buy today (unless you are buying a strip of some sort).Quote from IV_Trader:
ATM is at 5.5%...I adjusted the expected reporting vola due to the last Q move.
Can't see straddle goes much below 5% on the day of report.
Quote from sle:
I don't know if you are delta-hedging, but the general problem with that reasoning is that path dependency can and probably will lose you money on the whole trade - i.e. ATM straddle will be worth 6%, but it's going to be a different strike. Meanwhile you going to lock-in low vol through the life of the straddle you buy today (unless you are buying a strip of some sort).
I am actively delta-hedging/scalping via shares.
Sad face: http://investor.google.com/releases/2013/1227.html
"Please visit Googleâs Investor Relations website at investor.google.com on January 30th, 2014 to view the earnings release prior to the conference call."
"Please visit Googleâs Investor Relations website at investor.google.com on January 30th, 2014 to view the earnings release prior to the conference call."