historical implied vol

Quote from IV_Trader:

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.
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just looked at isrg...assuming earnings are jan 26 or so...after jan expiration...why buy jan and sell feb...jan will trade as usual and feb will hold it's price till earnings are released...then collapse...no?
 
This wouldn't work in the ISRG case because the March doesn't start trading until the Jan Expires (Is that correct?).

Also, is there a way to do it with limited risk. I am still new to options trading and I am scared of ulimited risk.

BTW: I really appreciate you sharing your knowledge



Quote from IV_Trader:

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.
More...
 
Quote from mktmkr:

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


can you elaborate...just trying to follow the thread
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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
 
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 :)
 
Quote from IV_Trader:

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
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makes complete sense...but not the same as this...

buy 1 atm JAN
sell 2 atm FEB
buy 1 atm MAR
its the buy jan and sell 2 feb i didnt get
 
Quote from mktmkr:



buy 1 atm JAN
sell 2 atm FEB
buy 1 atm MAR
its the buy jan and sell 2 feb i didnt get
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what if FEB vols are 2000bp (and has limited upside from this point) higher then JAN ...?
 
what if FEB vols are 2000bp (and has limited upside from this point) higher then JAN ...?


IV...im sorry, i must be thickheaded...not following you


are you saying there could be a reason to sell the earnings month and buy the month before it?
 
Quote from mktmkr:

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


IV...im sorry, i must be thickheaded...not following you


are you saying there could be a reason to sell the earnings month and buy the month before it?
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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 definetly not advocating this trade , I just replied to X about particular stock's position that I may take IF the above conditions are true.
 
IV can you post any sample tickers which have those vols?

I'm pretty sure you won't see vols that high in FEB in comparison to JAN with that much time left to earnings/event.
 
Quote from FullyArticulate:

.... I own "Option Market Making" which sounds useful, but mostly seems vague and "secretive".
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I was planning to get this book, but now it seems it is not worth the time and money? Could you care to elaborate a bit?

Thanks in advance.
 
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