the egde is you are getting a vol crush post earnings then you will have the other 2 options avialable after you cover the front months
INTC trade
- Thread starter EliteTraderNYC
- Start date
EliteTraderNYC .......... Could you post the results of the INTC trade from open to close? Paper trade or real trade doesn't matter - I find it very educational when trade ideas are tracked to expiry.
IV on the Oct's could get cut in half, and a 5% move in either direction still spoils the plan. And I'm not even counting that you might have gotten the Nov's cheaper by waiting a couple of days.
I would think the best time to enter this type of trade is on the day of earnings - in this case Tuesday October 13.
I would think the best time to enter this type of trade is on the day of earnings - in this case Tuesday October 13.
I generally agree...it's easier to snipe up close.
That's not an edge. The mkt is stating that INTC is likely to move at least 1.38 (value of 32 straddle, today, at neutrality and current vol). The straddle actually understates the actually up/down break-even. In a non-event driven market, sure, it's probably a great short at 50% vol. Into earnings? Oct vol will drop into the high 20s, but the edge in vol is usually expressed by a loss to gamma.
Suppose you do 100-lot here and it's pinned to the strike on Friday's close. The spread will be worth perhaps $0.56. A gain of $0.2 less $200 in comms. 5% of premium is commission. Absolute best-case is $1800 gain. You'll lose the same at $30 and $34 on shares. I assume that you'd not hold a $0.36 calendar through the weekend.
I wouldn't touch it at 5% of premium expressed as commission, but ratio it in favor of Nov if you must do it. Like 6/5 Nov over Oct.
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arbitrage.
Looking good so far. INTC down only 2.78% AH, lets see what the rest of the week brings.
