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My option trades
- Thread starter ryanpatrick
- Start date
Quote from atticus:
The AAPL trade is the risk. Vol wll drop 1200bp in May.
I plan to close both of these end of this week, hoping theta + Vol crush is greater on the weekly. But the range that AAPL needs to stay in after earnings is a little tighter than I like on the downside so I might close it out tomorrow.
NFLX is at $85 after earnings which is supposedly the breakeven for that calendar after Vol crush, so we'll see if the May 100 is still worth $1.25 tomorrow.
Quote from scottandmo:
I plan to close both of these end of this week, hoping theta + Vol crush is greater on the weekly. But the range that AAPL needs to stay in after earnings is a little tighter than I like on the downside so I might close it out tomorrow.
NFLX is at $85 after earnings which is supposedly the breakeven for that calendar after Vol crush, so we'll see if the May 100 is still worth $1.25 tomorrow.
You will need AAPL to rally. At the current price (572) that calendar is a loser after earnings. Yeah, my guess is that the NFLX call will open around $1.00-1.50 with the shares at 85.
Quote from scottandmo:
I plan to close both of these end of this week, hoping theta + Vol crush is greater on the weekly. But the range that AAPL needs to stay in after earnings is a little tighter than I like on the downside so I might close it out tomorrow.
NFLX is at $85 after earnings which is supposedly the breakeven for that calendar after Vol crush, so we'll see if the May 100 is still worth $1.25 tomorrow.
Vega is higher for longer expirations. A few vol points will have a much more.severe efect on the long term options...
I might have some biased flies on aapl tomorrow... Bidu too... I'll see...
Quote from atticus:
May is at 4700 and I expect vol on the 600s in May to trade at 3500 by 10am EDT on the 25th.
How do you figure?
I expect it to trade at 40% (down about 700bps). I see this as being consistent with the weekly straddles that are priced at 7%ish in premium terms. If post earnings May will be 35 vol, then the weekly straddle should be about 8.8%ish to make you indifferent between may and the weekly. Given that the skew is so flat, and there being no reason (at least for me to believe) that that will change on the upside, a similar vol should be on every strike.
Quote from scottandmo:
I just bought 3 NFLX Apr weekly/May 100 calendars for $1.25.
Also picked up an AAPL Apr weekly/May 600 calendar for $7.5.
We'll see what happens after their earnings this week. [/B]
NFLX May is a little over $1.25 right now, I'll see if it runs up anymore and close it out soon, should be breakeven or better if I let the Apr expire worthless
I added an AAPL Apr weekly/May 530 put calendar at $6.45 to cover the other side with the 600. At 1200 bps Vol drop the 530/600 calendar combo is showing at least some profit anywhere between 515 and 615 at the end of this week.
EDIT: And just for my reference, the IV is reading 45 on the May's and 92 on the Apr's.
Quote from scottandmo:
NFLX May is a little over $1.25 right now, I'll see if it runs up anymore and close it out soon, should be breakeven or better if I let the Apr expire worthless
I added an AAPL Apr weekly/May 530 put calendar at $6.45 to cover the other side with the 600. At 1200 bps Vol drop the 530/600 calendar combo is showing at least some profit anywhere between 515 and 615 at the end of this week.
For AAPL, simulate that calendar using a 12 point drop in MAY and see what happens- just for good measure.
Also- a 10% drop or rise isn't unlikely, the drop especially. AAPL has moved 10% on earnings before... I'm still gonna get into some biased flies...