PCLN straddle

Quote from rocky_raccoon:

How did you come up with 7.2%? Just to make sure we're on the same page: the position is to be sold BEFORE the announcement not after.

I took the number out of bloomberg. However, there is a mathematical way to determine what the market is saying - but like all models, it relies on assumptions. Generally the model works however. It involves breaking out vol into components. Most people on the street value earnings this way.

I see that the strangles did go up in price. That's interesting. The one day implied move is now just under 8%. So there was an increase in the expecation.
 
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