That was immediately profitable but I had an unexpected trip. I was out on the following day when the signal was negated but I couldn't post timely. It is what it is.
Post your vol-trade here
- Thread starter destriero
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That was immediately profitable but I had an unexpected trip. I was out on the following day when the signal was negated but I couldn't post timely. It is what it is.
Thanks. Was just curious how long/deep you would have let it go against you so good to know you got out.
Whoa...not broad at all...
I have a question on the estimation of earnings and ambient vol. Would appreciate if someone can clarify. For concreteness, consider MU, which has earnings on Sep 21. Looking through the option chain, we see that the aggregate IVs for the Sep 21, Sep 28, Oct 5, Oct 19, Nov 16 options are 0.56, 0.51, 0.48, 0.47 and 0.44, respectively. I want to use this data to compute the implied earnings and ambient vol. Since the earnings weight is always 1/DTE, we have the following equation to solve for the total IV given the ambient (AV) and earnings vol (EV):
IV^2 = 1/DTE * EV^2 + (1 - 1/DTE)*AV^2
Since we're given the IVs, we can solve for the EV and AV using a system of linear equations, one for each expiration (so I just used a generic solver). This gives me an ambient vol of around 0.39, and an earnings vol of around 1.88. Is this a valid approach?
IV^2 = 1/DTE * EV^2 + (1 - 1/DTE)*AV^2
Since we're given the IVs, we can solve for the EV and AV using a system of linear equations, one for each expiration (so I just used a generic solver). This gives me an ambient vol of around 0.39, and an earnings vol of around 1.88. Is this a valid approach?
Did you have a position in calls?
Unless I am misunderstanding his position. He’s long the 60 strike. He might be up several dollars on this.
edit: I think this structure that he paid 50 cents for might be worth 1.8 today.
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its one of those confusing tastytrade positions, its above my head.