The difference between the July vol and September vol should not have been 12 points different because DOCU has earnings in septembet
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- Thread starter TheBigShort
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Huh?!!! wtf
That is the most incorrect statement about options I think I have ever heard here at ET.
.....Are you Lawrence Lugar? Fess up.
While theoretically that’s probably true, it would be hard to monetize that calendar on the basis of event volatility alone. Unless it’s a live or die type of event, most times you want event vol on ATMish strikes and over 3 months you’re likely to drift away
It can easily be computed with a pretty close range to what the diffuse vol will be in the July expiration. You can also compute it for the September expiration. The numbers prompted to be a buyer of the September event vol. I can do the math if you or anyone is interested.
That's not what I was referring to. I was simply pointing out that the far expiration in your calendar is likely to lose the vega exposure by the time you get to the July expiration. It's the usual hazard of trading fixed strike options. OTM options usually don't price the event as much as the ATM ones, so you'd only do this trade if you like the forward vol on other basis, not purely based on the event expectation.
Oh yes please. If you could do that math it would be very useful, to learn.
thank you.