lnkd wide condor going into earnings.
Earnings on Aug 1.
The week 1 230-225 / 190-185 condor offers $2 max profit and $3 max loss and protects 3.74/4.16 stdev move for 5 days. History is pretty impressive in terms of move, however, with a 5-d 9 stdev move only two qarters ago and multiple in the 1.5+ range (positive and negative). My thought is that the market is overcompensating for the 9 stdev move represented in the analysis.
Sold the Aug week 1 condor: 180/185 - 220/225 "set and forget"
tsla had a 5.6 stdev 5-d swing over last earnings release.
tsla is interesting because of the huge ramp up. the trend profile of the moves suggests selling puts. They're hugely overpriced based on historical moves. Might be an opportunity to try one of the put sales with insurance put by but instead of "set and forget", watch and manage through to expiration with a loss maximum set.
Sold the Aug 115/100 put spread
This one I will watch and not let lose. it's not a "set and forget".
Sunday, July 28, 2013
Thursday, July 11, 2013
Tuesday, July 9, 2013
appl wk 4 options look like they're pricing based on the last 4-5 earnings vs. on history so hardly giving any volatility premium. the put side is pricing high and the call side is pricing low. the last 5 earnings announcements have resulted in negative moves through to the following friday for 13d move window, averaging about 1 stdev.
goog options are holding high volatility value, basically not losing value each day. they're priced to cover about a .91 stdev move by expiration after earnings or 8 days. this looks a little cheap considering the 8d moves historically associated with earnings but the last two earnings resulted in about this. The question is how will the price stability hold through weekend and leading to next Thursday after market close.
amzn wide options, the 320-315/270-265 condor pays out 1.5 with a 2.4 stdev protection which would be greater than any post earnings 13d move but 2. The narrow options 295/290 condor to same outside has better expected value but higher max loss.
goog wider condors, 960-955/860-855 offer roughly same, 1.7 but with only 1.5 stdev protection which is barely more than average and has been breached about 50% of the time for the last few years in the 8d stdev earnings move to expiration.
gs has an interesting profile. 170-165/150-145 condors pay 1.04 and provide about 1.25 stdev protection. This wouldn't cover the last 2 8d earnings moves but would cover the average. 50% of the last 10 earnings wouldn't be covered by this.
All in all, appl is looking like an atm straddle long and amzn like a wide condor short. gs like a wide condor short for < 1k but also an atm straddle with a little risk. goog looks like an absolutely expensive, but relatively cheap condor so not sure on that one probably pass.
goog options are holding high volatility value, basically not losing value each day. they're priced to cover about a .91 stdev move by expiration after earnings or 8 days. this looks a little cheap considering the 8d moves historically associated with earnings but the last two earnings resulted in about this. The question is how will the price stability hold through weekend and leading to next Thursday after market close.
amzn wide options, the 320-315/270-265 condor pays out 1.5 with a 2.4 stdev protection which would be greater than any post earnings 13d move but 2. The narrow options 295/290 condor to same outside has better expected value but higher max loss.
goog wider condors, 960-955/860-855 offer roughly same, 1.7 but with only 1.5 stdev protection which is barely more than average and has been breached about 50% of the time for the last few years in the 8d stdev earnings move to expiration.
gs has an interesting profile. 170-165/150-145 condors pay 1.04 and provide about 1.25 stdev protection. This wouldn't cover the last 2 8d earnings moves but would cover the average. 50% of the last 10 earnings wouldn't be covered by this.
All in all, appl is looking like an atm straddle long and amzn like a wide condor short. gs like a wide condor short for < 1k but also an atm straddle with a little risk. goog looks like an absolutely expensive, but relatively cheap condor so not sure on that one probably pass.
Monday, July 8, 2013
aapl July wk4 ATM options don't appear to have huge premium for earnings. These look cheap relative to both normal historic volatility and also given the average 14 day volatility around earnings and after to the following friday.
google July ATM options have huge premium. goog has definitely priced in a volatility premium and looks really expensive relative to options priced for 9 days remaining time. Still, the volatility over 9 d going into earnings has historically been higher than supported by these prices. The prices maybe are anchored on the last 2-3 earnings reports vs. a historical perspective. will be interesting to see how it plays out.
google July ATM options have huge premium. goog has definitely priced in a volatility premium and looks really expensive relative to options priced for 9 days remaining time. Still, the volatility over 9 d going into earnings has historically been higher than supported by these prices. The prices maybe are anchored on the last 2-3 earnings reports vs. a historical perspective. will be interesting to see how it plays out.
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