temper 1 Report post Posted August 12, 2013 Looking at vxgog looks like there was significant drop today in IV (15.98 currently, which seem to be extremly low). Anyone any ideas why this would be the case? Could Friday expiry have effect on the subdued implied volatility? Other ideas? Share this post Link to post Share on other sites
Kim 7,943 Report post Posted August 12, 2013 This is actually a 3 year low, and there might be a trading opportunity here. Let me do some analysis and come back later. Share this post Link to post Share on other sites
Mikael 31 Report post Posted August 12, 2013 GOOG 52 wk IV percentile is 9% right now. What do you think about putting on some calendars on GOOG like the IBM trade? possible news which may cause the stock to move: BBBY is now officially up for sale, i'm guessing GOOG / AAPL are both interested. Share this post Link to post Share on other sites
rajtpd 0 Report post Posted August 13, 2013 (edited) How about a Sept 885 Straddle which is currently priced at only 4.7%? I think that's cheap. With about 39 days to expiration I think we can see the stock easily move. Break even is 842 and 928. What you guys think? Edited August 13, 2013 by rajtpd Share this post Link to post Share on other sites
Mikael 31 Report post Posted August 13, 2013 I agree Share this post Link to post Share on other sites
temper 1 Report post Posted August 13, 2013 Would October one not overlap with next earnings release before expiry and keep value better? Share this post Link to post Share on other sites
Kim 7,943 Report post Posted August 13, 2013 October straddle should keep the value better since there are earnings in this cycle. September straddle will require the stock to move. 2 weeks from now, if the stock doesn't move, you are looking at 20% loss. It will require a 30 points move just to break even. Unlike our earnings trades, nothing will support the price and the theta will just eat it every day. But if you think that the stock is going to move 25-30 points in the next couple weeks, then it might be a good trade. Share this post Link to post Share on other sites
Hannes Kury 7 Report post Posted August 13, 2013 This is actually a 3 year low, and there might be a trading opportunity here. Let me do some analysis and come back later. Kim, can you share the results of your analysis? Share this post Link to post Share on other sites
Kim 7,943 Report post Posted August 13, 2013 I was looking at a calendar long October options. However, there are few issues here. First, I already have 2 calendars now (RUT and IBM), so any sharp market move will hurt them and adding another one would take allocation of calendars to almost half of the portfolio which is too much. Second, Oct/Sep calendar is over $1,200 which is a bit too expensive for SO portfolio. I still intend watching it closely for the next few days and share more details. Share this post Link to post Share on other sites
