200 straddles? Respect! Are you going to hold it overnight into the earnings? The big move in NVDA a year ago is skewing on my after-report ABS average move, so I am staying away from NVDA for now. However, the 7% implied staddle is the LOWEST I saw for a while, so good luck! Would you exit tom before close if Straddle goes back to 7.5+?
Honestly i was pricing a 7.9% Implied Move as fair this quarter so im really far off. 6.3% as of right now. Maybe you should grab some its lowest on the day right now. Just got some more fills at $9.4 Ill likely close tomorrow but if it continues to sell off i dont think ill beable to (too cheap). Im also buying some ZS thats another cheap one. Pretty shocked how low these event vols are getting.
9.45 (mid) on 135 straddle is solid 7%, not 6.3%, right? And yes, 8.00% is a fair price based on latest history.
I see the non-event vol declined from 45% to 40% in addition to the 3 day wknd's worth of theta being applied. At the same time the earnings move increased slightly from 6.2% to 6.5% (Friday to today). The real dip was for the near term calendars, 1 wk / 2 wk expiries, declining nearly 15% (reflecting the increased event vol, decreased forward) in the face of the 3 day weekend theta. Couldn't tell you what the market was trying to price in at 45% before deciding that 40% is more appropriate for post earnings vol though. No positions for me.
ZS Implied Move makes no sense to me and the crazier part is next quarter is implying 10.5% after subtracting out this event (september) insane. 6.7% this quarter and 10.5% next quarter. Im all over the chain in this name but currently marked down 25k
Sorry, realized this is not telegram ill keep it to 1 extended post in the future. Here is ZS atm surface after subtracting out 6.7% ImpMove. Hopefully someone here can make my marks better
Yet another very "low" Implied value...printing 7.0% (my calcs) vs. lowest of 9.5% in the last 5 qtrs I am closing all my positions before reporting week...just too wild of action and MM's manipulations for me My last trade was GAP, closed last Friday. Both Price and Vols actions were great! BTW- I am learning something new by reading your posts. Especially about the Implied value across the chain, especially the 10.5% for next qtr I do track/record term structure but primitive way...(works good for me so far