With earnings coming up I looked at the trends (vol). It turns out that selling the front month ATM straddle the day before earnings and buying it back the day after has won 6/7 times. Further, the one loss was the smallest absolute move of all. The stats are included (click to enlarge).
The Options Tab demonstrates the current prices - the ATM front straddle has fair value of ~ $2.49 with nice and tight/liquid markets.
The Earnings & Dividends Tab for the last 7 quarters are included. First the most recent three quarters (all wins; click to enlarge):
What we're lookin' at:
(1) The top ROW is AET stock price 5 trading days before earnings through 5 trading days after.
(2) The second ROW are the front 2 month ATM straddles for the same period - focus on purple - the front month.
(3) The third ROW is the implied vol for those straddles - focus on the red - the front month. NOTE: The red line always collapses after earnings - this is called the vol crush after earnings.
And then the four prior to that (3 wins/1 loss click to enlarge).
One word of caution - AET is an insurer - so you never know about the crazy news...
This is trade analysis, not a recommendation.
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