This is an update to the blog posted yesterday Broadcom (BRCM) - Earnings Preview; Vol Pattern and Straddle Sale .
BRCM is trading $37.99 with IV30™ down 11.6% after earnings. The LIVEVOL™ Pro Summary is below.
In yesterday's article I noted that:
BRCM has followed a consistent pattern for seven out of the last eight earnings starting with the 10-21-2008 cycle and ending with the last earnings cycle on 4-27-2010. Specifically, a straddle sale at the close on the day of earnings and a purchase back the day after was a winner seven times.
BRCM had earnings last night, the Options Tab today (after earnings) is included (click to enlarge).
We can see the ATM straddle is now worth $2.54. Yesterday, the straddle was worth $3.31. The one day trade would have turned a 23% profit ex-commissions. The updated earnings and dividends stats are included (click to enlarge).
If you sold the straddle at the close the value was $3.01, so the gain is 18%. Either way, the result is right around our expectation.
This is trade analysis, not a recommendation.
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Ophir,
ReplyDeleteHow do you explain the dip below 37 at the opening? If stayed below 37 would 38 straddle still be positive? Thanks!
The closer to the short straddle the better; but even at $36.90 (ish) the straddle would have been even; just not as good as it is now.
ReplyDeleteThanks
ReplyDeleteDo you prefer to sell naked or buy calendars on earnings?
Depends on the stock...
ReplyDeleteAre there any criteria for the choice?
ReplyDeleteUsually a comparison between HV90 and earnings vol. I like selling straddles if IV is well above HV90; otherwise, not so much.
ReplyDeleteThank you very much for all your help
ReplyDeletei sold late and bought back early but still manged to turn out a profit so keep up the good work
Wiing trades are always good news.
ReplyDelete