- AAPL report on 10/18 after hour
- on Monday close, it is trading at $420
- $420 OCT STRADDLE price in $25. CALL 420 cost $12.4 (Implied vol = 62%). Put cost $12.5 (63%)
- $420 NOV STRADDLE price in $41.5. CALL 420 cost $20.8 (Implied vol = 41%). Put cost $20.7 (41%)
7/19 Earning performance:
Earnings performance
Establised Positions
| EARNING DATE | PRICE BEFORE EARNING | MOVEMENT BEFORE EARNING | GAP OPENING MOVEMENT | ONE DAY MOVEMENTS | DAYS LEFT | MOVEMENTS FOR OPTIONS MONTH | ||
|---|---|---|---|---|---|---|---|---|
| MAX | FINAL | MAX | FINAL | |||||
| Jul 19, 2011 AC | $376.85 | +0.81% | +5.11% | +5.15% | +2.66% | 31 | +7.33% | -5.52% |
Establised Positions
- One Day Result: Exercise the trade based on closing price after one trade session.
- Month End Result: Exercise the trade based on closing price after Options expires.
| SYMBOL | RATE | PRICE | STRADDLE PLAN | LOWEST COST | ONE DAY RESULT | MONTH END RESULT | ||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| COST | DATE | PERC | PRICE | PROCEED | RETURN | PRICE | PROCEED | RETURN | ||||
| AAPL | 0/10 | $374.5308 | Straddle @ $375 | $28.6 | Jul 19, 2011 | 7.75% | $386.9 | - $16,700 | -58.39% | $356.03 | - $9,620 | -33.63% |
| $368.55 | Strangle @ $370/$365 | $26 | Jul 18, 2011 | 8.01% | $386.9 | - $9,100 | -35% | $356.03 | - $17,020 | -65.46% | ||
| $359.08 | Straddle @ $360 | $24.6 | Jul 14, 2011 | 7.1% | $386.9 | $2,290 | 9.3% | $356.03 | - $20,620 | -83.82% | ||
| $357.75 | Strangle @ $360/$355 | $22.25 | Jul 07, 2011 | 6.98% | $386.9 | $4,640 | 20.85% | $356.03 | - $22,250 | -100% | ||
| $354.15 | Straddle @ $355 | $26.2 | Jul 11, 2011 | 7.63% | $386.9 | $5,690 | 21.71% | $356.03 | - $25,170 | -96.06% | ||
| $352.09 | Strangle @ $355/$350 | $22.8 | Jul 06, 2011 | 7.3% | $386.9 | $9,090 | 39.86% | $356.03 | - $21,770 | -95.48% | ||
| $348.47 | Strangle @ $350/$345 | $22.7 | Jul 05, 2011 | 7.5% | $386.9 | $14,190 | 62.51% | $356.03 | - $16,670 | -73.43% | ||
| $342.48 | Strangle @ $345/$340 | $21.45 | Jul 01, 2011 | 6.99% | $386.9 | $20,440 | 95.29% | $356.03 | - $10,420 | -48.57% | ||
| $335.5158 | Straddle @ $335 | $25.55 | Jun 30, 2011 | 7.76% | $386.9 | $26,340 | 103.09% | $356.03 | - $4,520 | -17.69% | ||
| $332.9199 | Strangle @ $335/$330 | $23.75 | Jun 29, 2011 | 8% | $386.9 | $28,140 | 118.48% | $356.03 | - $2,720 | -11.45% | ||
Stephen Simulation
Stephen wanna buy 410 Oct call for $15. He thinks AAPL will move in between 5%-10% (5% =$441, 10%= $462). Note that market is expecting 6% because Straddle is pricing in 6%
- What it looks like if buy OCT 410 Call outright?
- What it looks like if we use margin to help lower cost and Risk by doing: BTO 2 $435 call, STO 4 $450 call, BTO 2 $455 call for net $267?
The Difference:
- Oct 410 call has more upside (like 200% return) if AAPL really goes 10%. The uneven one capped the upside to $1500
- Total risk for Oct 410 call is $1700. Total risk for uneven spread = $550
- Breakeven for Oct 410 call is $ 428. B/E for the spread combo = $432
- If aapl moves 6%: Risk and reward for Oct 410 is 1 : 1 and for Spread combo is 1: .9
- IF aapl moves 10%: RR for OCt 410 call is 1:2 and for combo is 1:3
- IF aapl disappointed, Oct 410 holder loses $1700. Combo holder loses $550.
AAPL Earning straddle pricing:
Expert opinion:
-but I really dont think aapl will make a 5%-10% moves after such a pre-earning run.
ReplyDelete-Optionpit's article further reinforce my thesis.
-Plus, I am not sure if the steve jobss death news are fully reflected. PPL may actually postpone selling because everyone is expecting aapl to have big earning this Q. They may actually start selling after the earning