optionvol-NBC-Bay-Area

TEX is trading $23.60, up 6.3% with IV30™ down 3.3% as of ~12pm EST. The LIVEVOL® Pro Summary is below.



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Terex Corporation (Terex) is a diversified global equipment manufacturer of a variety of machinery products. Terex is focused on delivering customer-driven solutions for a range of commercial applications, including the construction, infrastructure, quarrying, mining, shipping, transportation, refining, energy and utility industries.

This is a vol note as earnings approach on an ambiguous date. The end result is an interesting vol level if either of two realistic opportunities arise. Let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see an abrupt move up over the last few months. On 12-28-2011 the stock closed at $12.63. As of this writing, the stock is up 86.9% since then. Most of that move came from late Dec to mid Feb – check out that straight line up. Since then, there has been a bit of an equilibrium found, or in English, some sideways trading.

On the vol side, we can see how the implied has been higher, substantially so, over the last six months. The 52 wk range in IV30™ is [33.11%, 98.13%], putting the current level in the 38th percentile. The last two earnings cycles for TEX in calendar Q2 have been 4-21-2010 and 4-20-2011. That makes for difficult timing as Apr expiry is 4-20-2012.

Let’s turn to the Skew Tab.



We can see that Apr is well elevated to May across all of the strikes. This is sort of circumstantial evidence that earnings are due out before expiry. Looking to the firm’s IR site, I see this disclaimer: “There are currently no events scheduled.” Umm, I think there should be pretty soon, no?...

Finally, let’s turn to the Options Tab, for completeness.



I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here. We can see that Apr is priced to 65.53% vol, while May is priced to 58.15%. What’s interesting about these levels is that they both feel low. If earnings were in Apr, then the remaining week is essentially a pure earnings play, in which case vol would be substantially higher. If we consider the day of earnings just twice as “risky” as a “normal day,” we would expect vol in the 100% range. If, on the other hand, earnings fall in May, that 38th percentile also feels low. A very odd phenomenon IMHO, right now.

This is trade analysis, not a recommendation.

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ECYT is trading $7.81, up 105.6% with IV30™ up 32.3%. The LIVEVOL® Pro Summary is below.



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Endocyte, Inc. (Endocyte) is a biopharmaceutical company. The Company is engaged in developing therapies for the treatment of cancer and inflammatory diseases. Endocyte uses its technology to create small molecule drug conjugates (SMDCs), and companion imaging diagnostics. Its SMDCs target receptors that are over-expressed on diseased cells, primarily to healthy cells

This is a note that examines order flow -- one of the most misused and over diagnosed trading signals in the options market. Let's take a close look at how option order flow can be protected, hidden, anonymously and electronically negotiated and ultimately, how finding information inside of it is close to impossible when its information is hidden appropriately.

Let's start with the news today:

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(Reuters) - Endocyte Inc said Merck & Co Inc had acquired the development and marketing rights of its experimental cancer drug, the latest in the string of licensing deals by the No. 2 U.S. drugmaker to beef up its cancer drug pipeline.

Shares of Endocyte, which had a market capitalization of about $136.18 million before the deal, more than doubled in value to $8.20 in early Monday trade. The stock was the biggest percentage gainer on the Nasdaq.

Endocyte, which is responsible for a majority of the funding and completion of the ovarian cancer trial, will receive $120 million in cash and up to $880 million in milestone payments.

"We also believe that this transaction definitely cracks the door open for an eventual acquisition by Merck, if they like what they see in the next couple of years ...," Cowen and Co analyst Simos Simeonidis said in a note to clients.

Source: Endocyte soars on cancer drug deal with Merck
---

Let's look to the Charts Tab (six months), below, for a quick guide to the stock movement of late. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



12-13-2012: Stock drops 65% from $10.29 to $3.57.
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In addition, the blinded independent review committee and numerous sensitivity analyses confirmed the robustness of the progression-free survival results, particularly in the FR patient population, patients whose tumors are all positive for the targeted folate receptor. The overall survival results were inconclusive as the trial was not sufficiently powered to show an overall survival advantage and there was no trend toward benefit in either arm. The primary endpoint of the open-label PRECEDENT trial was PFS based on investigator assessment. Sensitivity analyses demonstrated these results were robust when adjusted for a variety of potential imbalances. The IRC assessments shared a high level of agreement with investigator assessments, confirming investigator-assessed progression for 74 percent of all patients. The PRECEDENT trial was not statistically powered to show a survival advantage and the results of the trial did not indicate a trend toward benefit in either arm.

Source: Provided by Briefing.com (www.briefing.com)
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3-14-202: Stock rises 58% from $3.72 to $5.89.

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NEW YORK (AP) -- Shares of Endocyte Inc. skyrocketed Wednesday after the company said it is close to restarting a clinical trial of an experimental cancer drug, as well as filing for conditional marketing approval in Europe.

THE SPARK: After the market closed on Tuesday, Endocyte said it will resume enrolling patients in a late-stage trial of its drug EC145 during the second quarter. The study is designed to compare EC145 to the chemotherapy drug Doxil as a treatment for ovarian cancer. Enrollment stopped because of a shortage of Doxil, and the company said Tuesday that the Food and Drug Administration will allow it to import the drug for use in the trial.

Endocyte also said it will ask European Union regulators to grant conditional marketing approval to EC145 and its imaging agent EC20.

Source: AP via yahoo Finance! -- Endocyte jumps on plans for cancer drug candidate
---

OK, so we have the news out of the way... let's focus on order flow and some of the rather fine intricacies. First, let's look to the Options Tab as of today, below.



I've highlighted two Apr calls -- specifically the OI in the Apr 5 and 7.5 calls. This firm averages 158 calls traded a day and the combined OI in those two represents 71% of total call interest. The Apr 5 and 7.5 calls are up and 5700% and 1100% on the day, respectively. So, in English, I'm focusing on those calls because they're up size and had huge positions in them relative to the rest of ECYT options.

I can see that the OI in the Apr 5 calls went from 141 to 488 on 3-8-2012, so the OI started to expand based on trades made on 3-7-2012 (OI adjusts the day after). Of course, that OI has gone all the way to 1,666. I've included the Time & Sales Tab from Livevol® Pro for those calls on that day, below.



While some of the order flow traded on the offer, there are other pieces that traded on the bid. A casual observation would be that the flow was two sided (buyer and seller initiated). I'm going to show you two ways that order flow analysis based solely on the NBBO can be misleading.

Let's start with a rather simple illustration, and then move to one of the finer points in option trading. First:



Since the NBBO at the time of the trade was $0.30 x $0.35, a $0.30 trade price looks like a sale. But, looking to the BBO per exchange, we can in fact see that the NBBO was likely $0.05 x $0.35 right before the bid came in. So, in English, a buyer went bid one tick below the offer which looks like a sale to the casual observer but is rather simply paying slightly less on a $0.30 wide market for options that were worth $0.20 to mid-market.

There's a deeper way that option prices are negotiated without a broker, without knowledge of the counter-party and without any verbal correspondence. It's a language that market takers use to communicate with market-makers. Let's look at one of those -- this is in the Apr. 7.5 calls.



In this case, we again see an NBBO of $0.30 x $0.35 and a trade price of $0.30. One of two things happened here, as far as I can tell:

Efficient Communication: The market maker(s) knew a buyer was out there, and signaled that a $0.35 sale could be had for small (15 @ $0.35). The market taker wanted to pay $0.30 for size (256 lot). This is a completely anonymous electronic negotiation. Ultimately the $0.30 bid was hit for 244 contracts.

Market Manipulation: A more sinister possibility is that the bid and offer were from the same party. If the buyer is $0.30 bid, but no one will bite, that same party may bring down the bid, lower the offer (for small size), wait a little while, then put a size bid one tick below that offer in hopes that someone hits it, or even more tricky, forces an auto-trade for all the system that are based on a theoretical value that uses mid-market.

In this particular case, I can see the NBBO right before the trade was in fact $0.20 x $0.40. Then the offer was lowered to $0.35. Then a $0.25 bid came in, no action. That bid was dropped, leaving a $0.20 x $0.35 market. The bid was raised to $0.30, and the offer moved to $0.40. Still no action in the bid, the offer was dropped back to $0.35, and finally, the $0.30 bid was hit (110x here, and 134 more right after). I've included the sequence below in actual quotes, which is probably easier to follow.



The point here is simply that order flow is far more complex than looking at the trade price and the NBBO. Trying to read order flow is fine (though difficult), but it's not a trivial endeavor.

Ultimately, I do see rather large (relatively) call buyers in the Apr 5 calls before the 3-14-2012 news that held onto the position through today. Now I see some sellers @ $2.70 (offering down from an NBBO right before of $2.65 x $2.90). The Apr 7.5 call opening orders came after the 3-14-2012 news, so that's likely spec rather than any kind of insider knowledge. Order flow may have tipped to some forward looking information in the Apr 5 calls (ya know, or not), but it was hard to read.

This is trade analysis, not a recommendation.

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RIG is trading $48.53, down small with IV30™ up 3.3%. The LIVEVOL® Pro Summary is below.



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UPDATE: A very competent and nice woman from IR called and directed me to look at prior 10-Q filings as a guide for an earnings release date, although the firm has not announced anything as of yet, officially.

Transocean Ltd. (Transocean) is an international provider of offshore contract drilling services for oil and gas wells. The Company operates in two segments: contract drilling services and drilling management services.

This is a vol note, focused on a vol diff that is sort of reversed with earnings approaching. I have a call into IR for RIG -- let's see if I get a return call. It's about 50/50 with most companies in my experience.

Although it's the skew that is the real driver for this post, we can start with a holistic view of stock and vol with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



The stock's at around the same level it was six month ago, although the ride has seen lows in the 30's and highs just below $60. The 52 wk range in the underlying is [$37.60, $74.26].

Looking to the vol, we can see that the implied is right in between the short-term and long-term historical realized vols. The 52 wk range in IV30™ is [28.36%, 64.75%], which puts the current level in the 40th percentile (annual). So, a fair question is, why am I writing about RIG?...

Let's turn to the Skew Tab.



We can see a rather pretty skew for the front three months with a monotonic vol rise from the back to the front. Last year RIG had earnings on 2-23-2011 and then 5-4-2011. This year, RIG had earnings on 2-27-2012. I can't find the next announced earnings date, though as I said, I do have a call into IR. It's a reasonable bet that the next earnings release will be in the May expiry cycle, and that's where the story starts for me. Apr is elevated to May (wrt vol) although earnings (the vol event) are in the back month. Pretty cool...

Finally, let's turn to the Options Tab for completeness.



Looking across the top, we can see the weighted averages for Apr and May are 50.01% and 43.43%. The earnings date is very much ambiguous -- perhaps it falls outside of May?...

This is trade analysis, not a recommendation.

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LIZ is trading $13.26, up 0.7% with IV30™ also up 0.7%. The LIVEVOL® Pro Summary is below.



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Liz Claiborne, Inc. (Liz Claiborne) designs and markets a portfolio of retail-based brands, including JUICY COUTURE, KATE SPADE, LUCKY BRAND and MEXX. The Company also has a group of department store-based brands with consumer franchises, including the LIZ CLAIBORNE families of brands and the licensed DKNY JEANS and DKNY ACTIVE brands.

This is a vol note on a fascinating company with a dramatic turnaround story, a stock price that has nearly doubled in six months (up 136.85% TTM) and still seen as undervalued by some while a potential takeover target. I'll summarize the happs and then show you some awesome upside skew into earnings.

Let's start with a holistic news report from Bloomberg, below.

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Even after losing more money last year than any other U.S. clothing retailer, Liz Claiborne Inc. (LIZ) could still be a bargain in a takeover.

The $1.3 billion owner of the Kate Spade brand will return to profitability in 2012, reversing five years of losses that topped $2 billion, according to analysts’ estimates compiled by Bloomberg. With revenue projected to rise 14 percent next year, New York-based Liz Claiborne still closed yesterday at $12.36 a share, a 28 percent discount to 2013 sales. That’s cheaper than 94 percent of similar-sized U.S. apparel companies, data compiled by Bloomberg show.

Liz Claiborne Inc.'s remaining lines -- Kate Spade, Juicy Couture and Lucky Brand, which are higher priced and contemporary -- could fetch $20 a share in a takeover, said Monness, Crespi, Hardt & Co.

Liz Claiborne, which is changing its name to Fifth & Pacific Cos. next month, may lure buyers from private-equity firms to Warnaco Group Inc. (WRC) or VF Corp. (VFC), according to Imperial Capital LLC, after selling its namesake brand and other units last year. The remaining lines -- Kate Spade, Juicy Couture and Lucky Brand, which are higher priced and contemporary -- could fetch $20 a share in a takeover, said Monness, Crespi, Hardt & Co. An acquirer could then benefit from splitting the three brands into separate companies, said Jim Chartier at Monness.

“It’s a completely different company now than six months ago,” Casey Flavin, an analyst at Hedgeye Risk Management LLC, an independent equities research firm in New Haven, Connecticut, said in a telephone interview. “You are left with three brands that are very attractive and so are inherently attractive to M&A because of the discount to their value.”

Source: Bloomberg via Yahoo! Finance Liz Claiborne Takeover Seen With Allure of Kate Spade: Real M&A, written by Katia Porzecanski and Cotten Timberlake.
---

Let's look to the Charts Tab (6 months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20 - blue vs HV180 - pink).



The stock evolution (read: climb) over the time period has been steadily abrupt (what?), which is to say, up a lot 'n stuff. I highlighted the pop a couple of weeks ago on 3-30-2012. Here's the AP headline and summary:

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Liz Claiborne jumps 13 pct on buyout report

Liz Claiborne jumps 13 pct on buyout report, company says "no contemplation" of new strategy

Source: AP via Yahoo! Finance (full article here)
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Remember this news tidbit -- it's the culprit for the "broken" skew. More on that in a second... For the record, the 52 wk range in the underlying is [$4.02, $15.39]. A year ago this stock closed at $5.60.

Turning to the vol portion, we can see the pop off of that 3-30-2012 news, and while the implied dipped a touch after, it has found that same level again. The 52 wk range in IV30™ is [45.73%, 104.42%], putting the current level in the 48th percentile (or essentially in the middle). The next earnings release for LIZ is due out 4-25-2012 BMO and is confirmed by Livevol®'s data sources.

But, having said all that, it's the skew that really caught my attention. Let's check it out, below.



While it makes sense for May to lie above Jul due to earnings, that upside skew vol difference is awesome. Keeping in mind that the 13 strike is ATM, we can see how the vol dips to the OTM puts and rises rather significantly to the OTM calls.

I looked back at the historical skew, and whadya know... It was this 3-30-2012 report that "broke" the skew. I have included the Skew Tab from 3-29-2012 and 3-30-2012, below.





The skew as of 3-29-2012 was "normal," with the OTM puts more expensive (in vol) than the ATM options (in vol) and further, with the OTM calls less expensive than the ATM vols. The takeover / private news is not going away -- that is, the new risk it presented to the market (see change in skew charts) has become the new equilibrium. Quite unusual and therefore, quite meaningful.

To read what skew is and why it exists you can go here: Understanding Option Skew.

Finally, let's turn to the Options Tab, for completeness.



We can see that May as a weighted average is priced to 11 vol points higher than Jul. But, looking to the specific strikes we can see that the ATM vol diff is ~11 points while the OTM calls on the 17 strike show a vol diff of more than 20 vol points. In English, the option market reflects substantially more upside risk in the near-term relative to the intermediate-term Jul options. It will be very interesting to see how Jun is priced after Apr expiry. Word...

Happy Friday.



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BKS is trading $10.57, down 3.7% with IV30™ up 7.9%. The LIVEVOL® Pro Summary is below.



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Barnes & Noble, Inc. (Barnes & Noble) is a bookseller. The Company is a content, commerce and technology company that provides customers access to books, magazines, newspapers and other content across its multi-channel distribution platform.

This is a vol note focused primarily on an upside skew vol difference that has opened up in the recent few weeks along with a stock drop and implied rise. Let's start with the Skew Tab for today.



While Apr vol lies on top of May entirely, we can see that it's the upside skew that shows the greatest difference. The BKS Apr 13 calls are sorta irrelevant in this skew chart as they are $0.05 options, but the Apr 11 calls, and to some degree the Apr 12 calls, do have that significant vol diff and caught my attention. The next earnings release for BKS should be in Jun, so it's likely not in play here.

I looked back a few weeks ago, early on into this expiry cycle, and found that the vol difference was smaller though slightly apparent. I've included the Skew Tab from 3-19-2012, below.



Not only can we see a tighter vol difference, but note that the stock was trading much higher (the $20+ calls were bid).

Let's turn to the Charts Tab (six months) below, for a more holistic view of the stock and vol movement. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see a highly volatile price evolution with gaps up and down. Ultimately, the solvency of BKS is in play (IMHO), though I absolutely love the bricks and mortar book store. We can also see the recent down draft, which is getting into the scary realm. The stock was trading $14.39 on 3-26-2012 and is now down to $10.57 as of this writing. That's a 26.5% drop in about three weeks. The 52 wk range in the underlying is [$8.45, $21.06], so the the price is getting close to that annual low.

On the vol side we can see that the implied has been substantially higher in the recent past. In fact, it reached 112.73% on 2-14-2012 (an annual high). After dropping to 53.33% on 4-5-2012, it has now risen to 72.53%. That's a 36% rise in eight calendar days as the stock has been dropping.

One final note, the e-book pricing collusion charge against AAPL may have an effect on BKS -- at least on a systematic level if not firm-specific. The BKS e-reader is kinda one of their biggest (last?) hopes for an earnings thrust forward away from... well, away from bad things...

This is trade analysis, not a recommendation.

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SWY is trading $20.65, up 2.3% with IV30™ up 22.8%. The LIVEVOL® Pro Summary is below.



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Safeway Inc. (Safeway) is a food and drug retailer in North America. As of December 3 1, 2011, the Company had 1,678 stores.

I found this stock using a custom scan searching for names where IV30™ is up at least 10% on the day. This is a takeover rumor name with earnings likely in the second month, making for an interesting vol set-up. The implied in this name has been up nearly 75% over the last four weeks and today's news adds to that trend pushing IV30™ to nearly a double since 3-19-2012.

The scan details are below with a snapshot if you want to build it yourself in Livevol® Pro.

Custom Scan Details
Stock Price GTE 10
Average Option Volume GTE 1,200
Days After Earnings GTE 5 and LTE 60
IV30™ Percent Change GTE 10%
IV30™ GTE 10

The goal here is find stocks more than $10, with a greater than 10% rise in IV30™ (short-term implied) that is not due to an earnings date, with enough option liquidity to trade.



Let's start with the news today that's pushing vol today:

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Rumor Round Up

* Safeway (SWY) spiked higher following takeover rumors.

While many rumors circulate during the day, and the validity of the source of these rumors can be questionable, the speculation may increase volatility in the near term.

Source: Provided by Briefing.com (www.briefing.com)
---

The SWY Charts Tab is included below and helps illustrate the awesome vol climb of late. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



Starting with the stock price portion, we can see how the underlying has climbed from the mid $17 level, to now over $20.50. But, it's the vol portion that is so interesting. I've highlighted the recent run up, but if you look to mid Mar, we can see how the implied actually hit its annual low on 3-19-2012. From that point, the vol has gone straight up and is now in the 72nd percentile (annual). The 52 wk range in IV30™ is [20.08%, 45.39%].

The implied is now well above both of the historical measures. The vol comps are:

IV30™: 38.51%
HV20™: 23.23%
HV180™: 31.98%

The Skew Tab (below) illustrates the vols by strike by month and uncovers another interesting phenomenon.



Check out how elevated Apr vol is to the back months, and in specific, to May. The last two earnings releases for SWY in calendar Q2 were 4-29-2010 and 4-28-2011. It's a reasonable bet that the next earnings release for SWY will be in the May expiry and outside Apr. That means that the depressed vol in May (relative to Apr) has an embedded vol event.

I was wondering how much the rumor today moved the skew, specifically wrt the Apr to May comp. I've included the Skew Tab snap from yesterday, below.



We can plainly see how the front month was in fact depressed slightly to May as of yesterday's close, and how much the rumor has changed that term structure relationship. Come on, Livevol® Pro is pretty awesome, no?...

Finally, let's turn to the Options Tab, for completeness.



Putting numbers to the images, Apr vol is priced to 45.52% (that's above the annual high in IV30™) while May is priced to 38.51%.

This is trade analysis, not a recommendation.

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GOOG is trading 643.58, up 1.2% with IV30™ down 5.9% as of ~10:05am EST. The LIVEVOL® Pro Summary is below.



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Google Inc. (Google) is a global technology company focused on improving the ways people connect with information. The Company generates revenue primarily by delivering online advertising. As of December 31, 2011, the Company’s business was focused on areas, such as search, advertising, operating systems and platforms, and enterprise.

Duh...

Let’s keep it simple -- this is an earnings note on GOOG on the last trading before the calendar Q2 report. The current vol level is not trivial in that there is a substantial and unambiguous risk premium statement reflected by the options relative to the past and I’m going to show how to find it. And, with weekly options expiring tomorrow, we have a precise measure of the option market’s pricing of the one day earnings move.

First, let’s start with the Charts Tab (six months), below. The top portion is the stock price, the bottom is the vol (IV30™ - red vs HV20™ - blue vs HV180™ - pink).



On the stock side we can see the last two earnings moves (down $53.58 or 8.4% on 1-20-12 and up $32.69 or up 5.8% on 10-14-2011). Now look to the vol portion, and specifically the implied. For the 10-13-2011 cycle, IV30™ hit 43.09% and on 1-19-2012, the IV30™ hit 48.23%. The IV30™ today is just 31.37% and is down today.

But that’s just the beginning. Let’s take an eight quarter look back window using Livevol® Excel. The details and stats are included below.



That’s a lot of info, so let’s break it down into means and medians.

In terms of one day straddles, buying the front month straddle the day of earnings and selling on close the next day was a winning strategy six out of the last eight quarters. The average return was 62.8% and the median was 71.7%. Looking more closely to the most recent quarters, we can see the one day trade was a winner once and loser once, while the win was substantially larger than the loss.

IV30™
Day before IV30™ mean (eight quarters): 34.60%
Day before IV30™ median (eight quarters): 31.65%
Day before IV30™ mean and median (two quarters): 45.66%

So, in English, we can see that other than the last two quarters, the current IV30™ is almost identical to the median over the last eight quarters.

Taking a more holistic approach, we can see that the last two earnings cycles are sort of on an island – priced to higher vol than the six quarters before. The vol today looks more like the six quarters prior than the most recent two quarters.

One-day Stock Moves
Absolute Mean (eight quarters): 7.95%
Absolute Median (eight quarters): 7.93%

It’s comforting to see that incredibly close tracking of mean to median simply in that it shows us we may have a reasonable measure of middle. In English, over the last eight quarters, GOOG stock has moved just under 8% in the day immediately following earnings. The standard deviation of the absolute moves is 3.11%. That's evidence that the measure of middle is in fact potentially meaningful -- but keep this mind when looking to the analysis to follow.

Let’s turn to the Skew Tab and then the Options Tab to complete the analysis.



I’ve purposely included the weekly options expiring tomorrow. We can see the beautiful and monotonic elevation in vol from the back to the front. This is normal and expected behavior. But, with the weeklies expiring tomorrow, we have a precise measure of option market pricing for the one-day move. Knowing that the stock has averaged ~8% a day over the last eight quarters, let’s look to the reflected risk now. The Options tab is included below.



To be as precise as possible, we’ll use the $643.58 spot as of this writing, which is 28.4% the 640 strike and 71.6% the 645 strike (0.284*$645 + 0.284*$640 = $643.58). The ATM straddle then is priced to:

ATM straddle = 0.284*($21.10 + $17.70) + 0.716*($18.6 + $20.25) = $38.84

And finally, turning that into a percentage of stock price:
$38.84/$643.58 = 6.03%

So, for those that are number averse or simply don’t have the time to follow that stuff, the option market is pricing the one day earnings move AND the rest of Thursday’s move as 6.03% when over the last eight quarters the single day move has averaged (and in median) 7.95%. Keep in mind the stock has already moved 1.2%, so Thursday's piece of the ATM straddle isn’t trivial.

Conclusion
I wrote about this one for TheStreet (OptionsProfits), so no specific trade analysis here.
Bringing it all together, GOOG vol is pricing a one day move off of earnings less than the eight quarter average (and median). Now the question... Do you expect GOOG to move more, less or about equal to it’s recent average? Perhaps a bit more holistic, is the current macro environment more or less “risky” than the past? Question number 2 is not trivial... for that matter, neither is number 1.

This is trade analysis, not a recommendation.

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