Dell
I'm looking at Dell tonight for possibly an earnings trade tomorrow. The implied volatilities are looking advantageous with Aug in the mid to high 30's and Sep in the low 20's. Also, the earnings may come in strong so I'm looking at something that may try and capture a pop higher on Friday. Right now, a Aug 40/Sep 42 2x5 ratio spread looks good. There is minimal downside with the possibility of a homerun on 10% move higher. IVs look to implode to less than 20.
posted by Bob at 7:10 PM
2 Comments:
hi bob, i'm not sure playing the iv game gets you anywhere so close to expiration. the vol crush is not going to bail out your delta exposure very much - if dell would have stayed exactly at 40, your atms get cut maybe in half but your otms go to zero.
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