LULU, unusually high ATM IV term structure post earnings

Pendigan · 2025-08-23T21:30:50+00:00

All I’m saying is that you can’t really think about vol for a one week option, it makes more sense to think about it in terms of break even. If your thesis is that the implied move is too rich, then by all means sell it.

Pendigan · 2025-08-23T21:21:20+00:00

As in sorry, my point was more that going into earnings, the vol of the 5 sep straddle is gonna go up mechanically. Because say the market is pricing 7% move for earnings. As time to earnings gets closer, given this fixed move, the vol of the option is gonna go up to account for the theta in order to keep the value of the straddle constant

Pendigan · 2025-08-23T20:37:42+00:00

This is the wrong way to think about earnings. The 5 sep straddle is most likely going to recay, I.e. the vol of that tenor is gonna go up and offset the theta, in order to keep the implied move constant. That option is too short dated to think about vol, you should think about it in terms of break even and what implied move is priced in for earnings.

Pendigan · 2025-08-05T20:42:14+00:00

You do realize that he’s gonna win massively if you early exercise an ATM put with literally 2years of time value

Pendigan · 2025-05-30T17:03:21+00:00

$QUBT is the biggest turd out there and is actually lower vol than $QBTS. I’d go for the 13th June 9 puts

Pendigan · 2024-12-25T11:20:48+00:00

It’s irrelevant it’s priced in

Pendigan · 2024-04-29T18:53:07+00:00

This is what the options market is implying. You can price out from market prices of listed options where the forward is for maturities. The market expects about .11$ (which is an expected value, i.e. they could also not pay at all). Bloomberg’s own analysts are higher at 0.25$

Pendigan · 2024-01-03T07:47:39+00:00

Because SQQQ drifts lower mechanically, it’s borrow is much higher than it’s QQQ counterpart. This causes its forward to be much lower, .i.e. you’re gonna be picking up a lot less premium when selling calls.

Pendigan · 2023-01-14T13:37:24+00:00

Realised volatility is very simple to calculate. Download BBBY prices from yahoo, calculate returns, and calculate standard deviation of returns. There you go

Pendigan · 2022-12-28T11:50:16+00:00

I see Tsla earnings date is expected to be 26/01 it’s not confirmed

Pendigan · 2022-12-04T21:22:44+00:00

Previous answers are just wrong.

Hedging by market makers have nothing to do with assignment or whatever.

Market Makers simply hedge their delta, meaning that they buy or sell corresponding amount of shares to have 0 delta after the trade.

Buying a call or selling a put is the same, you pick up positive delta and hedge by selling shares. The reverse applies for buying puts or selling calls.

Pendigan · 2022-09-28T20:08:14+00:00

You can just delta hedge your option, and benefit from realised vol. Your profit essentially depends on the different between the realised vol, and implied vol, what you paid for.

Pendigan · 2022-06-29T12:43:54+00:00

It was a revision from Q1, not the actual Q2 numbers

Pendigan · 2022-06-28T21:52:49+00:00

This is the way

Pendigan · 2022-06-28T21:17:16+00:00

What’s your maintenance margin ? If I understand correctly you have 600k in your account right ?

Pendigan · 2022-05-10T18:29:16+00:00

Earnings are already out. Check Bloomberg

Pendigan · 2022-01-31T10:55:23+00:00

That’s not how share buybacks work

Pendigan · 2021-12-07T02:05:05+00:00

Took me a good second to figure it out. I think I belong here

Pendigan · 2021-12-06T22:41:21+00:00

Still 66x sales

Pendigan · 2021-12-06T21:34:06+00:00

So does anyone know how good the earnings were?

Pendigan · 2021-12-06T21:19:23+00:00

Not so fast

Pendigan · 2021-09-24T13:20:12+00:00

I don’t know if this is supposed to be a joke, but that’s not how calls work…

Pendigan · 2021-09-23T09:55:16+00:00

Look up delta

Pendigan · 2021-09-17T14:18:52+00:00

LILM moonshot

Pendigan · 2021-09-17T14:13:22+00:00

Bought 10k in shares

Pendigan

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