![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhW0mpI2VfbjS2gHrw6WNdXXpePwJJaputgwD_3lK-yJwJlcrC-RsmJC50cA4m4XTy74CHCA4ZDCcUkY2quaSa6eU4lroZmuECMTUkXR0F95JG_qf2kqJRqLLpZbkMlFzRSwF-AMUWg5-h-/s400/aet_summary.gif)
With earnings coming up I looked at the trends (vol). It turns out that selling the front month ATM straddle the day before earnings and buying it back the day after has won 6/7 times. Further, the one loss was the smallest absolute move of all. The stats are included (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgbCxN0kbwXZGi0Jlqg5AiZ_TrTzU8zf6UcZs8XXjn4UFM1DEKrgeTpLh80cgJiCKxwf71y1JKzrBoKOXNpVzAvexqGwo5YPMwAdkzZhOjqGx26Gdn_JWl7e0mq1CDwYcpfSc0WAR0jsYCw/s400/aet_e_stats.gif)
The Options Tab demonstrates the current prices - the ATM front straddle has fair value of ~ $2.49 with nice and tight/liquid markets.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEi-68d1_WxM5Zh95884aU5WMDYIJ-plhx7Ov1ElvmI_GPQsJcUkHr9txun8rhzVK1BQ6MsynJS3G6criZJuvqkLTUqqirZc5PTSumHbk6Dz42zhDB3n-FIg64ex4cNltoW1xKzDuME0Fuzc/s400/aet_options.gif)
The Earnings & Dividends Tab for the last 7 quarters are included. First the most recent three quarters (all wins; click to enlarge):
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhDnkAB2Rd4a7Gna2iKzfxnzWeosRoRXzyLgXXyvQhi9kzDixdOUiOCUzCQDzJpSBa2-Kwh3mI49gWmkSK0VSUzb9ccS3ht9vGtDepjDgVHookNkayitrWzlKclWJqwZdtW2OMWd93Xftf3/s400/aet_ed_recent.gif)
What we're lookin' at:
(1) The top ROW is AET stock price 5 trading days before earnings through 5 trading days after.
(2) The second ROW are the front 2 month ATM straddles for the same period - focus on purple - the front month.
(3) The third ROW is the implied vol for those straddles - focus on the red - the front month. NOTE: The red line always collapses after earnings - this is called the vol crush after earnings.
And then the four prior to that (3 wins/1 loss click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEjidO5u7XIinYzkxdMeKVIud6zrWLjGvOJIgiFiFNahTWsVWLwnVmCw5BOujFuqAKDE3pA-qdDm8VaDwa15BAurftZfzpVpU1BSYSmVuGVJqdHrMMy1j8VdjGN38T-ptye3uh-3B6CQATGA/s400/aet_ed_old.gif)
One word of caution - AET is an insurer - so you never know about the crazy news...
This is trade analysis, not a recommendation.
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http://www.livevolpro.com/help/disclaimer_legal.html
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