![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEgk7kAIQPHU1ZxBvWxYw5Reai4KaUrtPUp_TTV7yqU5PnV7dnZ3V0JIOQTdYHd81YkDECJT7K_juKleP6AadiK_QkeHMWAbIUyqD8ayz-dGRnbEDPl9NWohKSISmOqsEO02Vjv2uuzwWLuz/s400/tcb_summary.gif)
The Options Tab snap (click to enlarge) demonstrates a couple of things:
1) The front month ATM straddle is worth ~$0.95.
2) The front month vol (88) is 46 points above the second months (42) because expo is so close and everything is just earnings vol.
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEiz6o_Zpur4nd5miCIQv7nq4NI1auyH1xzQq3iNW035sXC-visL7IiqIwB5L8OJ2sRoJdedpGFMbdJwkk4bAosHz1JRHAfV5fDdpSV0pZLVCmDLoUoRLiT-kkRqt06_AOxZj8pAypI6PhM4/s400/tcb_options.gif)
TCB has followed a consistent pattern for five out of the last six earnings starting with the 1-22-2009 cycle and ending with the last earnings cycle on 4-22-2010. Specifically, a straddle sale at the close on the day of earnings and a purchase back the day after was a winner five times. The Earnings & Dividends Tab for those cycles is included with the relevant values highlighted (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEh4XAGbvmOP__sjH5CyBd8JdOq9BTHR0Q_XymC2LGfJkGpqUdnuJvnI37paZQflYwVJB3dIqNLsdoIss6745tnICOFkv5lkGWmuWaM9ApmANI4xqD3jqA5I1wtYS-pow2pioUXXQ-NI4fP6/s400/tcb_ed_older.gif)
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEihFpDL988PqTmhouU_J2RIMVVuvSCnspHvUv5J6UY6eE1HIS4QEfX3atj7x-lLKtimXZcNPT3qiGfZ9wgx_JrsH-nvM996Tlr7OdgBvDgTSpcWjXrzcqIk5d6IpJ3WOn_lqp17BziNYio2/s400/tcb_ed_recent.gif)
What we're lookin' at:
(1) The top ROW is TCB 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.
The trade statistics for the straddle sale and purchase a day later are included (click to enlarge).
![](https://blogger.googleusercontent.com/img/b/R29vZ2xl/AVvXsEhaMfmUsxP6GGYYr0XxuzBbYkWBakbZHF4u_p69oF80DUT4BiGJCXKhFeOTcM0leyKAQMebkVqs7jwWOqx3qf9Uwc87ipWVyQcJigjgTr-aZjvh1pAqcqXswiNwEblWRirpy_-74f4T2Yq_/s400/tcb_ed_stats.gif)
We can see that even though it was a winner 5/6 times; the average win is pretty small (and this doesn't include commissions) because of a big loser on 10-21-2009. The stock gapped and the ATM front straddle went up in value to parity (even though there was a vol crush, stock moved).
Again, since expo is Friday, and earnings are Thursday morning, this is essentially pure earnings vol in the options. A $1.00 sale seems like it could be worth a small bet for the gambling type.
This is trade analysis, not a recommendation.
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