Wednesday, July 21, 2010

** UPDATE: AAPL - Earnings Results Winner


Original Post: Apple (AAPL) - Earnings Strategy Scalps Vol and Delta Patterns 8 Straight Quarters

AAPL is trading $259.61 after earnings yesterday. The LIVEVOL™ Pro Summary is below.

The Options Tab snap is included (click to enlarge).

We can see the Aug 260 straddle has fair value of $19.80. Closing out the one day straddle sale, the stats are included (updated); click to enlarge.

A 20% one day return, right on the average. Since being naked short an AAPL straddle is pretty risky, let's close this one out right now. The trade wins to a 15.6% dip in vol and a nice $7.72 move up in stock price.

This is trade analysis, not a recommendation.

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  1. MILES HOFFMAN, CFAJuly 21, 2010 at 7:51 AM

    Great call. Thanks... straddle was too risky for me, so I did a Aug/Sep Cal (Straddle/strangle swap at +230/-250/-250/+260 + wkly "unit insurance"), it's returned about 5% overnight (I did it in my IRA; my portfolio mgn acct would have returned 15%).

    When I opened this position, I had in mind riding to expiration because the PL looks very good overall... and if AAPL popped, the calendar could easily be turned into a "high probability" double diagonal by selling a calendar at 270. However, I was shocked that the calendar was so profitable "off the bat" (I expected more of a "volatility collapse" in my Sep options).

    Given that I also like to play "expiration volatility collapse" as per Jeff Augen's book, AND AAPL has WEEKLY options, I closed to keep my "accounting" (positions) simple.

    Thanks again.

  2. I did it with the JUL/AUG 250 straddles. July 20 early morning cost was 9.4. The bid now is 12.40. Must keep a very close eye on monitor as the JUL option LTD is this Friday 7/23....

    A friday APPL close of 250 would be nice


  3. Yeah; the trick was to take the stock move too. This one we had to wait near the end of the day to figure where it was going to close.