Wednesday, July 28, 2010

** UPDATE: BRCM - Earnings Results

* UPDATE
This is an update to the blog posted yesterday Broadcom (BRCM) - Earnings Preview; Vol Pattern and Straddle Sale .

BRCM is trading $37.99 with IV30™ down 11.6% after earnings. The LIVEVOL™ Pro Summary is below.



In yesterday's article I noted that:
BRCM has followed a consistent pattern for seven out of the last eight earnings starting with the 10-21-2008 cycle and ending with the last earnings cycle on 4-27-2010. Specifically, a straddle sale at the close on the day of earnings and a purchase back the day after was a winner seven times.

BRCM had earnings last night, the Options Tab today (after earnings) is included (click to enlarge).



We can see the ATM straddle is now worth $2.54. Yesterday, the straddle was worth $3.31. The one day trade would have turned a 23% profit ex-commissions. The updated earnings and dividends stats are included (click to enlarge).



If you sold the straddle at the close the value was $3.01, so the gain is 18%. Either way, the result is right around our expectation.


This is trade analysis, not a recommendation.

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8 comments:

  1. Ophir,

    How do you explain the dip below 37 at the opening? If stayed below 37 would 38 straddle still be positive? Thanks!

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  2. The closer to the short straddle the better; but even at $36.90 (ish) the straddle would have been even; just not as good as it is now.

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  3. Thanks
    Do you prefer to sell naked or buy calendars on earnings?

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  4. Are there any criteria for the choice?

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  5. Usually a comparison between HV90 and earnings vol. I like selling straddles if IV is well above HV90; otherwise, not so much.

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  6. Thank you very much for all your help
    i sold late and bought back early but still manged to turn out a profit so keep up the good work

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  7. Wiing trades are always good news.

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