Thursday, July 22, 2010

** UPDATE Itron (ITRI) - Strangle Buyer Wins; Pattern Persists


This is an update to the prior article from 7-20-2010 (i.e. two days ago): Itron (ITRI) - Strangle Buyer on Earnings Stock Move Pattern

ITRI is trading $56.97, down $5.76 with IV30™ up 11.4%. The LIVEVOL™ Pro Summary is below.

In the 7-20-2010 article I noticed an Aug 55/70 strangle buyer for $1.75 into earnings which are due out in six days on 7-28-2010. ITRI has moved more than the straddle implies for the last two earnings cycles, and it looked like this trade was betting on a third move.

It turns out that the move was before earnings - it was today. The updated Options Tab is included (click to enlarge):

Even assuming the Aug 70 calls can't be sold (i.e. there is no bid), the Aug 55 puts are now worth ~ $2.27. That's $0.52 winner or 29.7% in two days. In the words of Adam Sandler, "Not too shabby." That gambler won.

This is trade analysis, not a recommendation.

Legal Stuff: