Thursday, November 20, 2014

* Keurig Green Mountain (GMCR) - UPDATE: Yes, the Option Market Was Wrong, and We Knew it 2 Days Ago

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GMCR is trading $141.10, down 8.3% with IV30™ down 34.2% off of earnings. The Symbol Summary is included below.

Provided by Livevol

This is a follow up to a story I published on November 18th (two-days ago).
GMCR -  Stunning Risk Phenomenon into Earnings. Is the Option Market Wrong?

In that post I noted that:

1. The risk has systematically been lowering for each earnings release (almost monotonically)
2. This time, the IV30 has fallen below 50% to ~47% and the prior low was 59%. no other earnings date saw anything below 60%.

The $157.50 strike was the at-the-money (ATM) straddle at the time of the first post and was priced at ~$13.00 (see the prior article for the Options Tab).

The Options Tab from today is included below.

Provided by Livevol

We can see, using the stock price, that the straddle in question is now worth $16.40, or ~26% more than it was worth two-days ago.

This is trade analysis, not a recommendation.

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