tag:blogger.com,1999:blog-1520302325239963360.post5976124023939394729..comments2024-01-23T14:04:29.555-08:00Comments on Risk Laboratory: Ophir Gottlieb: * UPDATE: Avon Products (AVP) - Earnings ResultsOphir Gottliebhttp://www.blogger.com/profile/14504557662647338626noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-1520302325239963360.post-43375785511036728862010-07-29T11:05:03.348-07:002010-07-29T11:05:03.348-07:00The straddle on that tab is chosen as of 5 trading...The straddle on that tab is chosen as of 5 trading days before earnings. So, it's a little different than what I am doing.Ophir Gottliebhttp://www.blogger.com/profile/02699643319377083669noreply@blogger.comtag:blogger.com,1999:blog-1520302325239963360.post-83206301719693105402010-07-29T11:03:20.646-07:002010-07-29T11:03:20.646-07:00Heres what I have 2/3/10 EOD Strad value --> 3/...Heres what I have <br><br>2/3/10 EOD Strad value --> 3/4/10 EOD Stad value<br>@31, 2.79 --> 1.78 36%<br>@32, 2.43 --> 2.25 7%<br>@33, 2.40 --> 2.98 -24%<br><br>The underlying price was 32.6<br>This was recreate using thinkback, I am not sure myself what is going.<br><br>My theory is perhaps livevol charts do not keep the same strike constant as it tracks the atm straddle, because the atm strike changes day to day......???BBnoreply@blogger.comtag:blogger.com,1999:blog-1520302325239963360.post-78195907565460312302010-07-29T07:57:24.565-07:002010-07-29T07:57:24.565-07:00Might be looking at different straddles?Might be looking at different straddles?Ophir Gottliebhttp://www.blogger.com/profile/02699643319377083669noreply@blogger.comtag:blogger.com,1999:blog-1520302325239963360.post-1348453166897197092010-07-29T07:54:28.385-07:002010-07-29T07:54:28.385-07:00Straddle values on the Livevol chart are EOD, and ...Straddle values on the Livevol chart are EOD, and on 2/4/10 EOD the straddle was worth 1.88, however time and sales do not support that number, and TOS thinkback function can not find the atm straddle at that price.<br><br>Checked because on that particular day the move in the underlying was -7.5%. Enough to have overcome the vol drop? Should be a loss no?BBnoreply@blogger.com