Add training workflow, datasets, and runbook
This commit is contained in:
@@ -0,0 +1,19 @@
|
||||
Volatility Selling
|
||||
Susie Seller, a volatility trader, studies semiconductor stocks. Exhibit 12.3
|
||||
shows the volatilities of a $50 chip stock. The circled area shows what
|
||||
happened before and after second-quarter earnings were reported in July.
|
||||
The black line is the IV, and the gray is the 30-day historical.
|
||||
EXHIBIT 12.3 Chip stock volatility before and after earnings reports.
|
||||
Source : Chart courtesy of iVolatility.com
|
||||
In mid-July, Susie did some digging to learn that earnings were to be
|
||||
announced on July 24, after the close. She was careful to observe the classic
|
||||
rush and crush that occurred to varying degrees around the last three
|
||||
earnings announcements, in October, January, and April. In each case, IV
|
||||
firmed up before earnings only to get crushed after the report. In mid-to-late
|
||||
July, she watched as IV climbed to the mid-30s (the rush) just before
|
||||
earnings. As the stock lay in wait for the report, trading came to a
|
||||
proverbial screeching halt, sending realized volatility lower, to about 13
|
||||
percent. Susie waited for the end of the day just before the report to make
|
||||
her move. Before the closing bell, the stock was at $50. Susie sold 20 one-
|
||||
month 50-strike calls at 2.10 (a 35 volatility) and bought 1,100 shares of the
|
||||
underlying stock at $50 to become delta neutral.
|
||||
Reference in New Issue
Block a user