10/15/2010 Fri GOOG soared after earnings last evening
This news bodes well for AMZN whose earnings comes out Tuesday or so I believe. I wanted to buy call today (with the intention of closing out before Tuesday since volatility crunch could again decrease the option value) but I didn't like theta eroding option value over the wknd.
In theory, wknd should not matter i.e. there should be a usual one day of time value erosion. However, I feel there is some level of additional value erosion going from fri to mon.
Does that happen? Let's see!
How do we do this? On Monday morning, at the open, record the option prices and see if they reflect any ADDITIONAL time value erosion from the wknd or not!
Note: If there is a significant level of price change, then answer should be YES. If there is a small change only, the answer is IDK.
AMZN
fri 11:47AM P=161.27
B A DGVT IV VOL OI
nov 165c
7.40 7.55 .46 .02 -.13 .20 45.09 314 2789
nov 165p
11.20 11.30 -.53 .02 -.13 .20 45.52 78 971
fri close P=164.64
nov 165c
9.40 9.55 .53 .02 -.13 .21 46.13 1730 2789
nov 165p
9.75 9.85 -.47 .02 -.13 .21 47.25 713 971
=============================================
mon at or around open P=??
nov 165c
???
nov 165p
???
=============================================
calculations
Subscribe to:
Post Comments (Atom)
2 comments:
market price last close = 9.475
calculating expected price at open..
Delta
open price - 164.64 = ?? * .53 = .30
Vega
open IV - 46.13 = ?? * .20 = .23
Theta (assuming 1 day value erosion)
-.14
expected market price change = ??
Calculating this at open was not giving me a desired result... However, for intraday trading the following method to calculate option mkt price should work..
Time1 (OPTIONMKTP=8.625)
D V
.5 .2
PU IV
163.34 47.86
Time2 (OPTIONMKTP=8.05)
PU IV
162.50 47.05
==>Price changes due to D and V
-.42 -.162
Expected option mkt price at Time2
8.625 - .42 - .162 = 8.043 which is very close to recorded 8.05
Post a Comment