Tuesday, December 30, 2008

AAPL Earnings Double Diagonal

It's earnings season for Apple once again. Normally the options volatility will increase in the option chain that coincides with the earnings date. Earnings is set to be released on Jan 22.
I decided to place a double diagonal to capture the increase in volatility. The chart looks like I will make only a few dollars at expiration but I have a 9 vega. Meaning that for every point increase in IV, I should see a $9 profit. I expect to see about ~10 point increase in IV by Jan expiration.

Trade
STO JAN 95 CALL
BTO FEB 100 CALL
$1.65

STO JAN 75 PUT
BTO FEB 70 PUT
$1.46

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