Tuesday, July 14, 2009

[TheOptionClub.com] GOOG calendar spread



Hi,

(Excuse me for posting this on multiple forums.)
Normally, when the earning is coming, the front end month's IV will go skyrocket and the first backend month will grow "somewhat." The month Aug is what I called the first backend month on GOOG earning release.

GOOG's August-2009 IV does not grow like it did in the past. Does that mean anything? Does that mean I can gain some extra time value if I hold a series of Jul-Aug Calendar spreads from 350 to 500 and hold on to it until earning release and until the front-end IV crushed?

Normally, I won't hold calendar spread across earning release due to the worry of IV crush on the backend month (and the price gap after earning release). Well, in this case, the backend Aug is only at around 30 now. Is it going to crush to low 20? Not likely. (I might be wrong.)

So, if I hold a series of Jul-Aug Calendar spreads (from 350 to 500) and hold on to it until Friday, as long as GOOG is still within 350 and 500 range, I can make some profit. Any thought?

Eski

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