Guest Posted September 16, 2015 Posted September 16, 2015 By this time last cycle, we'd already exited our consistently profitable NFLX calendar (a 4 wk version in this instance). Official entry point for the double calendar was ~1.3% of the stock price (or, $8.40 / ~$650). The official exit was for a gain of >20% at 1.55% of the stock price. The DC spread climbed to over 2% leading up to earnings, and many of us booked exceptional profits. So, I'm looking at spreads for the current cycle in this post-split NFLX (as an aside, it took a lot of explaining to my wife why I was in such a bad mood for an entire day upon hearing the news that NFLX would be splitting). It would be a 5 week setup this time (long Nov, short Oct, ER confirmed for Oct 14th). The DCs are around $3.90, or 3.8% of the stock price! If there hadn't been a split, that % would equate to a DC price of $27.30! A few observations (note: all IVs referenced are for the $105 strike, stock is @ $103): IV is much higher for the 1st post-earnings expiry, the Oct monthlies, at 72%, compared to 45%–50% last cycle The IV drop for the Nov monthlies is much less than typically seen, as IV is still at 60% for that expiry date Maybe most perplexing, even the the options expiring before earnings have an astronomical IV, which, at 52% for the Oct wk 2 options, is higher than post earnings options last cycle Unfortunately, these observations lead me not to robotic execution of an assuredly profitable trade, but rather to merely a bunch of head scratching and brow furrowing. So, I thought I'd start a topic for an idea kick-around. My initial instinct is to open a 1 wk calendar that straddles earnings due to the high IV of the Oct wk 2 options, which have traded as low as $2.65 today for the $105 call calendars. Quote
Guest Posted September 16, 2015 Posted September 16, 2015 Sean might be best to wait until after the Fed announcement. Quote
Guest Posted October 5, 2015 Posted October 5, 2015 mid around 2.15 on this, is that a good entry? these calendars have fluctuated a lot in the past so maybe a trade we can enter and exit a few times before the 14th. Quote
Guest Posted October 15, 2015 Posted October 15, 2015 So we all know for next cycle, I entered a Nov/Oct 110P calendar on NFLX on 10/5/15 and exited yesterday at 3.00, for 39.5% return. Quote
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