1/28/13
- Selection criteria:
- Underlying must normally experience a 2:1 volatility expansion prior to earnings
- Trade:
- 14 days before earnings (10 trading days)
- BTO a Strangle (long Call + long Put) at .10 delta
- STC day before earnings
NFLX last reported earnings on 1/22/13 after market close. On that day the Jan4 options had the highest IV at 149%. Using thinkBack we can buy a strangle on 1/8/13 when the Jan4 options had an IV of 75%. The .10 delta points to the 280P and the 425C.
