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Strategies & Market Trends : The ultimate play:STRADDLES on earnings announcements.
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To: Jay Baca who wrote (80)5/22/1997 11:01:00 PM
From: Richard J. Byrd   of 140
 
Dear Jay:
I confine most of my short-term trading to the OEX, so I haven't looked at such things as earnings, or other volitity precursors.
In index options, I like to place a straddle after a one or two day, sharp move up or down. This produces an unstable price position. It will either retrench quickly by 30%-50% of the big move or it is the leg of a much more substantial move in the same direction. Since you don't know which way is correct, but large volitility is certain, a straddle is the best position. Have you played this strategy?
Dick
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