Speaking of options, here's something really weird...
The NOV 300 SDLI options (QJVKT) closed yesterday (SDLI at 240) at 15 3/8. You'd expect, given SDLI's teensy :) overnight leap, and the fact that they're now nearly at the money, that they'd be selling for more. A whole lot more. (I know I did... :)
Currently, the option is selling for 9 bid, 10 ask, with SDLI hovering around 260. The stock goes up 10+% overnight; the call goes down 30%? C'mon. This implies a collapse in IV from 145% or so yesterday to under 95% now. What a difference a day makes...
I guess it this is legit (and not manipulation, blah, blah) it represents an extreme example of how removal of uncertainty causes implied volatility to collapse instantly. Caveat emptor, folks...
-Rose-
Edit: Occurs to me that if you could have anticipated the earnings announcement would stomp on IVs like this (not an unreasonable expectation, it looks like), an excellent strategy would have been to sell OTM covered calls near the close yesterday...you would have had a good cushion against a moderate collapse in the stock price, but would have still been able to cover them today (if you wished) for a nice profit. Not a bad way to have covered all the bases. |
