r/options
The world waits for $MU's Micron ER today ATC. Buy/ sell IV decision time! Buy for me! Logic below!
Author is buying a non-directional long vol options trade on $MU, expecting actual post-ER moves to exceed the 8.9% implied move.
- Historical post-ER absolute gap moves (11.1% adjusted) exceed current implied move (8.9%).
- Multiple quantitative signals like VRP and implied move z-score favor long volatility.
- Market is pricing in a significant implied volatility crush (-5.4%) which could erode option premium.
- Options buyers face time decay and vol crush risk if the stock doesn't move beyond the expected 8.9%.
https://preview.redd.it/zrt3d7r9p99h1.png?width=856&format=png&auto=webp&s=85f2fddc8aaeb400d5fbd63a133dcd0664ac66c4
ER trades are my favorite and today's $MU opportunity is as fun as they get.
2DTE ATM straddles pricing in roughly 8.9% move with a 68% CI. Using 2DTE and 9DTE options, I calculate the market's expected vol crush to be -5.4%.
Historic median absolute value of opening gap move post-ER is 6.6% with a 9.8% standard deviation. Adjusting for expected crush, past ER moves clock in at 11.1%.
Factoring in other metrics like VRP, Adams & Neururer Sector Research (Review of Financial Economics, 2022), implied move z-score, etc. etc., most signals align and tell me long vol is the way to go.
As always I construct a defined risk, non-directional trade to maximize EV based on the vol surface, enter the trade going into tonight's close, wait until price discovery occurs around 9:45 a.m. in the morning and then exit, win or lose, no tears. 1% of my book is dedicated to the trade and I never deviate from my established disciplines.
Happy trading!
So… what position will you be taking? What strikes, what strat, I got nothing from this post
Yeah, OP needs to show positions
https://preview.redd.it/l20c9cawt99h1.jpeg?width=1284&format=pjpg&auto=webp&s=4341055e12cd7620ab333b9ac515999705b54c6f
https://preview.redd.it/49sqbzf42a9h1.jpeg?width=1284&format=pjpg&auto=webp&s=1ab2d34dbf438d3c1bcc02cf15ee92aede28e5a8
ER trades are my favorite
Um....
calls 1100/1105
OP is long $1100 and short the $1105.
MU is at $1180-$1190
He is almost $100 ITM
That's a very narrow profit window
I don't understand. When I build that trade in tos, it has basically a 1:1 RR and an 82% chance of being a max loss. Why not do a regular condor? Then the probability is on your side 🤷
What does PL mean?
My buddy pointed me to depth4.com for options — it reads the macro cascade and shows what the market hasn't caught yet. Figured I'd pass it along.
Should be okay given the diversified nature of the ETF.
I bought them about an hour before market close and same strike further date (1mo) is about 100% IV while 6/26 is sitting at 155%
stay mad bro, I showed you the path and you took the one with the most risk for the same return
Its all good, thanks!