r/thetagang
MU 财报：做空波动率交易
作者讨论了MU财报的做空波动率期权策略，押注隐含波动率下降而非方向性走势。
MU 在收盘后发布财报。
当前情况如下：
- 股价：\~$1,016
- 隐含波动率：\~193%（到期前2天）
- 预期波动幅度：±$117（\~11.5%）
- 两边的偏斜都很小
在我看来，最清晰的两个操作是：
- 平值卖出宽跨式期权（\~$117.5 的权利金收入）
- 卖出905看跌/1120看涨组合的宽限式期权（\~$35 的权利金收入）
https://preview.redd.it/i7zpdgplba9h1.png?width=1172&format=png&auto=webp&s=9de3ba57d822bec1fce2783ffd52f56100a1c534
我个人倾向于使用小额仓位的宽限式期权（\~0.65%账户风险）。逻辑很简单：实际波动 < 隐含波动，财报公布后隐含波动率将被彻底打压。
当然，这是一次在季度最重要的AI相关财报前做空伽马的操作，一旦出现跳空高开或低开，局面可能迅速恶化。这次财报可能成为市场的分水岭。
对于交易MU的朋友们：
- 卖出权利金吗？
- 买入权利金吗？
- 你实际上预期财报后股价会怎么走？
很想知道大家都是怎么布局的。
If the expected move is $117 its probably actually going to move $200, GL
🎯
Semiconductor earnings have a special talent for making the options market look naive. I've seen "expected move" become a sick joke more times than I can count with these AI-adjacent names, especially when the whole market is treating the report as a macro event.
That said, the strangle does give you some buffer before things get truly painful, and 0.65% sizing shows OP isn't going full degen on this. If the move stays inside the wings, the IV crush alone does most of the work the next morning.
Still, with whisper numbers floating around and guidance being the real wildcard, I'd personally want to see how the first 30 minutes of after-hours action shakes out before committing. Plenty of traders have been burned legging into these right before a gap that just never fills back.
How are you going to enter a strangle for earnings when you want to see how the first 30 minutes of after-hours action shakes out before committing?
Don’t you have to commit before market close?
Or are you saying you’d open the position tomorrow morning after IV crush?
The fact that you say that you’ll enter an options position on the after market negates anything else you might say… please refrain from options trading until you learn it.
I for one am not willing to bet that the stock who rallied 2.5x in a quarter will stay within its IV range on earnings
That's fair. I opted for a diagonal spread after all. Only selling the short term $850P and went long the $900P on 58DTE. Just to have some cushion.
Seems like I will still be losing money on this one. Lol
Guhhhhhhhh
I did well with MU today. I was replacing shares in BOXX that I use to park funds. MU was down about 2%. Ultimately, I bought 200 shares at $1024 and sold a call at $1100, Exp 7/31 for $103.47 ($10,347) in premium. This was around 15 minutes before market close. MU spiked big time, will take time to settle down. Currently I up $29k.
Update, TastyTrade allows 24 hr trading. I sold 100 shares of MU that I bought at $1024 for $1205, locking in $18,100 profit.
1190 already AH.
1213 now AH
sitting this one out personally. IV at 193% already screams the market knows something and trying to pick the pocket of a stock that's moved 2.5x in a quarter feels like pushing my luck. the strangle credit is fine on paper but one gap and you're sweating through your shirt watching the underlying rip past your short strike before you can blink.
i'd rather be long premium here or just watch from the sidelines with popcorn. if you must sell something, keeping it tiny makes sense, but expecting realized to stay inside implied on a name this hot is brave mate. also who knows what the AI narrative does to sentiment post print, could easily be a buy the news event regardless of numbers.
size down or don't play, that's my view. the 0.65% risk number is sensible but gamma doesn't care about your position sizing when mu opens 8% higher and never looks back.
PCE gonna shit all over this tomorrow.