I was researching the movement in Apple prices after the WWDC event over the last 10 years. It seems like there has been decent movement. Is there anything better than a strangle I can do to leverage this?
Strangle before upcoming WWDC event
byu/NoCartographer4725 inoptions
Posted by NoCartographer4725
2 Comments
IV is elevated so it’s gonna take a big move to make money. On a straddle you’d need about a $7.5 (3.8%) move to break even. How does that compare with the historical moves? Have you checked whether the options market underestimated volatility in the past?
I did some initial analysis for the historical moves for 2021, 2022, 2023–
[https://scalarfield.io/analysis/e9058a40-fa4f-4829-b8de-404fe8d4a254](https://scalarfield.io/analysis/e9058a40-fa4f-4829-b8de-404fe8d4a254)
Let me see and compare what the historical IVs look like.