Thursday, April 16, 2009

New Citibank Straddles

For April, with 1 day to on for options expiry, and earnings being reported tomorrow, how wild will it get? An investor holding an April 3-3 straddle can probably make money in both directions tomorrow by being fast and nimble. Use the knee-jerk reaction to sell the first side that moves.

May 5-3 Strangle.

This is another probable winner with the expected volatility in C.

Computed with the StraddlesCalc tool.

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