Trade Naked » Time Stock http://tradenakedoptions.com Trade Options Safely and Profitably Tue, 09 Feb 2010 21:31:57 +0000 http://wordpress.org/?v=2.8.5 en hourly 1 Pins For Tomorrow http://tradenakedoptions.com/2009/11/pins-for-tomorrow/ http://tradenakedoptions.com/2009/11/pins-for-tomorrow/#comments Thu, 19 Nov 2009 22:01:33 +0000 http://tradenakedoptions.com/?p=2151 Tomorrow is November options expiration. If the market is quiet, the option volume near the stock price can pin the stock to the strike. One still has to watch the stock constantly because it can move away from the strike at any time.  The last column is the result of running a Monte Carlo to see how often the stock will rise past the stock price plus the straddle price or drop below the  stock price minus the straddle price.

Stock Thursday Close Nearest Strike Number of Calls Number of Puts ATM Straddle 30 day Hist. Vol. Probability To Exceed Either
GS 172.80 175 7,475 11,381 $2.93 32.8 41.3%
AAPL 200.51 200 32,525 23,615 $2.58 31.58 53.7%
GOOG 573 570 5,517 4,236 $4.7 17.03 44.6%
RIMM 58.84 60 27,823 35,046 $1.84 49.55 32%
FSLR 121.13 120 3,435 6,405 $3.2 69.8 55.3%
MA 230.09 230 7,298 3,478 $2.65 32 58%
AZO 145.83 145 1,334 998 $1.90 23.4 38.4%
BIDU 428.01 430 3,135 2,519 $6.55 54.3 66%
CME 322 320 1,777 497 $5.08 26.5 35.7%

RIMM and CME are far enough away from their strikes that the intrinsic value in the options make their probability low.  Have to look tomorrow where the straddle is if they get near the strike.  The BIDU and MA straddles look under priced.

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