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Probability
Cum. Prob
Maturity/Scenario
22/04/2016
29/04/2016
06/05/2016
13/05/2016
20/05/2016
27/05/2016
105
0
0
106
0
0
105
-76%
-62%
-53%
-47%
-39%
-37%
107
5%
0.05
106
-82%
-66%
-56%
-49%
-41%
-39%
107
-86%
-69%
-59%
-51%
-43%
-40%
108
10%
0.15
108
-89%
-72%
-60%
-52%
-44%
-41%
109
110
111
112
15%
25%
25%
10%
0.3
0.55
0.8
0.9
Strangle Put 105 Call 115
113
5%
0.95
109
-91%
-73%
-61%
-53%
-44%
-41%
113
-85%
-67%
-56%
-49%
-40%
-37%
110
-91%
-73%
-61%
-53%
-44%
-41%
111
-90%
-72%
-60%
-52%
-43%
-40%
112
-88%
-70%
-59%
-51%
-42%
-39%
114
5%
1
114
-80%
-63%
-53%
-46%
-38%
-35%
115
0
1
115
-74%
-59%
-49%
-43%
-35%
-33%
1
OK
Expectation
-89.4%
-71.2%
-59.7%
-51.7%
-43.0%
-40.0%
NETFLIX INC
NFLX US
110.4
Spot basis (round)
Dates
22/04/2016
29/04/2016
06/05/2016
TS bef.
88.9%
70.6%
62.0%
TS aft.
39.5%
39.3%
38.6%
Calls
105
106
107
108
109
110
18/04/2016
18/04/2016
22:05
23:00:00
4/19/16 12:00 AM
FOR US STOCKS
13/05/2016
57.0%
38.3%
We assume sticky moneyness.
julien.messias@uncia-am.com
20/05/2016
54.4%
39.2%
Summary as of
15/04/2016
27/05/2016
51.6%
38.3%
We price the options as if we were just before earnings release.
The earnings date must be before the first option maturity date
OK
Fill in the yellow cells
According to ATM volatilities, assuming a flat Term Structure, formula for implied earnings move is:
Minimum premium is set up at 0.02
Expected move
12.61%
110
Strike Step (+-)
1
Strikes Strangle
105
115
Puts
RETURN OPTIONS MATU 22-04-2016. Vol swings from 88.9 to 39.5. Spot at 110
Strike/Spot
111
112
113
RETURN OPTIONS MATU 22-04-2016. Vol swings from 88.9 to 39.5. Spot at 110
114
111
112
113
114
115
Expectation
105
105
-50%
-63%
-73%
-81%
-87%
-92%
-95%
-97%
-98%
-99%
-99%
-91%
106
106
-41%
-55%
-66%
-76%
-83%
-88%
-92%
-95%
-97%
-98%
-99%
-88%
107
107
-31%
-46%
-59%
-69%
-78%
-84%
-89%
-93%
-95%
-97%
-98%
-84%
108
108
-22%
-37%
-51%
-62%
-72%
-79%
-85%
-90%
-93%
-96%
-97%
-79%
109
109
-14%
-29%
-43%
-55%
-65%
-74%
-81%
-86%
-91%
-94%
-96%
-74%
-6%
-21%
-34%
-47%
-58%
-68%
-76%
-82%
-87%
-91%
-94%
-68%
105
106
110
-95%
-93%
-89%
-84%
-78%
-70%
-61%
-50%
-39%
-26%
-12%
-65%
110
111
-97%
-95%
-92%
-88%
-82%
-75%
-67%
-57%
-45%
-32%
-18%
-71%
111
112
-98%
-96%
-94%
-91%
-86%
-80%
-73%
-63%
-53%
-40%
-26%
-76%
112
113
-99%
-97%
-96%
-93%
-89%
-84%
-78%
-70%
-60%
-48%
-34%
-80%
113
114
-99%
-98%
-97%
-95%
-92%
-88%
-83%
-75%
-66%
-55%
-42%
-85%
114
115
-99%
-99%
-98%
-97%
-94%
-91%
-87%
-81%
-72%
-62%
-50%
-88%
115
105
106
107
108
109
110
RETURN OPTIONS MATU 29-04-2016. Vol swings from 70.6 to 39.3. Spot at 110
Strike/Spot
105
106
107
108
109
110
111
112
113
RETURN OPTIONS MATU 29-04-2016. Vol swings from 70.6 to 39.3. Spot at 110
114
107
108
109
110
111
112
113
114
115
Expectation
105
105
-29%
-40%
-50%
-59%
-67%
-73%
-78%
-83%
-87%
-90%
-92%
-73%
106
106
-22%
-34%
-44%
-54%
-62%
-69%
-75%
-80%
-84%
-87%
-90%
-69%
107
107
-17%
-29%
-39%
-49%
-57%
-65%
-71%
-77%
-81%
-85%
-88%
-65%
108
108
-11%
-23%
-34%
-43%
-52%
-60%
-67%
-73%
-78%
-82%
-86%
-61%
109
109
-6%
-17%
-28%
-38%
-47%
-56%
-63%
-69%
-75%
-79%
-83%
-57%
0%
-12%
-23%
-33%
-43%
-51%
-58%
-65%
-71%
-76%
-80%
-52%
105
-17%
-13%
-9%
-5%
-1%
2%
106
-28%
-24%
-19%
-15%
-11%
-8%
RETURN OPTIONS MATU 06-05-2016. Vol swings from 62 to 38.6. Spot at 110
107
108
109
110
111
112
113
-38%
-46%
-54% -61% -67%
-72%
-77%
-33%
-42%
-50% -57% -64%
-69%
-74%
-29%
-38%
-46% -53% -60%
-66%
-71%
-25%
-34%
-42% -50% -57%
-63%
-68%
-21%
-30%
-38% -46% -53%
-59%
-65%
-18%
-27%
-35% -43% -50%
-56%
-62%
114
-81%
-78%
-75%
-73%
-70%
-67%
115
-84%
-82%
-79%
-77%
-74%
-72%
Expectation
-62%
-58%
-54%
-51%
-47%
-44%
105
-12%
-8%
-4%
-1%
2%
4%
106
-21%
-18%
-14%
-11%
-8%
-5%
RETURN OPTIONS MATU 13-05-2016. Vol swings from 57 to 38.3. Spot at 110
107
108
109
110
111
112
113
-30%
-39%
-46% -53% -59%
-64%
-69%
-27%
-35%
-43% -49% -56%
-61%
-66%
-23%
-31%
-39% -46% -52%
-58%
-63%
-20%
-28%
-36% -43% -49%
-55%
-61%
-16%
-25%
-33% -40% -46%
-52%
-58%
-14%
-22%
-30% -37% -43%
-50%
-55%
114
-73%
-71%
-68%
-66%
-63%
-60%
115
-77%
-75%
-72%
-70%
-67%
-65%
Expectation
-54%
-50%
-47%
-44%
-41%
-38%
105
-5%
106
-14%
RETURN OPTIONS MATU 20-05-2016. Vol swings from 54.4 to 39.2. Spot at 110
107
108
109
110
111
112
113
-22%
-30%
-37% -44% -50%
-55%
-60%
114
-65%
115
-69%
Expectation
-45%
8%
-1%
-48%
-53%
-58%
-32%
105
-4%
-1%
2%
4%
6%
8%
106
-12%
-10%
-7%
-5%
-2%
0%
RETURN OPTIONS MATU 27-05-2016. Vol swings from 51.6 to 38.3. Spot at 110
107
108
109
110
111
112
113
-20%
-28%
-34% -41% -47%
-52%
-57%
-17%
-25%
-32% -38% -44%
-50%
-55%
-15%
-22%
-29% -35% -41%
-47%
-52%
-12%
-20%
-26% -33% -39%
-45%
-50%
-10%
-17%
-24% -30% -36%
-42%
-47%
-7%
-15%
-21% -28% -34%
-40%
-45%
114
-62%
-59%
-57%
-55%
-52%
-50%
115
-66%
-63%
-61%
-59%
-57%
-54%
Expectation
-42%
-39%
-37%
-34%
-32%
-29%
110
-84%
-80%
-75%
-69%
-62%
-55%
-47%
-38%
-28%
-18%
-7%
-52%
110
111
-86%
-82%
-77%
-72%
-66%
-58%
-50%
-42%
-32%
-21%
-10%
-55%
111
112
113
114
115
-14%
-18%
-23%
-28%
-59%
-62%
-66%
-69%
112
113
114
115
Strike/Spot
105
106
107
108
109
110
111
112
113
114
115
Strike/Spot
105
106
107
108
109
110
111
112
113
114
115
Strike/Spot
105
106
107
108
109
110
111
112
113
114
115
Strike/Spot
105
106
107
108
109
110
111
112
113
114
115
-63%
-26%
-28%
-29%
-31%
-33%
-34%
-21%
-19%
-21%
-22%
-24%
-26%
-27%
-13%
-41%
-33%
-34%
-36%
-38%
-39%
-41%
-28%
-12%
-13%
-14%
-17%
-18%
-19%
-4%
-5%
-6%
-9%
-10%
-11%
105
106
107
108
109
110
111
112
113
114
115
-38%
-41%
-43%
-45%
-47%
-50%
-3%
-39%
-41%
-42%
-44%
-46%
-47%
-35%
0%
-2%
-4%
-6%
-8%
-11%
-45%
-47%
-48%
-50%
-52%
-53%
-41%
-32%
-50%
-52%
-54%
-56%
-57%
-58%
-47%
105
106
107
108
109
110
111
112
113
114
115
-43%
-46%
-49%
-52%
-55%
-58%
4%
-56%
-57%
-59%
-61%
-62%
-63%
-53%
-2%
-5%
-8%
-11%
-14%
-17%
-5%
-60%
-62%
-63%
-65%
-67%
-68%
-58%
105
106
107
108
109
110
111
112
113
114
115
4%
3%
2%
0%
-1%
-2%
105
106
107
108
109
110
111
112
113
114
115
-30%
-32%
-33%
-35%
-37%
-38%
-9%
-16%
-24%
-30%
-37%
-43%
10%
20/04/2016
25/04/2016
30/04/2016
05/05/2016
10/05/2016
15/05/2016
20/05/2016
25/05/2016
30/05/2016