Mixed Tape

• Posted by Adam Warner
• on November 12th, 2009

Well, I guess it’s down a bit now, but it’s churn central today.

Interesting post-earnings action in GMCR. November volatility spiked to over 100 yesterday and at quick glance, it looked like about 10-12% move was priced in. And that’s about where it opened and has hovered ever since. Volatility however got clubbed more than I would have guessed, down to the 50′s, so that what looked like pretty much a wash now feels like a decent win for the options shorts.

The stock itself has not exactly behaved in any sort of “classic” pattern. It traded from the mid to high 60′s last night, and then covered almost that same exact range in the first 10 minutes today. Followed by a breakout above that was…….rejected. It’s mentally not that easy to short options premium after volatility has gotten clubbed like this, but I’m thinking that’s the play here so long as you defend it against the range.

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