RIMM A Jama

• Posted by Adam Warner
• on March 31st, 2010

RIMM either kicks off the spring earnings season, or ends the winter one.Either way, they report tonight.

And quite the recent surge in options premium. 30 day normalized volatility has soared from 35 to near 50 in the past 6 weeks. That’s not at all supported by stock action as realized volatility sits near 20 on the 10 day, ad 25 on the 30 day.

In other words, RIMM is just like everything else. Filled with an abundance of Fear of a Tail move that never comes. In all fairness though RIMM does have a history of periodic masive earnings gap moves. So there’s some justification to bid up ahead of the number. I have to think that near term volatility will hit new 52 week lows after the number, the stock action just doesn’t justify anything better. That suggests a pretty sizable move priced in tonight, maybe in the 10-12% range.

The stock’s been finding support at the 20 day recently, and also on the cusp of one of those double-top breakout thingees on the PnF, so inclined to sell some put spreads and take a flyer on a good reaction.

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