Activision Blizzard, Inc. (ATVI) is scheduled to report earnings after the markets close on Thursday, 2/9/17.
Last quarter, the stock had the following price movement after reporting earnings:
Nov 03, 2016
Nov 02, 2016
The current Implied Volatility on the weekly at-the-money strike price is at 175, which is extremely high. The at-the-money March 2017 strike price is at 36, so there is a major difference. The Neutral Calendar Spread is the strategy to use here. Everything looks good about it: weekly options, price to place the trade, wide break-even points, break-even points, and the high IV on the weekly at-the-money strike price. 9.5/10, trade of the week.
Here is how the trade is placed:
Sell -20 ATVI FebWk2 40 Call
Buy 20 ATVI Mar17 40 Call
NBBO -0.29 – 0.43. Try to pay 0.37 or less for this trade. at a maximum, pay up to 0.38. See the attachment for the profit/loss chart. I will post the price to close this trade out right before the markets open tomorrow.
Update #1: 9:20 am EST – Pre-market, the stock is up about $4.70/share, but do expect the share price to fall. I am placing the price to close this trade out at $0.60 (net credit). I will update any changes here throughout the day.
Update #2: STC (net credit) now at 0.50.