GOOG (2011/04)

GOOG's earning will announce after tomorrow market close, and April option expiring date is 15 April, the day after tomorrow. Hence GOOG is one of the best candidate for traders to bet on earning call. Another attractive point is, GOOG always spike after earning announcement. GOOG spiked up 40 dollar during Oct 2010 earning, spiked down 30 dollar during Jan 2011 earning.

Here is the option price for GOOG during 13 April 2011, 11.50pm, @ 576.89.

Call Put

575 14.40 575 12.60

580 11.90 570 10.20

585 9.80 565 8.20

590 8.00 560 6.50

595 6.90 555 5.10

600 5.00 550 4.00

Will keep track of the price tomorrow.

Here is the option price for GOOG during 14 April 2011, 4.00pm, @ 578.51.

Call Put

575 15.80 575 12.00

580 11.80 570 10.00

585 10.30 565 7.50

590 8.00 560 5.90

595 6.70 555 5.00

600 4.90 550 3.30

Strategy

LONG strangle, with price 15/20 dollar from current price.

Result

GOOG slump 5% after result.

GOOG 540.27, at 11.15pm, and below is it's option price at that moment.

Call Put

575 0 575 37.80

580 0 570 32.00

585 0 565 27.30

590 0 560 22.90

595 0 555 18.20

600 0 550 13.20

% If follow the strategy, by LONG 15/20 dollar away strangle, 595c/555p pair, the profit will be (18.20 - (6.70 + 5.50)) = 6.00.