Volatility Trader Blog

Friday morning MCK announced earnings that drove the stock way down.  I was in surgery at the market open so I was not in front of my screens.  When I finished my surgery around 10am EST I noticed that MCK was down but trending up.  I put in an order to sell three 3/2 spreads (-9, +6 contracts) at $1.00 debit.  It had been down as low as $0.57 earlier, but it was trending up a lot as you can see in the below chart (click any picture to enlarge).

At 10:30am MCK moved down to a low of $60.96 and my order executed.  My subsequent orders at $0.80, $0.65 and $0.50 never executed as MCK rose the rest of the day and the orders expired.  This morning I’m holding the rest and watching.  I’m now in a good theta positive place as you can see in the below analyze tab.  If MCK moves up I will get out of the rest at around breakeven for the remaining contracts keeping a small profit from the first contracts removed. Only major problem will be if MCK rallies very quickly or in the afterhours session.

Tags: Calendar Spread, diagonal spread, greeks, Implied Volatility, LiveVol Pro, Options trade, Volatility Crush, Volatility skew

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