How to Play Alcoa (AA) Earnings?

Aloca (AA) is set to announce earnings after close today. Wall Street is expecting a fall to -$0.55 to -$0.57 EPS depending upon who do you follow (Zacks, First Call etc). The quarter was not that exciting, hence the expectation are already factored for a very poor quarter. I think the movement will depend on the extent of swing of losses in either direction. My personal bias is that will beat these lowered numbers (probably on ground of higher discounts to liquidate inventory, etc.) . Worth watching though is the Gross/operating Margins.

Earnings related trades are speculative and hence there is 50/50 chance of being correct. So, How to play this?

aa-earnings-apr-09Earlier I mentioned about a beautiful strategy to play large moves, called “Backspread” strategy. Here is a Trade Idea-

While I would like to play upside I also want to protect myself for any negative announcement and hence negative stock reaction. I am planning to open a April 6/7.5 2:3 Call ratio spread i.e. Sell Apr Calls 2X and Buy April 7.5 Calls 3X. This will yield about $1.50 credit. The Max I can lose by April expiration is $150. My break even points are $6.73 and $9 by April expiration.  As long as AA moves beyond this range, this trade will be able to make money.

What’s the catch– Tomorrow morning the IV will drop like a stone as the news will be out and stock will move. The worse case, the IV drops and stock doesn’t move. For this trade to make money, stock has to move.

There are other ways to book profits. For instance, if AA drops heavily then close the 6 calls buy buying it back cheaper and sell the 7.5calls when AA bounce a little upwards. But this all requires intra day trading skills/maneuvering.

Don’t try this if a) you are not willing to lose and b) you don’t how to profit from it even if it goes against your plan.

DisclaimerAs of this writing I own this spread. I may change my position anytime without notice.

Profitable Trading, OP

Comments

8 responses to “How to Play Alcoa (AA) Earnings?”

  1. Michael Avatar
    Michael

    I calculate the forward volatility at 96.25%, the earnings implied move is 11.38% or $0.87. No matter what trade you do, you’ll be making the same bet: the move on earnings will be larger or smaller than $0.87.

  2. OptionPundit Avatar

    Michael, thanks for your comment. I am not sure how did you get 96.5%, based on my brokers platform ATM IV for April is 152% and for May it is is 112% and for Jan 10, it about 100%. That does spell out for a large move. Albeit, your hypothesis maybe right, if that happens tomorrow then as I mentioned I shall have to look for alternate plans to book profits/losses via intra-day trading.

    For a 50% IV drop, stock moving only $1, I may still be able to break even. The worse case is for the expiration day. However, there are still a few days trading left till expiration to accommodate for my being completely off.

  3. Michael Avatar
    Michael

    Which broker are you using? I have 119% for ATM April vol, and 103% for May (from Bloomberg). In TOS I see 119% for April and about 100% for May. Be aware that TOS calculates implied volatility incorrectly when a stock pays dividends. They use an annualized dividend yield (1.56 is what they input), i.e. they are assuming continuous dividends. The correct way to calculate implied volatility is using discrete dividends. AA pays a dividend on May 6, prior to May expiration. That will screw up the TOS implied vol calculation for May and onwards.

  4. Michael Avatar
    Michael

    Forward vol is easy to calculate:
    IVf = Sqrt( IV1*IV1*T1 + IV2*IV2*T2 ) / (T1-T2)

    This is the expected volatility in the absence of the event. Note that this calculation does not take into account normal term structure.

    The earnings move is then:
    IVe = Sqrt( T1 * (IV1*IV1 – IVf*IVf) ) * Sqrt( 2 / pi ) / Sqrt(252)

    You’ll notice that if you put IVf as the volatility into any option position (straddle, ratio, etc), you’ll get S0 * IVe as your break even points.

  5. OptionPundit Avatar

    Michael, Thanks for your comment. Your hypothesis turned out to be right. AA didn’t move and it was really faced with the worst case scenario i.e. stock didn’t move much.

    I closed the trade almost for almost breakeven. How-
    1) AA behaved what a technical chartists will love. I sold off the 3X long 7.5 calls for $0.80 to $0.81 at around 9.45am candle when intraday stochastic turn downward.
    2) I bot back the short 2X 6 calls for almost break-even (though a little more waiting would have turned this into more gains, but no coulda woulda shoulda) at around 10:30am candle.

    Net at best breakeven.

    I however, will give a shot to the formula you have attached above. The broker I used for this trade was TOS and my IV were different than yours. It surely seems like that IVs at TOS are different.

    Thanks again for a good discussion. More to come as I shall be playing more earnings this and next week.

    Profitable Trading, OP

  6. Michael Avatar
    Michael

    I wasn’t taking a view on the relative size of the move. Just wanted to point out the view to anyone taking the trade (i.e. AA will move more than $0.87 in one direction).

    Ping my email, I’ll forward you some more information.

  7. Equinox Avatar
    Equinox

    AAPL (apple) to report earnings on 22 April. Any suggestions on how to profit from the surprise (pos/neg)?

  8. Kiker Avatar
    Kiker

    At the risk of sounding stupid, I am wondering what are some of the inputs referenced in Michael’s posts (IV1, IV2, T1, T2). And is he honestly referring to pi in the IV for earnings? I am currently looking for an options resource that I can look to rely on as a resource, and your site seems very thorough, so I’m also excited to see what I can find!

    Thank you!

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