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Probability
Cum. Prob
Maturity/Scenario
16/10/2015
23/10/2015
30/10/2015
06/11/2015
13/11/2015
20/11/2015
110
0
0
110
-67%
-62%
-54%
-47%
-42%
-39%
111
0
0
111
-77%
-66%
-56%
-48%
-43%
-40%
112
5%
0.05
112
-84%
-68%
-57%
-49%
-44%
-41%
113
10%
0.15
113
-89%
-70%
-58%
-50%
-45%
-41%
114
115
116
117
15%
25%
25%
10%
0.3
0.55
0.8
0.9
Strangle Put 110 Call 120
118
5%
0.95
114
-91%
-71%
-58%
-50%
-45%
-41%
118
-82%
-66%
-55%
-47%
-42%
-38%
115
-92%
-71%
-58%
-50%
-44%
-41%
116
-91%
-70%
-58%
-49%
-44%
-40%
117
-87%
-69%
-57%
-49%
-43%
-39%
119
5%
1
120
0
1
119
-74%
-63%
-53%
-46%
-40%
-37%
120
-64%
-60%
-50%
-44%
-39%
-35%
1
OK
Expectation
-89.0%
-69.6%
-57.4%
-49.4%
-43.9%
-40.1%
Stock
NFLX US
114.9
Spot basis (round)
115
Strike Step (+-)
1
Strikes Strangle
110
120
Dates
16/10/2015
23/10/2015
30/10/2015
TS bef.
127.5%
99.5%
87.4%
TS aft.
45.7%
46.7%
48.2%
Calls
110
111
112
113
114
115
14/10/2015 22:05
14/10/2015 23:00:00
10/15/15 12:00 AM
FOR US STOCKS
06/11/2015 80.0%
48.7%
We assume sticky moneyness.
julien.messias@uncia-am.com
13/11/2015 74.9%
48.5%
Summary as of
09/10/2015
20/11/2015 70.9%
47.9%
We price the options as if we were just before earnings release.
The earnings date must be before the first option maturity date
OK
Fill in the yellow cells
Minimum premium is set up at 0.02
29 Expected move
18.58%
Puts
RETURN OPTIONS MATU 16-10-2015. Vol swings from 127.5 to 45.7. Spot at 115
Strike/Spot
116
117
118
RETURN OPTIONS MATU 16-10-2015. Vol swings from 127.5 to 45.7. Spot at 115
119
116
117
118
119
120
110
110
-32%
-52%
-68%
-79%
-87%
-92%
-96%
-98%
-99%
-99%
-100%
-91%
111
111
-20%
-41%
-59%
-72%
-82%
-89%
-93%
-96%
-98%
-99%
-99%
-87%
112
112
-8%
-30%
-49%
-64%
-75%
-84%
-90%
-94%
-97%
-98%
-99%
-83%
113
113
3%
-19%
-38%
-55%
-68%
-78%
-86%
-91%
-95%
-97%
-98%
-77%
114
114
12%
-9%
-29%
-46%
-60%
-71%
-80%
-87%
-92%
-95%
-97%
-71%
19%
-1%
-20%
-37%
-52%
-64%
-74%
-82%
-88%
-93%
-95%
-64%
115
-96%
-93%
-89%
-83%
-75%
-64%
-51%
-36%
-19%
0%
20%
-57%
115
116
-98%
-96%
-92%
-87%
-81%
-71%
-60%
-45%
-28%
-9%
12%
-65%
116
117
-99%
-97%
-95%
-91%
-86%
-78%
-67%
-54%
-38%
-19%
3%
-71%
117
118
-99%
-98%
-97%
-94%
-90%
-83%
-75%
-63%
-48%
-29%
-8%
-77%
118
119
-100%
-99%
-98%
-96%
-93%
-88%
-81%
-71%
-57%
-40%
-20%
-83%
119
120
-100%
-99%
-99%
-97%
-95%
-92%
-86%
-78%
-66%
-51%
-32%
-87%
120
110
111
112
113
114
115
RETURN OPTIONS MATU 23-10-2015. Vol swings from 99.5 to 46.7. Spot at 115
Strike/Spot
110
111
111
112
113
114
115
116
117
118
119
120
Expectation
110
-33%
-42%
-51%
-59%
-65%
-71%
-76%
-81%
-84%
-87%
-90%
-72%
111
111
-28%
-38%
-47%
-55%
-62%
-68%
-73%
-78%
-82%
-85%
-88%
-68%
112
112
-23%
-33%
-42%
-50%
-58%
-64%
-70%
-75%
-79%
-83%
-86%
-65%
113
113
-19%
-29%
-38%
-46%
-54%
-60%
-66%
-72%
-76%
-80%
-84%
-61%
114
114
-15%
-25%
-34%
-42%
-50%
-57%
-63%
-69%
-73%
-78%
-82%
-58%
-11%
-21%
-30%
-38%
-46%
-53%
-59%
-65%
-70%
-75%
-79%
-54%
110
-25%
-22%
-19%
-16%
-14%
-11%
111
-33%
-30%
-27%
-24%
-21%
-19%
RETURN OPTIONS MATU 30-10-2015. Vol swings from 87.4 to 48.2. Spot at 115
112
113
114
115
116
117
118
-40%
-47%
-53% -59% -64%
-68%
-72%
-37%
-44%
-50% -56% -61%
-66%
-70%
-34%
-41%
-47% -53% -58%
-63%
-67%
-31%
-38%
-44% -50% -56%
-61%
-65%
-28%
-35%
-42% -47% -53%
-58%
-63%
-26%
-32%
-39% -45% -50%
-55%
-60%
119
-76%
-74%
-71%
-69%
-67%
-64%
120
-79%
-77%
-75%
-73%
-71%
-68%
Expectation
-59%
-57%
-54%
-51%
-49%
-46%
110
-20%
-18%
-16%
-13%
-11%
-9%
111
-27%
-25%
-22%
-20%
-18%
-16%
RETURN OPTIONS MATU 06-11-2015. Vol swings from 80 to 48.7. Spot at 115
112
113
114
115
116
117
118
-33%
-40%
-45% -50% -55%
-60%
-64%
-31%
-37%
-43% -48% -53%
-57%
-62%
-29%
-35%
-40% -46% -51%
-55%
-59%
-26%
-32%
-38% -43% -48%
-53%
-57%
-24%
-30%
-36% -41% -46%
-51%
-55%
-22%
-28%
-34% -39% -44%
-49%
-53%
119
-67%
-65%
-63%
-61%
-59%
-57%
120
-71%
-69%
-67%
-65%
-63%
-61%
Expectation
-51%
-49%
-47%
-44%
-42%
-40%
110
-17%
-15%
-13%
-11%
-10%
-8%
111
-23%
-21%
-19%
-17%
-16%
-14%
RETURN OPTIONS MATU 13-11-2015. Vol swings from 74.9 to 48.5. Spot at 115
112
113
114
115
116
117
118
-29%
-35%
-40% -45% -49%
-54%
-58%
-27%
-32%
-38% -43% -47%
-52%
-56%
-25%
-31%
-36% -41% -45%
-50%
-54%
-23%
-29%
-34% -39% -44%
-48%
-52%
-21%
-27%
-32% -37% -42%
-46%
-50%
-20%
-25%
-30% -35% -40%
-44%
-48%
119
-61%
-60%
-58%
-56%
-54%
-52%
120
-65%
-63%
-61%
-60%
-58%
-56%
Expectation
-46%
-44%
-42%
-40%
-38%
-36%
110
-14%
-13%
-11%
-10%
-8%
-7%
111
-20%
-19%
-17%
-15%
-14%
-12%
RETURN OPTIONS MATU 20-11-2015. Vol swings from 70.9 to 47.9. Spot at 115
112
113
114
115
116
117
118
-26%
-31%
-36% -41% -45%
-49%
-53%
-24%
-29%
-34% -39% -43%
-48%
-52%
-22%
-28%
-33% -37% -42%
-46%
-50%
-21%
-26%
-31% -36% -40%
-44%
-48%
-19%
-24%
-29% -34% -38%
-43%
-47%
-18%
-23%
-28% -32% -37%
-41%
-45%
119
-57%
-55%
-54%
-52%
-50%
-49%
120
-60%
-59%
-57%
-56%
-54%
-52%
Expectation
-42%
-40%
-38%
-37%
-35%
-33%
116
117
118
119
120
-13%
-17%
-22%
-26%
-31%
-54%
-57%
-61%
-64%
-68%
116
117
118
119
120
Strike/Spot
110
111
112
113
114
115
116
117
118
119
120
-29%
119
115
110
111
112
113
114
115
116
117
118
119
120
-37%
118
-50%
Strike/Spot
-46%
117
-9%
110
111
112
113
114
115
116
117
118
119
120
-53%
116
-19%
Strike/Spot
-60%
115
-81%
110
111
112
113
114
115
116
117
118
119
120
-66%
114
115
Strike/Spot
-72%
113
RETURN OPTIONS MATU 23-10-2015. Vol swings from 99.5 to 46.7. Spot at 115
110
110
-76%
112
Expectation
-55%
-57%
-58%
-60%
-61%
-63%
-51%
-53%
-54%
-56%
-57%
-59%
-47%
-48%
-50%
-51%
-53%
-54%
-42%
-44%
-45%
-47%
-48%
-50%
-37%
-39%
-41%
-42%
-44%
-45%
-32%
-34%
-36%
-37%
-39%
-40%
-27%
-29%
-30%
-32%
-34%
-35%
-22%
-23%
-25%
-26%
-28%
-30%
-16%
-18%
-19%
-21%
-22%
-24%
-10%
-12%
-13%
-15%
-16%
-18%
-9%
-11%
-14%
-17%
-20%
-23%
110
111
112
113
114
115
116
117
118
119
120
-42%
-45%
-48%
-50%
-53%
-56%
-7%
-9%
-11%
-13%
-15%
-18%
110
111
112
113
114
115
116
117
118
119
120
-37%
-39%
-41%
-43%
-45%
-48%
-5%
-7%
-9%
-10%
-12%
-14%
110
111
112
113
114
115
116
117
118
119
120
-33%
-35%
-37%
-39%
-40%
-42%
-4%
-5%
-7%
-8%
-10%
-12%
-31%
-32%
-34%
-35%
-37%
-38%
110
111
112
113
114
115
116
117
118
119
120
18/10/2015
23/10/2015
28/10/2015
02/11/2015
07/11/2015
12/11/2015
17/11/2015
22/11/2015