AVNR FDA news pending 10/30. The vol and skew are large on all expirations and strikes. I did the attached diags on 10/30 for 1.0 credit. So far I have seen that same spread go as high as 1.4 a few days ago. Vega is pretty small. Risk Graphs generated using ThinkorSwim, of course.
Here is a simulation of -200% vol on all strikes, based on 10/22 higher vol. As long as stock does not tank below 6 I am golden by nov OE. Note the IVs for each leg has increased quite a bit since 10/13. Vega is still pretty small.
Here is what the skews on the 2.5p between dec/jan has gotten to.
I dont know if I can get a fill on this but it would be an awesome hedge for the downside if FDA gives the finger to AVNR on 10/30.
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