EXPE low historical vol vs. high front month IV. 17% skew between nov/dec.
EXPE will do their numbers 11/9.
Sample nov/dec itm 15call calendar debit .25.
The expectations is that the front month will revert back to the mean (-17%) while the back month contracts a mere 3% vol.
Here is the spread after the -17% and -3% simulated.
Risk graphs created with Thinkorswim.
This is what happens after a vol crush post news. This risk profile is taken 1 hour b4 Friday's (11/10) close. Quite different than the hypothetical posted a few days ago eh?Front month vol 39.53
Dec vol 29.76 both on the itm 15calls
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