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Straddle History: Straddle/Strangle on Earnings
Get Straddle History:

Symbol: BBBY EVR: 3.0 Next Earning Date : June 26, 2013 Before Market Open
NASDAQ: Bed Bath & Beyond Inc. Avg Daily Volume: 2,344,760


 

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ATM Straddle Tracking
Established Date Earnings Date ATM Position Straddle Cost Implied Move Implied Move Low Implied Move High
27 Mar 2013 10 Apr 2013 @$65.00 $4.50 6.92% 6.92% 6.92%
05 Apr 2013 10 Apr 2013 @$62.50 $4.43 7.08% 7.08% 7.08%

 
Long Straddle/Strangle Performance
Earnings Date Position Pre-Earnings At Market Open At Market Close
Price Straddle Cost Implied Move Price Gap % Straddle Cost Return Price Final Move Straddle Cost Return
April 10, 2013 AC $65.00 $65.50 $3.98 6.13% $67.25 2.67% $2.99 -24.87% $64.00 -2.29% $1.84 -53.76%
Dec. 19, 2012 AC $62.50/$60.00 $60.28 $2.88 6.74% $57.13 -5.22% $4.21 46.18% $56.36 -6.5% $3.86 34.02%
Sept. 19, 2012 AC $70.00/$67.50 $68.79 $4.96 9.03% $64.04 -6.9% $4.78 -3.63% $62.08 -9.75% $5.67 14.31%
June 20, 2012 AC $75.00/$72.50 $73.67 $4.90 9.07% $65.20 -11.49% $10.46 113.57% $61.17 -16.96% $11.38 132.14%

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