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

Symbol: EL EVR: 3.0 Next Earning Date : Aug. 15, 2013 Before Market Open
NYSE: Estee Lauder Companies, Inc. (The) Avg Daily Volume: 1,737,270


 

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ATM Straddle Tracking
Established Date Earnings Date ATM Position Straddle Cost Implied Move Implied Move Low Implied Move High
04 Apr 2013 02 May 2013 @$65.00 $5.04 7.76% 7.76% 7.76%
10 Apr 2013 02 May 2013 @$67.50 $5.09 7.55% 7.55% 7.55%
19 Apr 2013 02 May 2013 @$70.00 $5.12 7.31% 7.31% 7.31%
23 Apr 2013 02 May 2013 @$72.50 $5.57 7.68% 7.68% 7.68%

 
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
May 2, 2013 BO $70.00 $68.79 $4.57 6.52% $67.09 -2.47% $2.95 -35.44% $70.59 2.63% $2.30 -49.67%
Feb. 5, 2013 BO $62.50/$60.00 $61.05 $3.00 6.93% $64.30 5.32% $1.85 -38.33% $64.70 5.99% $2.30 -23.33%
Aug. 14, 2012 BO $55.00 $55.01 $3.95 7.18% $58.20 5.79% $4.22 6.96% $60.13 9.3% $5.92 50.0%
Nov. 3, 2011 BO $100.00 $50.42 $8.40 9.42% $56.98 13.01% $14.60 73.81% $59.46 17.92% $19.57 133.04%

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