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Analysis of NVAX Put Position (Strike 7.50, Expiry April 11):
Key Data Insights (as of April 1, 2025):
Implied Volatility (IV) : 103.96%
IV/HV Ratio: 1.96 (IV is nearly double historical volatility).
IV Percentile: 35.86% (IV is higher than ~36% of levels observed in the past year).
Your Reported IV: 85.32% (discrepancy suggests potential timing differences in data sources).
Market Sentiment:
Call/Put Ratio : 2.71 (bullish bias in options activity).
Bulk Orders: Large buy orders for July 2025 $11 calls and sell orders for January 2026 $20 calls dominate liquidity.
Critical Factors for Your Put Position:
1. Break-Even at $6.41 :
To profit, NVAX must close below $6.41 by April 11 (ignoring IV changes).
Current Stock Price: Not provided (critical to assess intrinsic value).
2. IV Dynamics:
Current IV: 103.96% (extremely elevated → high risk of volatility crush).
IV Impact:
If IV rises further, extrinsic value increases → higher premium for selling your put.
If IV falls, extrinsic value collapses → accelerates time decay (theta).
3. Target IV for Profit:
No fixed threshold – focus on NVAX price action and IV trajectory.
Example: If NVAX drops to $6.00 with IV stable, intrinsic value = $1.50 ($7.50 strike - $6.00 stock).
IV Decline Risk: Even if NVAX falls, a drop in IV could offset gains (e.g., IV falling to 80% could reduce premium by ~20-30%).
Strategic Recommendations:
Monitor NVAX Price: Prioritize stock movement over IV. A drop below $6.41 is essential.
IV Sensitivity:
If IV rises above 110%, consider closing early to lock in extrinsic gains.
If IV drops below 90%, reassess holding (risk of accelerated theta decay).
Time Decay: With 10 days to expiry, theta accelerates rapidly. Act decisively if NVAX stalls.
Disclaimer:
Options involve significant risk. Volatility and liquidity conditions as of April 1, 2025. Past performance ≠ future results. Verify real-time data and consult a financial advisor.
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