Used Straddle for long volatility startegy on Netflix

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  • Lujiazui Hedge Fund Inc.Ryota ArafukaKuang-Po LeeKrunal NaikJiaqi WangJianhua Yan

  • neutral is good is comparatively low GreeksOur Selection - Netflix

  • Historical Volatility Comparison 1 Source: Bloomberg

  • Source: BloombergHistorical Volatility Comparison 2

  • Historical Volatility V.S. Current Volatility

  • Stock Prices of NFLX in 3 MonthsSource: Yahoo Finance

  • Long Volatility Strategy

    Stock: NetflixPosition Strategy: Long StraddleX: At The Money ($80)Expiration Date: Jan. 19th, 2013 0 is smallVega > 0, relatively large

  • Greek Analysis 1

  • Greek Analysis 2

  • Comparison of Strategies with Different X

  • Impact of Different Volatilities$78.2$81.8