Tesla stock-option ‘straddle’ priced for post-earnings move of more than $66

A stock-options strategy known as a “straddle” on Tesla Inc.’s stock is priced Wednesday for a one-day, post-earnings move of $66.56, according to data provided by Option Research & Technology Services (ORATS) Principal Matt Amberson. That’s slightly less than average price move over the past 12 quarters of $67.27, ORATS data show. A straddle is a pure volatility play in which bullish (calls) and bearish (puts) with at-the-money strikes, with expirations at the end of the week, are purchased simultaneously. The pricing indicates that straddle buyers will profit from the purchase if the stock moves more than $66.56 in either direction on Thursday, which at current prices would imply a percentage move of about 6.8%. Tesla is scheduled to report first-quarter results after Wednesday’s closing bell. The stock, which was down 4.2% in afternoon trading Thursday, has lost 6.8% year to date, while the S&P 500 has declined 6.1%.

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