ICICI Bank is all set to announce its June quarter results on 22 July. Shares of the private bank closed at ₹960.05 on 14 July.
So, the price for initiating a straddle strategy for the ICICIBANK contract expiring on 27 July is ₹30.55. The premium of the at-the-money call and put option of ICICI Bank is ₹18.55 and ₹12.00, respectively.
A straddle shows the price movement range estimated by the options market prior to the expiry. In the case of ICICI Bank, the options market is implying a range of ±3.2% between 14 July and 27 July. For reference, this is the price movement around the bank’s earnings announcement for the last four quarters.
Deploying straddle for ICICI Bank contract
For options traders, earnings announcements provide an opportunity to trade on the volatility. If you believe that ICICI Bank will move more than (±3.2%), you could buy a Straddle. If you believe that ICICI Bank will move less than (±3.2%), you could sell a Straddle or buy an Iron Condor.
Here’s how to place a straddle order in the Upstox Pro app:
Interested to know more about straddles or iron condors? Check out our UpLearn education content. If you want to see more historical earnings price data like in the table above for this stock, sign-up for our community, let us know, and we will share it!
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