The Traderszone Network

Published in TZ Latest News 30 April, 2017 by The TZ Newswire Staff

BABA strange IV profile going into earnings

Alibaba will report its earnings on May 4th.
Usually the front month option should have higher IV than the back month, i.e. May05 & May12 should have higher IV than May19.
I tried to find any special events that will occur before May19 but could not find anything.

What am I missing here?
Can we expect the IV crush for the May19 options after earnings?

If yes, then reverse ATM calendar just prior to earning date could be a good play.