ADBE Volatility Straddle Update - 13 days remaining

Not much to update you on. Still just waiting patiently for the increase in Implied Volatility. Volatilities did increase today as the Underlying took a hit. I was surprised to such a skew in the Implied Volatilities after today. The near month Jun 42.5 Straddle increase almost a full 2 points while the farther-out expirations only increased on average a half point. It does make sense, given that earnings are released a few days before the Jun expiration Friday, however, I did not expect to see such a difference. This doesn't hurt us, but it is leading me to question my previous assumption that the farthest-out straddles would benefit from this Volatility Straddle strategy. Given that the Jul 09 42.5 straddle has the highest Vega (will benefit the most from an increase in Implied Volatility - which will happen as we approach earnings release), it will only benefit if in fact the put and call actually do experience the run-up.

Overall today the straddles lost some value. This is due mainly to the Delta, as it has increased as the underlying approached the Upper Breakeven point (the Puts were losing money, and the Calls were increasing by more than enough to offset the Puts). This doesn't bother me, as I'd be fine if the Stock settled right at 42.5 (which is NOT what you want if you are Long a straddle and planning to hold till expiration with no other catalyst to boost Implied Volatility). Additionally, the two days over the weekend gave us a hit with our Short Theta exposure which is almost entirely offset by Vega's helpfulness.

For now we sit tight and wait for our expected rise in IV. Overall, since we are pretty much flat in terms of P/L right now, I won't say that I should've placed the trade a week later, but if I play ADBE before Earnings again, I will enter into the straddle probably at least a week later than I did this time around--no need to tie up capital.

Cheers.