I have some questions about data on DIS ATM Straddle Before / After Earnings.
I use ToS thinkBack feature to collect data and I see on 05/10/2023 the DIS 101 straddle is priced at 5.86, but on 05/11/2023 that same DIS 101 straddle is priced at 8.71. Likewise on 02/08/2023 DIS 112 straddle is priced as 6.80 and the next day after earnings I see DIS 112 straddle priced at 2.42.
Am I doing this right? Or is there some other method you use to collect this information?
I don't know how the pricing works on TOS, but I use the midpoint of the bid-ask spread on the close for pricing and get the data from Bloomberg - it looks like the last two were incorrectly downloaded for some reason. Thanks for pointing it out. I've got the May straddle at 8.71 as well and 2.42 once I fixed the macro I wrote - honestly, thanks for the heads up!
I have some questions about data on DIS ATM Straddle Before / After Earnings.
I use ToS thinkBack feature to collect data and I see on 05/10/2023 the DIS 101 straddle is priced at 5.86, but on 05/11/2023 that same DIS 101 straddle is priced at 8.71. Likewise on 02/08/2023 DIS 112 straddle is priced as 6.80 and the next day after earnings I see DIS 112 straddle priced at 2.42.
Am I doing this right? Or is there some other method you use to collect this information?
I don't know how the pricing works on TOS, but I use the midpoint of the bid-ask spread on the close for pricing and get the data from Bloomberg - it looks like the last two were incorrectly downloaded for some reason. Thanks for pointing it out. I've got the May straddle at 8.71 as well and 2.42 once I fixed the macro I wrote - honestly, thanks for the heads up!