Dan - I appreciate the insight. If you don’t mind, I’d like to pick your brain a bit more about this.
Why are they buying this hedge now? We have 11 weeks to go before the AdCom, which is what they are basing the expiration of this hedge on.
Do you believe they think that the option cost, delta, and/or IV will go up enough over the next few weeks to offset the theta decay, making the strike more expensive? Hopefully they didn’t see the Ask on that strike at the end of the day, or do they not care about price fluctuations after the trade is made?
Also, since they are placing this trade now, do they think there is a real possibility of a major negative event (eg. a CRL) before the AdCom?