Recent content by oldmonk

The consensus estimates are from Zacks in WRDS. They don't have guidance though.

The graph shows what I mean. The Hi-Lo Range (normalized by dividing by the median EPS estimate) is a very weak predictor of the magnitude of the earnings jump. This graph only includes a few points (a few FAANG stocks since 2012), but I've run the regression over my entire database (~12,000...

I think it's a good idea to look at these numbers, although I would approach it in a different way. On first glance, I agree with Magic that a wider range of the EPS/Rev Hi-Lo estimates could indicate more uncertainty priced into the earnings vol, which would make it a good short vol candidate...

http://statweb.stanford.edu/~tibs/research.html

I don't know about long vol on those trades, but moves like those are why I like to buy wings. I agree that negative skewness in the return profile doesn't matter in the long run as long as the strategy has positive expectancy, but one loss like that could easily wipe out months of gains. EVT...

Hey TBS...Glad to see the earnings journal is back up. I might end up posting trades this time, although I don't expect to make any earnings trades until mid October. If what you say is true, then companies with the highest implied moves would also tend to have the highest implied/actual moves...

Interesting that you've stopped buying wings on these trades. I agree that buying wings erodes the edge, and also makes it more difficult to close out post earnings. But this strategy has a negative skew, so the edge that's eroded by buying wings would eventually be offset by the occasional...

I might be oversimplifying a bit here, but all these strategies are essentially variations of buy and hold SPX. Might as well just buy and hold with your preferred level of leverage rather than go through all the trouble.

What an absolute trainwreck of a thread. Started out with a perfectly legitimate question, but degenerated into this crap from REDP and co. Where are all the elite traders? The content on this forum keeps getting worse everyday.

Firstly, why do you think trading deserves a good rep? Traders try to make money while creating nothing. These "gurus" are doing the same. As I'm sure you know, 90% of traders lose money. These people are desperate for some kind of guidance in a world of randomness. Some enterprising folks are...

Have you tried comparing these implied moves from the one derived from the forward vol formula? How different are they?

Standard way to do this is to orthogonalize the features. Try running PCA on your model with your 10 original features + the additional IV term. Then use only the first few principal components to fit your regression model. Other option is to add an L1 regularization term to your least squares...

Lol no pressure then. I won't be posting trades here this time round. Good luck to all of you.

Interesting, I'll look into it.

I actually ended up taking this trade. My screen suggested the current implied move is lower than the historical min (it still is). Got in at 5.9 near Friday close, out at 6.3 earlier today for a quick profit. Not comfortable sitting on it for several days and holding in hope. I think...