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The first thing I noted was that the estimates were off a lot more when rates are coming down. If I'm reading the caption correctly, this means the market was pricing for higher rates than what materialized in the green zones; i.e. the cuts are consistently sharper than people were expecting?

Agree with the bullish bias. I had to leave today so I shorted it early.. picked 59.50 strike which was 50c above spot at the time. $1.7 credit. Might've done 60.00 if I was here at the close. Hope it goes well for us!

To take it from the top I’d say read Markowitz and then try to do a study on CAPM and it’s evolution over time. Churn through white papers. Get familiar with the latest iteration of modern portfolio theory. Familiarity with financial accounting is a decent bonus, at the end of the day it...

Price time series and order depth contain data. And sure some of it might be useful at times. But that’s the outermost layer of the whole shell. Trying to build a whole foundation on the final output is not the right way to go about things. It doesn’t lend itself very well to...

If you’re truly getting over 80% win rate with 1:1 static bets you’d be a fool to waste time tinkering with parameters. That kind of expectancy on day trades should get you to capacity limits in no time. If you’re like most small retails though, it’s far more likely there’s a problem with your...

Once price paths through your midpoint on unhedged short vol structures the r:r doesn’t really warrant further holding unless you have really strong conviction price will oscillate there in order for you to collect further decay. Likewise if theta flips it doesn’t make sense to burn through...

Imo, past IV can be an input, but it’s not the only way or even the primary way I’d use to determine if current IV is rich. IV is only rich if we’re going to realize less than it for the duration of the trade. Having a short term forecast of stat vol is a necessary tool. Also, there’s a...

That's a nice climb in the past two weeks! I've had a decent grind up in June, although I made a handful of smaller decision and execution mistakes that were a little annoying. But good overall performance obscures those as long as they aren't too drastic.

Alright, that sounds more realistic. You've basically got a stat vol forecast a few % under current IV. But you haven't really told us how you're modeling this. And the spread is pretty thin to begin with. Fly profile like this expected to come in fractionally under implied is available very...

Market is pricing in something around 7% terminal move from ATM as 1 Std. Dev in this series, and you think there's less than 2.5% chance it moves half of that? Close to Close range for the 5 day period up to 6/27 was already over a 5% move, and you think that there's only a 2.53% chance for a...

Didn’t mean to come across as pessimistic about the delayed exits. Definitely agree they’re much better than wide spreads and higher vol. Just a comment on bad pathing recently. Eventually I’m sure I’ll hit a sequence where a few in a row all path back towards my strikes. Great data on...

Interesting shot at NKE, sorry it didn’t work out for you. Interested to see what STZ does at open. If I had more time this afternoon I would’ve looked to see if a long there was viable, looks like it’s hasn’t sustained much premium over the actual historically and market hasn’t really...

I looked at NKE briefly. Wasn't motivated to touch it. I think the companies with high liquidity have thinner spreads of implied v. earnings in general. Also concur that one should be wary of the prevalent win % statistics regarding options. Next to useless metric imo; magnitude of the wins...

The 15 min wait to close hasn't been helping me out these past few trades. Opened net winner but then sailed past my BE. The series is monthly so I might even hold 1-2 days at max to avoid buying back on extended price and elevated vol. Or in best case comes back a bit through the afternoon...

Thanks, this is very helpful info. Will definitely incorporate this more heavily into trade planning. Makes sense that getting a picture of the fundamental reality will provide most of the edge since MM algos can parse stats almost as good as we can. Any places you’ve found that consistently...

My concern for FDX was the recent Hussein drama and selloff would affect the earnings move. Usually I haven’t seen such oscillation; gap up, opens and goes down, then trends up all day. FDX still decent enough to cover almost all my MU losses so can’t complain. If I waited a bit longer it...

Yeah, unless there's something unusual about pricing I will sell the shortest expiration containing the earnings event. Edit - Barely missed net zero; MU opened straight up and FDX straight down. Ended up something like -2% on total debit/risk.

Bleh, those both look decent at first pass. Screener wasn’t updating for some reason and I was on to the next thing instead of running my own calcs off the market data. In other news good day for MSFT vol. The gap to $137 into today paid for all the short theta since you first mentioned it...

Will be interested to see this formula up and running and start comparing to the moves that occur. MU was lesser of the two but what pushed me over the edge is the thought there is more of a speculative retail bid on a stock like MU than usual. I did choose the 33s and I think I got $2.7 in...