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What do you mean by arbitrary? They're based off VX futures. You can replicate the historical prices of VXX/UVXY from the front 2 months of VX. Pricing options on them is like pricing options on any other stock. It's a regular time series and you can measure its volatility. You'd also need to...

This is really the only sticking point with these earnings trades. The liquidity is terrible at the open, the stock swings around like crazy, and there's some luck involved in getting a good fill (you need to spray and pray with your limit orders). Overall, you end up leaving a lot of money on...

I closed out at 6. It's down to 4.5 right now. Whatever edge I have is cancelled due to my shit trading lol.

Looks like AAPL could be a 2x winner if it stays here. Interesting setup. Great risk/reward on a 50/50 punt.

Great! Only one trade for me today: TNDM 48.5/62/75.5 @ 6.92 Cr. Won't be around for close so I entered early.

Out of all trades. LLY @ 3.5, GLW @ 2.6 and COP @ 2. Down for the day and basically back to where I was before CVX.

Several companies that report pre-market have their conference calls after open, but they gap anyway.

Also got filled on GLW 30/33.5/37 @ 1.73 Cr and COP 57/62.5/68 @ 2.36 Cr.

I got filled on LLY 114/120/126 @ 2.9 Cr. Also looking at GLW, COP & HCA.

Covered CVX @ 1.5.

Not from me, I'm only short vol on earnings, for now at least.

I'm trying to get filled on the CVX 112/118/124 fly. No other trades for me today. Edit: Just got filled at 2.68Cr.

Unfortunate, both of those were looking great yesterday.

Back to near breakeven (including commissions) on this earnings season. No thanks to the aerospace companies - LMT, RTN, GD, NOC. The last two should've been big wins, but I covered GD too soon and didn't get filled on NOC when it was looking good. Gains were driven by financials - AXP, GS, WFC...

Closed IP (1.1), MO (2.5), RTN (6.3). Down overall today.

Nope, I'm in IP (1.62), MO (1.66), RTN (5.3). All report pre-market.

You short vol on NOW? Barely moved in the end, after the initial scare.

I use data since 2012. Might be the reason for the difference. MO, for instance, had larger moves recently, but much smaller in the past, so it looks expensive on my screen. I'm looking at SCCO, IP, MO, RTN.

Screen for today: 'SCCO', 'MO', 'ESS', 'AEP', 'IP', 'RTN', 'WM', 'XRX', 'UPS', 'NEM', 'HES' Some of these are very illiquid or too cheap to be worthwhile, but I'll probably be trading a few of these around 3:30.

I closed GD for 8. With NOC, I didn't get filled while it was at 288 (I offered 7 when the spread was worth less than 5). Finally got filled for 10 on its way down. Up overall today, but could've been so much better.