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Could you further explain?

Yea I have been doing some work with the moments into earnings. Ie.. seeing if wings are cheap or expensive based on the kurtosis of the past earnings move. Would you say it makes sense to sell/buy strangles sometimes rather than straddles into earnings? Even if most of the vega/gamma is ATM.

What am I looking for though? Like I can easily graph the spread between the 3 month and 6 month implied vols and place spread accordingly, but Ill most likely just be selling event vol and buying non event vol(if thats even a term). In regarding root time If the change in term vol is not root...

But does event day E also includes the time from 9:30 - 4? Because the formula i am using in the original post is to calculate the "gap risk" ie. risk of not being able to delta hedge. vol1*vol1? im surprised a mathmatician like yourself has not figured out the ^ function yet. ;). Thanks for...

Indeed. Trying to find some flaws in the less liquid underlyings term structures. Have you come across any flaws in term structures?

.18/sqrt(2) = .12. Still not 18.8%

Thanks, I have read this article but still can not figure out the math. If we use AAPL as an example (because it is liquid so should be correctly priced). One month vol is 18%. 2 month vol is 18.8% .18*sqrt(2) = .25.... how are they getting 18.8%?

When they say vol moves in root time. If one month AAPL vol is 17% what should the 2 month vol be? What is the calculation for this? Thanks in advance

the volatility of the jumps

I figured it out, thanks for your help. This is what I have come up with. If we look at KSS. The implied move is 3.516 which would be what you are saying. Close to Close. BUT to calculate the gap risk it is. sqrt(back month vol(52%) ^2*days to expiration(11) - front month vol (70%)^2 * days to...

Rob I also have a model on what I believe it should be however I want to know what the market is predicting the jump vol to be. For example in many of the small stocks there is no gap in the morning, it opens a few points up or down and then starts its move. However there is some jump vol...

I am just try to calculate the jump risk premium in the options price, not the jump + vol during the day after earnings. What should I be using for this calculation?

Hi Bob, the expected move is just the first standard deviation of the possible moves. But does that imply just the jump or does it imply the jump + the move during the day after earnings?

I am working on some earning trades and I am calculating jump vol as followed in this photo. However am I right in writing, jumpvol * sqrt(1/252)*stock price, to figure out how big the earnings jump will be?

Once again, my hero! Do you code in any other languages? I assume with your Think script skills (very basic language) you would also be good with another language.

What variables should I include in my study? Market Cap, Price to Cashflow, Div Yield? Anything you can recommend? Also it seems very rare that Implied is below realized, even for the smaller cap stocks. This should be the case because of the concavity of selling options. But I would love to get...

has anyone done a study to find which stocks/etfs/futures usually have realized - implied greater than 0? For example, low beta stocks usually have much higher IV than what is realized.

L instead of an i. my mistake

is there an error in that? I cant seem to beable to download it. Downloaded one of your other ones no probelm

your great, just gave you a follow on tos. Thanks for providing. I will tell you if I find any problems with it