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Alright, what does your math look like? That was the only parameter I could think of that would make a similar error but after digging in a little more I found even that wouldn't get us close to 1. St. Dev from Jun 1995 - Present is about 18.8 (daily close to close vol). Even using annual...

Did you back out the risk free rate? Most calculations I see have the SPY closer to 0.5 than 1 for that period. IIRC market can and has sustained ~1.0 for decade periods inbetween tail events but include a 1987/2000/2008 and the denominator jumps too much for returns to compensate. @OP...

Thanks OM, this is very helpful to keep as a guideline. If we figure we lose as much as gain over a long enough time on holding a customary 15min, then the “edge” is just a matter of being able to bleed less on the spread than the PnL volatility we’re accepting. Seems like a legit premise...

Eked out a small gain on CRM, went flat a few minutes after the open. I already bled a little from the unusually strong close; sold $149 strike @ 3:45 and then we jumped to $150. Price looked good after the announcement but the overnight drift up cut into the margin as well. It was talked...

Taking a crack at short CRM today. Seems to sustain a decent Avg Implied / Avg Realized spread historically as per oldmonk's advice. I was also looking at the current Straddle credit over the max historic earnings move as a loose proxy for R/R and it came out better than a few others I looked...

Hey! I'm long the 1700/1730/1745 132 from yesterday. How do you decide how wide to trade your flies? That's something I don't really have a convention for yet. Some ideas I had were sizing width via some confidence factor on price, or some ratio to the SD of the expiration--but I don't know...

Speaking of data, anyone have recommendation for reliable source of past implied moves in particular? Most of the other metrics I can probably get from the stuff I’ve already got. Seems like a few people have set up their own stuff, is there anything reputable for subscription service at the...

Yeah, that was a great. I just put in order @ 3.45 right after open and got filled 10 mins in or something. Jumped the gun just slightly, I think I'll get a better feel for exits after more experience with these types of trades. I didn't take a good look at the vol surface when we opened...

Yeah, that release was just about the best case scenario for the trade. I felt good reading that right after close. Hurray for the team!! Dest, for post-earnings stuff do you try to exit right after things settle following the open, or try to ride out some of the residual vol as well when...

Hey dest, thanks for sharing!! In with pretty aggressive [relative] size @ 1.85. This will make today more interesting.

Thanks! The nuances are very helpful. Appreciate your generosity with info and sharing your earnings trades in general.

TBS/oldmonk/srinir, After having been at this a while, how would you guys rank the various data points in importance for delivering expectancy? There's been quite a few mentioned over the course of the journal. Implied move vs. historical obv seems foundational, but what would #2 and #3 be...

This is what I started doing a while back.. sure it isn’t a Homeric trade but the expectancy is often decent enough compared to the other things I know how to do. I view it as just another risk exposure to collect premium for holding. I have a wider delta band and trade/lean against other...

Strange part about growing wealth is that the earliest contributions matter so much more than middle and latter ones. You get to the point where any current amount of effort or saving via conventional income is easily overwhelmed by extending timeframe before you start drawing from investments...

Most stocks as long as they’re not illiquid or extremely volatile. IB’s PM account uses a private algorithm I think. You get points for variety and diversification, most of the time I have even more than 6x for buying stocks and ETFs

I was referring to CBOE’s index called “PUT”—mechanically writes a cash secured ATM put and holds until expiry every month. They track performance stats on at least a handful of rigid option systems.

Agree.. shorting wings is far from free money. I think people don’t realize that the danger isn’t in the initial risk profile, it’s that your risk will blow up exponentially in a tail event. Shadow gamma or whatever it’s called. And even backtesting won’t necessarily show the true risk of...

You keep asking iterations of the same question over and over again. A 78D call is not going to be OTM. I’ll assume you meant 22D. You’re buying fractional deltas and vol with some embedded leverage. Vol will have to come in with a continued rise in price pretty quickly for you to beat the...

^This is good advice. You can still succeed even if you only get the second half down. Even if you're in late and missed out on some gains; get good at risk management and you can size accordingly to compensate. Long-term B&H stocks is grossly inefficient since you constantly have to carry...

Thanks for the feedback TBS. Having something to trade against vega sounds like a good idea, since then I could size up and extract more value from the opportunity I’m trying to target. Will have to start thinking about how I can locate “cheaper” risk to trade against my positions and what...