Search results

Thanks for the explanation. So the IV moves around earnings are considered non-RT moves? Trying to think of a possible strategy that will benefit from the IV drop, eliminate/minimise gamma exposure, at the cost of theta. Initially considered reverse calendar spread. But in my 'tests' thus far...

Many options guides out there suggest that buying calendar spread will profit when IV increases. This is often not the case? From what I can see, front month options IV tends to make larger moves than back month options'. e.g. buying Jul/Aug or Jul/Oct WBA calendar spreads at 9-June as per...

Interesting topic. Im also interested in seeing OI data leading up to expiration. Is the idea here to see whether there is any pinning on the strike with highest OI? Cheers

You can. I have done it in the past. Did you try using paper trading account on TWS and run into some specific issues with the procress?

I think syswizard was referring to shodson's earnings play, i.e. SELLING instead of buying straddles just prior to earnings. As pointed out, selling straddles prior to earnings is obviously risky as the large price movement can well exceed the gain from the IV crush. I guess the question is, on...

Besides a large move in the underlying, another way to profit from buying straddles is to gamma scalp afaik. For this you need an oscillating underlying with large enough magnitude (for lack of a better word). Is there a graph or a metric that measures the level of oscillation? I have only been...

Hi there, I believe that your probability of loss should roughly be = cred received/width of the spread = (46.42/70)*100% = 66.3%. 33% is actually your probability of profit. With such an efficient market, simply said, it's not possible for your cred received to be greater than your max loss...