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First trades, short the synthetic flys on TSN and DHI DHI: TSN:

Hey Everyone! After the success of my first earnings journal, I’ve decided to start fresh and trade a very specific strategy with this new journal. The reason for doing this is I have built a strategy which allows me to quickly evaluate trading opportunities and I want to test its success...

Here is an Rpub where they go over the EM in R and they run a loop as well. https://rpubs.com/H_Zhu/246450 However, I don't understand what you mean by various starting guesses. Also, to find the moderator I have to run a regression right? Y = i + aX + bM + cXM + E where I solve for M. But...

Hey neww, yes, the higher the Implied Move the less likely you are to earn on your straddle. What I mean by tail risk (and I guess I should have not used it) is that you if buy a straddle with an implied move of 20% and the stock doesn't move. You just lost your whole (expensive) investment. If...

One of those nights, little to no sleep and lots of code. Here is a plot where I bin the historical implied moves into equally weighted bins. I then show the distribution of the 30d straddle pnl for each bin. We can see a pattern that as the implied move increases the Long ATM straddle Pnl...

Some food for thought for you guys as I study VAR/VECM and time varying volatility. Check to see if the past earnings move could have been a structural shift in the earnings distribution. I'll use STMP as an example, now that I understand what a structural shift is we have actually seen this...

Thanks for the paper(s) Kevin. I am going to get started on the VAR one right now. It looks a bit dense so I might take me a few days to work out the equations. After that i'll check back in with you to pick your brain a bit more on this topic. In the mean time, I am going to migrate over to...

Hi Matt, I am an avid user of your product. I was wondering if you can expand a bit on the "earnings effect" variable. As well, I backtested the "slope" parameter on NVDA with a bunch of combinations (-.5, 1), (-.25,.5) etc.. However my results are a bit different than what you posted. On my...

Kevin, I am finished my first round of studying and will try my first attempt at a simple VECM model. I would greatly appreciate if you could evaluate my work. Next will be SVECM and then basket cointegration. If you don't mind explaining it as if you were talking to a 10 year old that would...

Buy a ATMx1/OTMx2/OTMx1 butterfly when spx skew is relatively high you can position it to be long gamma, vega and theta with negative delta. Here is an example (obviously dont trust your broker to give you accurate vols and greeks, use a software/programming language to figure it out). Skew...

I am glad you road the wave here @ironchef. I will be sending you a bill in the mail

FWIW, I am actually a @destriero fan. His posts have taught me a lot even though he can get pretty aggressive. Lucky for @raVar he blocked me at the right time. I read over some of his stuff on other threads and could not believe the things he was saying. What surprised me even more, was the...

Quick question as I study VECM. When I test for cointegration, Yt - BXt = e, where e is iid, should I be using OLS,TLS or GLS to find my error term to feed into the cointegration test? Do you have a preferable cointegration test/function? It seems there are quite a bunch in R. Originally I...

Thanks for the link mickey. I knew he was going a bit nuts. BlueSigma Capital provides global alternative asset advisory and fundraising services across Private Equity, Real Estate and Hedge Funds. Leveraging on 15 years of global alternative asset and distribution experience, BlueSigma Capital...

@ajensen 500 stocks on getSymbols? How long does that take you? Instead try installing the packages "BatchGetSymbols". You can run it in parallel. 500 stocks should only take you 1 minute. If you want help with the code (you cant figure it out yourself) reply back and I will help you out...

Ps. I am not to sure why you are lying. There is no such firm as Blue Sigma and if you meant Two Sigma I will bet every dollar that you don't have access to them. You lost your mind dude.

Dude settle down and lay off the drugs. You did not get it mixed up. It seems like I can't quote you since you blocked me. But you did mention you followed the company for years LOL. The only reason why I am being a bit over the top here is because: 1) A few days ago you blew off the guy who...

In all fairness, at first glance I thought they were using some type of bayesian data splines.

There you have it! No magic sauce, as I expected. It's a bucket shop

My math may be wrong but I see 2604 contracts at 7.00. Here is what I did. Brace yourself. 7 * 2604 * 100 = $1,822,800. Also I just read their strategy! It looks like they are selling premium!