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ANTM didn't make my screen for some reason, not sure why. Maybe has to do with data issues.

I'm short vol on NOC 270/292.5/315 @ 11.6 Cr & GD 167.5/182.5/197.5 @ 7.25 Cr Screen also included BOKF & DTE, but strikes too wide to get a good R/R.

Congrats on TWTR. I traded LMT, PG, NUE. Took small gains on PG (3.4->3) & NUE(1.6->1.4). LMT looked real bad pre-market but I managed to get out when it dipped near the open (9.4->13.6). Down overall for the day.

NUE, LMT, SNV. AXTA & FITB also made my screen, but I don't think I'm trading them (too short history & low stock price, respectively). Will wait till around 3:30 before getting in.

Out of everything. AXP @ 1.5, DHR @ 3, GPC @ 2.8. Probably not the best fills, but great day overall.

Yup, AXP & DHR both looking good. GPC hasn't moved at all, but not so sure about that one. Will place some pre-market orders and hope they get filled at open.

I just fixed my model to use the right earnings times, and AXP is literally the worst ranked stock in my screen now. Would never have traded it. Turns out they usually report after close, and this time is an exception. SMH.

I did look at the price chart. The only one that looks strange is Apr 18 2018. But it turns out the big gap happened the next day (on Apr 19). Not sure what's wrong here. Maybe they reported on Apr 18 close? Edit: Turns out they reported on Apr 18 close. My chart assumes the report time...

I might be wrong, but this chart tells me it's barely moved in the last several quarters:

AXP straddle breakeven 2.8% (was higher when I got filled), average move 0.5%. What are your numbers? DHR strikes are $5 apart, but it looks good otherwise. May enter near the close if it stays in this range.

It's definitely worth looking into. I'm always trying to improve my system, and maybe including some fundamental data would help. I'm short AXP (104/112/120 @ 3.4cr) and GPC (106/113/120 @ 3.4cr).

Interesting. I've not really looked at using fundamentals to predict earnings surprises. I basically rely on just the implied / avg move, and I find that to be quite a robust estimator by itself (I've made 50+ earnings trades so far). Since I mostly trade only liquid stocks, I assume that any...

Ironically, the best earnings trades are often in less popular stocks that no one talks about. NFLX was a weird one - It's vol was too expensive (top quartile of earnings vol among all stocks) to buy, and too cheap (relative to past realized earnings moves) to sell. Anyone who bought a straddle...

Yes, but I don't recommend newbies try it.

Any reason why you're going with an assymetric fly? I traded WFC, closed at open.

APOG looks overpriced, but strikes are too wide. Not trading BBBY or FAST, so no trades for me today.

Similar thing happened to me on YY back in March. It appeared to open with a ~0% gap, and within seconds it was pumped up 10%+.

Wow PSMT. I was giving it some time for spreads to narrow, but it ran all the way past 64 right out the gate. Finally legged out for 4.0. Expected to make a lot more on this after yesterday's post-earnings move. Terrible liquidity on this one, both on the stock and the options. I guess that's...

Thanks for the heads up. This one already seemed overpriced relative to historic moves, looks even better now. I got filled at 4.7.

I thought you meant the breakeven of a straddle without any delta hedging. If you're continuously delta hedged, you'd break even as long as the IV stays below the IV you sold the straddle at. Discrete delta hedging would complicate things a bit, but I imagine that's where the notion of the 1SD...