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I suppose this is a play on the VIX futures term structure? Is this a bet on "mean reversion" to the "normal" state of the curve?

I have a question on the estimation of earnings and ambient vol. Would appreciate if someone can clarify. For concreteness, consider MU, which has earnings on Sep 21. Looking through the option chain, we see that the aggregate IVs for the Sep 21, Sep 28, Oct 5, Oct 19, Nov 16 options are 0.56...

If it's vol as synthetic time, wouldn't the actual passing of time mean the vol ramp is offset by theta decay? If so, wouldn't a pre-earnings straddle (regular or synthetic) be just a long gamma trade with slower time decay?

This seems like an interesting strategy, but it's difficult to implement without reliable implied vol data. What's your data source for the vol skew, term structure, etc.? I've tried livevol but they don't have term structure charts, and the UI is a bit clunky. I'm currently using ORATS vol...

if you have access to WRDS you can find this data on Cap IQ or IBES.

I'm hesitant to ask any more ELI5 questions on this, but could you explain why you'd want to buy a fly when skew is steep? I was under the impression that a steep skew is bad for wingspreads in general, since you're paying a relatively higher premium for the wings.

Thanks, I've just started reading Derman's Vol Smile book. Going through the last few posts, it's clear that I have a lot to learn on this subject.

Can you explain what "stickiness" and "QnD" mean?

That makes sense, but what about timing? Even if it's impossible to find a cheap spread, I'm just trying to avoid buying these at an intraday high. Probably won't make much of a difference in the outcome of the trade, but could mean a 5% difference in returns. Does vertical skew play a role when...

I've been looking for information on how to price an ATM 1-2-1 butterfly spread, and I haven't been able to find anything useful so far. All else equal, I imagine you'd want to buy the spread when ATM implied vol is high relative to the wings (in other words, when skew is relatively low). Skew...

The reddit links are from the notorious r/wallstreetbets. It has around 300K subscribers who YOLO (go all in with short term long calls/puts) on hot tech stocks. Just by random chance, a few of them are bound to do well. This is by no means how "successful option traders do it".

Des - Just wanted to say, thanks for posting your trades. I've learned a lot from them and it's helped me improve my trading quite dramatically over the last couple of months. Honestly I don't care whether the trades you post here are real fills or not. All I know is that using similar...

This website has an amazing amount of data available for free. Is the data reliable? In other words, are the IV calculations comparable to those provided by livevol, etc.?

The short month expires before earnings, so I imagine it wouldn't have the expected earnings move priced into its vol.

The entire position would be closed before earnings, so we wouldn't actually be there for the jump. Assume the underlying is unchanged or we're delta hedged against any price movements. The back month would see increasing implied vol as we near earnings, while the front month would see unchanged...

So I came across the following calendar spread strategy based around earnings - Short the month (or week) just prior to earnings, and long the expiry immediately after. The idea is that the short month's vol remains relatively unchanged, while the long month benefits from rising vol as we...

des - From your posts, it appears to me that your butterfly trades are primarily based on the difference between stat vol forecasts and current implied vol. Are your stat vol forecasts based on simple models like GARCH, or are they more involved than that? Also, do your trades take the vol skew...

I find it hard to believe that any differences in term structure before and after earnings aren't already priced in. Seems to me like these "pure volatility" plays around earnings are just another instance of picking pennies in front of a steamroller.

Could you explain how this position would make money? I understand you're effectively short vol for the near dated expirations and long vol for the further dated ones. So are you expecting the IV crush following the earnings release to increase the slope of the term structure?

Could you explain how you determined the fair value to be -200, or would that give too much away?