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Is it working for you?

What you are doing is trading the terminal distribution. So yet it is fine. Selling when IV is low however does not give you a good risk/reward. When trading an IC you need to look at 3rd and 4th moments as well. I mean Lets say IV is high and you think the stock will be range bound. However...

45 days out seem un reasonable.good on you for being interrested and building your own data set. 29$ a month is not asking alot for 50 past earnings data on some companies

I'm actually not done here. CML is kind of useless for earnings ( I know you have put alot of time into it and I apologize). When you trade earnings you want to see whatspriced in vs what's usually priced in. All you need is a bit of math and some statistical work to get better results than...

Beautiful. I wish you got in the trade today. The calendar went bid into the close. If no conformation Monday pre market, hop on the train

Actually i am going to take this one step further. If you are going to advertise your software that's fine. BUT at least post something beneficial!! Backtesting is AWESOME if it actually helps the cause.....

Dude PLCE has not even confirmed earnings..... if your going to show a study at least do it on something that is confirmed... Actually the trade you have mentioned will most likely be a losing trade as the trade will be the following week. That is the reason why it's under priced.... geez and to...

I do not check their website. DDS see if it's there.

+1

Yea the spreads are so wide tho yikes

EL! Bloomberg's algo is estimating DDS earnings to be on AUG 23rd!!!! I'm selling aug 17 and buying the back month

You have to find the "free" gamma rent. Most of the time it's far from free

Ill check the BBG terminal tomorrow and PM you if the Bloomy algo is estimating something different (which it has done in the past)

I was talking about DDS. The earnings is still an estimate

Sheesh you got some pretty high estimates eh. I would expect MACY ATM vol to drop to 35% at the open. VIX is pretty low right now. I cant imagine this being over 40%. But we shall see.

hmmm it's releasing next week(estimated) usually companies would have already confirmed. I think they are going to push the date. I am going to look into this tomorrow. But Selling AUG 17 buying SEP 21 might not be a bad idea....

Would you sell FB vol if the implied move was 10%? I think AVG over 30 earnings (if I can remember) is 6%

haha Ill keep a look out on this trade and qoute you the vol when it opens :). Something I am noticing tho is that DDS has not confirmed earnings?

After earnings the vol will be 40% +/- 3% with a 95% confidence interval

Well we can actually solve for what it would be after earnings. (This would be assuming a normal ie.NOT facebook earnings). Give me a second and I will let you know.