Search results

I have separated the data for the stocks that have earnings within 25 days. Stocks that have more than 10 analysts covering it have a median dispersion of .21 and stocks that have less than 10 analysts covering have a median dispersion of .30 so you are absolutely correct.

I have a journal going where I implement this strategy. Let's say the jump is priced at a 5% move but we think as earnings near the implied jump will be 7%. Then it makes sense to buy the back month. We only sell the font month if we think the realized vol will be less than the ambient vol. If...

This is called being long the jump. This strategy will lose money if the jump is over priced. The strategy is also short gamma and will lose money if the realized vol is greater than the ambient vol.

No I am not. Could you explain why that would be sensible?

Did not see this. Earnings have 2 vols priced into them. The ambient vol ( regular vol) and the earnings vol(how big the jump will be). So let's say MSFT moves on average 4.2% after earnings (the jump) and the implied vol was pricing in a 3.2% jump, then it makes sense to buy the straddle...

I will also add that the 1 day implied vol is using the standard formula with 2 expiration dates. If front month is less than 3 days until expiration the back month is used

@Secret Santa, this strategy might not be your forte but maybe you can provide some insight. Using the Bloomberg security monitor I scan for stocks whose 1 day implied earnings move is much lower than the average 1 day implied earnings move. I then check to see how disperse the analysts...

Sig I'm pretty sure you would have experience with this strategy. Thoughts and opinions? There's a correlation with dispersion vs straddle price. But the analysts earnings forecast change all the time. I put a trade on IRBT because the: analyst high - analyst low / analyst mean was extremely...

I agree with this. The straddle has never been so cheap in the last 10 earnings. But this big NFLX upset might increase the price tomorrow. We will have to see.

When it comes to earnings, what is the common method used to measure the analysts dispersion. Should you look at the dispersion relatively or vs other companies as a whole. Thanks

LOL is does sound daunting, however if it worked maybe think about packaging it in a course and selling it for some good money (many retail traders looking to just break even). I also agree that this might not totally be automated but there are definitely more efficient ways of doing this. When...

At any single point IV for earnings + vol leading into earnings can be under/over priced. Usually the spreads are super tight relative to the average actual move. Market makers are always aware of earnings, but sometimes demand/supply can slightly get the IV out of line. When I run my scanner in...

Agreed, however, we can compare the current straddle price to what it usually is the day before earnings.

You do not beleive that some stocks 10 -20 days before earnings underprice the event and or ambient volatility?

This type of trading has been talked about so many times on this thread. But are any of you still doing this. I have found a few trades that have worked out nice. Anyone else want to share ideas?

Whats the reason for not doing them anymore? Do you find the edge dried up?

Actually a 5 lot, had to leg the last one, IB only filled the 4 and then the NBBO moved. FLT was one of the first trades I did using this strategy so it only makes sense for me to of traded small (better than paper trading).

Closed FLT for 4.80. ROC = 21% before commision. MDSO just got confirmed this morning, earnings will be on JULY 24. Mid is currently 5.4. Im still holding. Only 1 losing trade thus far in the jounral!

I know you had that exact same position on LOL. So much for options as a directional trade. What you are experiencing is what I like to call the OptionsOptionsOptions effect... okay all jokes aside NFLX vol went up BUT time got closer to expiration. The option lost money because you held it...

No he/she wants to know where to find 5/10 year leaps