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The difference between the July vol and September vol should not have been 12 points different because DOCU has earnings in septembet

That would be a directional trade if there was no time value associated with it. With options you have to guess the move within a time frame. Volatility = some move * some time factor. So once again straddles/strangles are a pure volatility play. XYZ = 100. I buy 100 straddle I buy 50/150...

??? They are a pure volatility play. The proper way to trade a strangle/strangle. Is to make a prediction on volatility and delta hedge until the profit/loss is realized. Also strangles are not more profitable than strangles. They both have there merits.

stock xyz = $100 straddle price $5 Stock goes up to 200. Call = $100, Put = $0. You made 100-5 = $95. Very simple There is more to this tho. You should start to learn about the greeks if you want to get into options trading.

@Secret Santa Glad to here he's doing well, however I prefer the other story. If we look at NVDA here. Front month IV is at 2 year lows. If we look at the relationship between IV and HV using the term structure. WE can see it is cheap BUT the SLOPE of the current term structure is relatively...

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2871616 Here is an article that says buying front month straddles on stocks that have the steepest vol curve and selling back month straddles on companies with inverted term structres yields 7% a month.

I am reading collin bennet. How long does it usually take for the market to correct for root time?I have also looked into SLE's collection (that is usually where I start my research) and it seems he must be keeping the secrets of the term structure to himself. Whatever happened to that guy...

closed docu for 2.9. Nice lil trade

Im also trying to find what the "normal" slope of the curve should be between expiries. For example if front month vol increases by 10% then the second month should increase by 10/sqrt(2). IF it does not a trade can be initiated however we are assuming the term was properly priced before. What...

How much leverage are you using?

What is meant by selling term structure?

hmm.. but what if the back month is pricing a $10 move and the front month is pricing a $8 move? I don't think you can look at a calendar spread like that. I can't imagine how they should be used for direction. The way I see it is: "Front month vol is unusually high for not a very good reason...

As I attempt to learn how to trade the term structure, a lot of my research topics are on calendar spreads. I have found a few good articles on how to trade them. But 99% of people who are advocating to trade these spreads have NO clue how to use them. "They are good for income" "You use them...

If you read this before the close. DOCU JUL/SEP calendar is 2.00. Just got filled. Next earnings not priced in! The July vol will get crushed but Sept vol should remian high. Hope you guys can get in.

Also a very important question: if I think the vol is underpriced. Do I sell the event expiration and buy the back expiration?

So does it make more sense to trade otm calendars? More volga in the just OTM as well. However I would have to put a calendar on each side. Could you explain a bit more? Thanks for brushing up my code

woops i put 2 t2 in the function. It should be "vol_jpm = (v1, v2, t1, t2)"

I hope you didnt go to bed yet Kev. You can just paste in R studio and hit run. Let me know what you think.

# I will be using AVGO as an example here as they have there earnings tomorrow # Both its current implied move and it's past implied move will be used to show #the spread in which I want to take advantage of. #First I calculate the volatlity of closest expiration to event using the...

Im working on a project where I trade the earnings vol before the announcement. What I have found is that the earnings expected move changes every day usually not by a lot but sometimes it can get pretty wide. For example LULU had an event vol of 192% the day before the earnings and 1 week prior...