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I first want to mention I have read some of your previous posts and find you very intelligent so thanks for continuing to answer my threads/questions. If I assume that the earnings moves are random then it does not matter about the fundamentals. If earnings are not random, then I will eventually...

Can you explain what you mean by group returns?

So top row(left) is Macy vs surprise we can see 0 correlation. However on the right we have its autocorrelation. So we could pretty much have a good guess if there will be a surprise or not. Only bad thing is it wouldnt matter!(Macy show 0 correlation with surprise) Bottom is Tif vs surprise...

Thanks for sharing this post!! This is interesting, maybe my data set was not large enough as some stocks show close to 0 correlation. In this study what is classified as a growth stock? Some stocks earnings surprises demonstrate autocorrelation I will post a photo

Supply and demand. I might be focused on the long term expected value, while a big fund is coming into the market to buy puts on their long stock position. Throwing it out of whack. That was the question I was thinking when i started this thread. Why in heavens name would a market maker price...

For earnings estimates and surprises I access to a Bloomberg terminal. Estimates/surprises up to 2006. What stock/stocks would you like? I'll send the data on monday

@Secret Santa does morgan stanley have you chained to the desk? This thread could use some of your math expertise.

Newwurld you would never hold the position for longer than a day. Lets say on average you did 5 earnings a day and you are trading with a low cost broker (.50 - .70 a contract). FL had pre earnings jump vol of 136%(annualized) I would have sold the straddle because I believe FL should only have...

:wtf: which one???

Also newwurld could you tell a strategy thats does produce good returns without saying the secret sauce ofcourse

are you an economist/statistician by nature/profession? what do you usually use R for?

Hi newwurld, what would be considered a good return by retail level? also I think this strategy could produce great returns if done properly. (Wild swings tho, which is why I think it is a retail game.) Lets say a stocks earnings move are normally distributed and we also believe that earnings...

I have a mac and pc, I really find no difference if anything the mac runs a bit faster when doing large computations. Do you use R studio or something else?

I wouldnt consider trading earnings day trading. Its a very statistical process, where if you have a good model and good execution you should be able to make money in the long run

I have looked at the difference in jump vol and diffusion vol. (actually started a thread on it, but didnt get much attention). Something I want to look into but don't have data for it is, close to open returns (gap). because if the gaps are larger/smaller than what the jump vol predicts, there...

In image 1 those are the distributions of the last 48 earnings for multiple companies that recently had their earnings. (histogram with 20 buckets) Image 2: same companies. Y axis = price change close to close after event. x axis = surprise @srinir @truetype @Sig

I also want to mention that higher implied vol before earnings does not do a good job at predicting returns. In fact when there is very low impliedvol you often see larger moves.

Hey sig thanks for the reply. So I have purchased data that gives me the last 50 quarters of company's price move, estimate and surprise. I also get the Monthly return leading into earnings, weekly returns, and daily return right before earnings. After running regressions on MANY companies here...

newwurld. Right now AAPL front month has really low vol against the DJX. The spread is at the lower bound. How can I go about trading this if I think there will be an increase in the spread. Should I buy a calendar on AAPL and sell a calendar on DJX?

Like I would have bee happy selling that straddle for 6. So i am a bit confused