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Yea, I think the play here is short the straddle into earnings. Cover in the morning and add along straddle (if gap is small).

hmm, this has me thinking. Lets say MACY opens up 2% higher. But it has an average move of 10% during the day........all the event vol is gone by 10 am. Buy the straddle???

Just looking at implied move is not very helpful tho. For example you could have MACY'S showing an implied move of 6% and you might be tempted to buy it hoping for a ramp into earnings. BUT a second look at the WHOLE picture and you notice the ambient vol is 50%. Then I would almost always be...

LOL Des don't try to make it seem like you are not a models guy yourself!!

You could also go long a calendar here as well, would be a similar effect

MACY (M). Reporting Aug 15 after earnings. This is the morning of the 4th bus day. I use bus days in my calcs not calendar. Aug 17 100% MONEYNESS has a straddle price of 4.05(mid) and a vol of 81.21% Aug 24 100% MONEYNESS has a straddle price of 4.24(mid) and a vol of 62.79% We can use this...

LOL I agree, not to sure if Des is trolling me with that half lot.

Des I'd like to work a problem out here so we can discuss it. Any stocks you have in mind that have earnings coming up and are interested in? I'll show you how I do my analysis and maybe we can find something

hmmm, I am not quite sure why you are recommending a synthetic. The risk parameters are the same. You will lose all the ambient vol priced into the options. The key is to find an event that is not priced properly and hope it reprices correctly sometime in the near future. Theres a massive edge...

Hey Des, usually once the company confirms the earnings date, the vol is already there. When the earnings date is only an estimate, then yes there is a favorable spread BUT if the estimate date is wrong you will end up losing....

How much vega do you like to get with these (are you buying expirations that are 1 week apart or 1 month etc..)?

Many of you are looking to buy the IV ramp into earnings. There is only 1 successful trader I know who can do this on a consistant basis. @Kim Klaiman. I am dedicated to starting a trading competition with anyone who can successfully buy the IV ramp. My only strategy will be SELLING the IV...

This is the beauty of marketing. During this week we have a ton of earnings releases. So what this guy did was do this test on 50 different companies. Once he found a company that this worked on he posted it on ET. Out of 50 companies there is bound to be one that has a win ratio of 6:1. He...

Maybe if you can explain what TA is trying to do, you will find your answer. That being said TA works wherever your brain recognizes patterns. This could be for a graph of daily temperatures or a graph of the amount of Honda civics that drive by you. Making accurate FUTURE predictions using TA...

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Stackexchange is pretty good. Are there other forums you would recommend to get help with statistical projects?

Stackexchange is pretty good, but are there other forums that you would recommend to get help on statistical problems? Thanks.

Usually my expected PnL is Vega*(IV - RV) BUT i am almost vega neutral. My PnL is baiscally all skew, so I am not to sure what the simple way is to calculate my EV.

Okay I am trying this long gamma and theta short vega trade out. 231 155/159/167 Put fly on IWM @ 1.41. Expiration Aug 17. Greeks per 1 Fly Gamma = 2.1 Theta = 2.2 Vega = -1.1 Delta = -32 I am Long 32 IWM per fly @166.26.

LOL cheers. Have a good night Santa. But tomorrow lets get into calculating the PnL for this trade. Being short vega and long gamma is a little confusing.