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I believe the market was right to discount vol over the period right after earnings:

yes

curious why you would not automate this?

1 trade does not a thesis prove, but entered in smallest allocation to test winning on both, not expected.

How sensitive if your modeling to the conversion between trading and calendar days? As I'm sure you know plugging in calendar days is not going to be accurate.

Still trying to understand this. But would you say this position is trading against an overly sticky strike market? And part of the modelling is assuming sticky delta will take over for a large enough move?

I'm talking about the volatility after earnings week expiry. How could earnings itself cause this? Example, MSFT: How is volatility distributed around earnings for MSFT? 1 day realized vol (garman klass) So realized vol happens all on earnings day (in this case). Why bid on forward vol...

To the extent that the thing your trading is a martingale, that is, the fair value in the future is the value now, there is a theorem that says there is no optimal stopping strategy. https://en.wikipedia.org/wiki/Optional_stopping_theorem But if you know the fair value in the future is away...

Check out CRWD 1 week forward vol at 32%. Realized 7 day (about 7 trading days between now and Sept 8th expiry) is almost never below 32%: Outside of earnings a calendar spread would be a no-brainer. But earnings adds too much volatility to the returns. Here is a very convoluted attempt...

Isn't the yield on cash in IBKR really close to buying treasuries yourself? Sweeping cash manually at EOD costs the 1c spread which is as much as half or all of the daily gains on SGOV.

Yes but what matters is risk adjusted returns. What is the sharpe? If the sharpe is is better than the index, you can leverage the better sharpe and get better returns for the same risk.

Did you shift RV to be about 20 trading days after IV?

As others have said the weekend is giving you a completely unrealisitc diagram. Vol needs to be recalculated using trading days. Friday/Monday vol trades on the index will always appear to be an "arbitrage" in calendar day volatility but it's just a bad model. Contracts are priced in trading...

Vomma is higher for OTM then ATM (where it's close to zero). Therefore going long OTM strangles and neutralizing vega by selling ATM straddles has positive vomma and zero vega and therefore profits on any move in IV so long as the underlying stays close to the ATM strike. Vol Rising: Vol...

INTC new lows last couple of earnings. Down at least 5% last 10/12 earnings. Market's offering 3:1 odds that it doesn't happen again. OK.

100% loss.

Just fitting the histogram over the last 12 cycles. Post your own fill if you've got something better. I'm guessing this way to trading has a very small positive edge. Hence the <1% position.

Building on MrMuppet, skewness is the technical term they are referring to.

The fair value of a spread is it's expected value (suitably discounted). https://brilliant.org/wiki/straddle-approximation-formula/#straddle-approximation-formula