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ever heard of anger manegment ? On Ingore

Those stats are not IV related , just a simple average of percent change. BTW , some pre/after report IV stats/ratios are very accurate too.

true , most of the times same vols as DIA... Yes , trade was a balance against basket stocks and partially against basket naked puts (like u did it in your file)

I wish this too... 90% of my trades are vols before events. I didn't see any vols action threads on ET yet.

does anyone ever traded DXL instead of DIA ? Perfect correl , same (and sometimes lower ) vols. I bought 7 - 1080 jan puts in the last two days instead of 70- 108 DIA puts and saved a bit on commissions. Why this product is so illiquid ? No volume what so ever.

from my understanding , original poster wasn't looking to close the position (with 5$ move straddle is not profitable yet) , he was looking for adjustment

If price drops to 425 and I still like the trade ( waiting for more price action or spike in vols) , I would enter new , 425 straddle (delta neutral again) without touching the first position.

how about trading Max Pain on the "after fact" bases ? Like buying a put/shorting[call/long] at Friday before close (or Monday) on stock that DID moved to Max Pain strike , betting on price unsustainability/reversal

I'm tracking % change on the day of quarterly report for almost every liquid (price>10 and daily volume > 150k) optional stock. For the last four years ( 13 quarters , 20000 results) , the average % change was ... absolute zero. Average price before report = 32.3 Average price after report...

for whatever it's worse.. here is short summery of this position: 1. Very (very) low risk 2. Portfolio is hedged , where amount of long DIA puts comes from AveBasketPrice*TotalShares/DiaPrice/100 3. Every stock contributes his portion for purchasing the DIA puts via sell of calls 4...

no , no offence here... I was NOT advocating this strategy , I just posted my opinion .

should be "sell puts"

wow , so much negative comments , sorry that I post this file , I should of known better... Anyway , I will post intra position adjustments when necessary. Looks like I have a first huge winner (PFE +12% in pre-market). I will sell some and buy back corespondent portion of DIA puts

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does anyone knows how to cut&paste file into the post ?

Sorry for confusion with the ratio... Mistic , I am still in the process (long one) of learning the greeks , especially on the portfolio level (when I grow up , I want to be just like Riskarb , lol), but I'm in total control when its comes to ratios , correls and ABS % changes here. Let me for...

just to be clear on the ratio : for every 200 stocks sell 1 cover call

you mean that I should buy deep ITM calls instead of stocks ?

Current Basket-IV / Index IV ratio=2 , I will go with reverse dispersion for JAN again : Long DOW stocks Sell slightly ITM components calls (ratio is 1:2) Buy DIA ATM puts , where premium received from calls = premium paid for puts. Worked well for me last month.

yes , I took 14 days Egar trial (and NOT impressed at all , but it's off subject now). Correct , I only did the full replication so far , but after reading posts on this thread , I am looking into partial replication (currently testing). Thanks for your post , I will look at Beta too.