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The market assumed a 3.6$ move would happen roughly 11% of the time (assuming mean 0) by the close tomorrow. The implied close-close move was 4.5% right before the close today.

Small earnings surprises are usually a really bad predictor for the stock move. You only see a strong correlation when the beat or miss is very large. Edit*If you look at the stock price over the past week, it really showed its hand on what the market expected to happen (moved priced in?)

Looks like a major win on both positions. Woohoo LOL

INTC long straddle for 2.35 WDC Short 40 straddle 3.75 BOT wings for 9 cents. LEA looks like it has a ton of edge but I have not had enough time do research. Also I recently fell in love with violin plots, they paint a nice picture. Maybe some of you will fall in love as well. Absolute move...

Positions were really small, so not a big day, but closed both straddles for a nice winner's. AAL for 1.65 +.35 LUV for 2.20 +.45 This is a very insightful post. I will be buying the delta 1-5 wings for a few pennies and selling a straddle, only to close the straddle the following day and...

Right! But before that event LULU moved on average 7% with one previous move larger than 25%(when the company was still fairly new). In order to price these moves in, you would need to charge a pretty outrageous premium which may be unreasonable considering we dont really know how big the moves...

Hey our AAPL diagonal is doing pretty good! Are you still holding? This topic is really open for debate as Neww has a strong point. However take a look at TIF return distributioin after earnings( rounded to the nearest 10th). [1] -11.800 0.990 23.200 -5.000 -1.580 -1.320 -8.710 2.710...

Let's say I looked at the past 50 earnings jumps of TIF and the kurtosis of the returns was 6 and the vol surface for the closest expiration to earnings was flat. Even if implied vol in my opinion was rich, would it make buying the wings reasonable?

Your absolutely right Neww, that trade was just devastating tho. The original straddle was 2% of my account I ended up losing 10% of net liq (it was like 2 months of hard work gone in that one day!). I'll give it another shot with some small positions. Short LUV straddle for 2.62 Short AAL...

Are you noticing anything for today? I am just about to run my screener

NICE trades dude!! ABT was largest position. KMB was my biggest winner and UTX my biggest loser. . Managed to sneak into the green. UTX was my smallest position I noticed your doing straddle/strangles. I got in touch with Eaun Sinclair a few months ago and he said all earnings plays should...

Looks like it's going to be a very nice open for your long straddle. Nice trade

Wow just got filled on everything 10 seconds into the close. Spreads were to wide in the flys, had to do synthetics.

Hate to be taking the other side of you here, but short the UTX 102/111 111/118 synthetic fly for 3.65. I hope you are right as I only have a small position. Waiting for fills on others

I cant find any longs today! In my opinion the premium is really rich across the board. IBM looks fairly priced to me. What do you have as the implied move for UTX? I have it at 2.8% Names I will be shorting today. ABT, IBKR, AMTD, ZION, CMCSA, KMB, TEL. I noticed that vol ramps up last 30 min...

@srinir looks like a busy week for us. I have 20 names to look through today. Current earnings positions (MCD is a currency hedge and I am short half of my Vega using SPY in my RBC account)

LOL thanks, but alot of my knowledge is thanks to the guys mentioned. I am not a merger specialist, you might want to get @newwurldmn opinion on that (I think he has done a fair bit of these). I am out of my position. It does seem cheap but don't forget it's tied to BMY price so you have alot...

sweet!! Thanks kev.

That's interesting, because even I don't know what I am doing :P. Thanks sle, I will head over there.

Hey guys, does anyone have the history of US holiday dates for the past 10 years? Or know a website I can scrape it off of?