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Well it depends. When volatility is low my RSI 13.7 coupled with my exponential mass weighted MACD (6.8,13.2, 48) can see 2 weeks into the future with very little noise. The tricky part is measuring what the volatility will be. But in general a good technician/indicator should see about 2 weeks...

LOL cmon man, at least make it believable.

https://orats.com/ it is a data provider.

Are you mostly long gamma going into earnings? I have found that long gamma trades across earnings are very rare, except this quarter I have noticed a few popping up on my radar. In fact this week, I want to be long gamma in a few names. Any names on your radar right now?

This is really high, if you can find a way to incorporate downside/upside vol, you'll have a pretty good model. Let me know of your findings

Regressing SPX realized vol on to VIX gives us a an R^2 of .73 which is slightly higher than regressing the SPX change vs VIX change of .67. This plot will give you an idea of where the VIX will be given a realized vol. So what I am thinking is if SPX drops 50 points by tomorrow than the 30...

sorry, **if you can create a model that will give you a better estimate than the current implied vol. Then you will get a better estimate of the instantaneous vol. You can still use BS, just change the input of the implied vol. Have you looked into Local vol? It is based on BS but gives you...

sorry for hijacking this thread but I forgot to mention, if you have a better model than implied volatility then your local vol output will also be much better. GL

I think your answer is the local vol model. Given an implied volatility surface. If the index/stock moves to X right now, what will the implied volatility be. It is not too hard to back out the vix from the implied volatility.

I agree this regression will not have any explanatory power. Another thing to keep in mind is vol has a time component, the index price does not. A 50 point move in SPX in 5 min will have a very different effect on the VIX than a 50 point move over 5 days. You want to compare apples with apples...

The first reason is because there is a finite amount of money. You can't create money in the market, it has to come from someone else's pocket (unless you are investing in cooperate retained earnings). Then you have to think how the market evolves. The smart people will make money and grow...

fantastic read. Here is Benter's 1995 paper.https://www.gwern.net/docs/statistics/decision/1994-benter.pdf They should really make a movie on this story. Especially because most of the story is in Asia, this could really reach a wide demographic of people.

I have found that certain fundamentals change the distribution of earning moves. For example growth stocks (high price to book relative to ROE) have a ton more kurtosis in their distributions. There is also evidence that high debt to equity stocks get hurt more when they miss earnings. I read...

Hey guys, I am currently spending some time working on a web app that will help with trading earnings. I would greatly appreciate if you could comment down below some variables and or ideas you would like to see on it or have helped you with your earnings trades. So far the variables of I have...

I know right!! Alot of his articles are about how gamma and delta hedging move the markets. I thought that was only a drop in the bucket in regards to total volume. Do you have any insight on this?

he's talking about the long call short stock. Instead of looking for the "holy grail of options", I suggest you start here. https://www.elitetrader.com/et/threads/atticus-ship-it-vol-trading-journal.248751/ There is enough option terminology in this thread to get you started down the rabbit...

So buy the straddle and sell the wings? This kind of smells like a short butterfly. That does not sound like it will be generating any alpha to me. Maybe if you look at the skew and you realize that the wings are higher then they should be, then sure.

It seems like you know more about options than I do. Let me know when you find out how to pay for a straddle without taking on more risk. I will be happily waiting to transfer you all my money :)

ah, my apologize, i thought i saw cash secured stock. You cannot cash secure a short position. You receive cash and your loss is far from secure :)

I think you are still yet to read a few books on trading options. 1) vol trading Euan Sinclair 2)Robert Rebenato volatility and correlation. Everyone wants to be long "cheap" gamma/vega. Figuring out that selling stock and buying a call = a long straddle, will not make you money. Ps. I think...