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I usually delta hedge my calendars with a really wide hysteresis band. The calendars are usually closer to ATM. Be careful using the data you provided. Remember the straddle price = Event vol + non event vol. The non event vol = stock vol + market vol. So your straddle prices will have a...

The backend is R and the front end is javascript. Rstudio created a UI called Shiny which allows R and Javascript to easily flow together.

I am short both in my Royal Bank Account: GS 210/212.5 JUL19 strangle for avg 5.82 JPM 114 JUL19 straddle for avg 2.81 I own a few garbage XLF puts as a hedge. Sorry for late post, just getting home. I had limit orders in and they got hit.

I'll respond to this later in the evening Jon :)

Hey guys just want to mention the SWKS calendar Jul19/26. I am in on the 81.5 Cal and 82.5 Cal. The 81.5 cal avg .71 and the 82.5 cal .73 It's the best risk reward trade I have come across in awhile. Just make sure you take off the trade tomorrow morning no matter what. I am in size relative to...

Jon I am very happy you joined the community. I am learning a lot from your posts and the data vendors you are presenting. Keep posting! I do not know how Market Chameleon calculates their implied move but I am getting a bit different numbers. They most likely use a term structure model which...

Hey guys, in the paper, they hold through earnings. T0 is the day of the move. T1 is the day after the move. Jon can you give some more colour here? Are these long vol plays? Thanks I REALLY like short GS vol here. But make sure you close the position first thing. It looks like most of the...

I am only 1 year older than you and I totally understand the feeling of not knowing what to do with your life. We are fortunate enough to grow up during a time where we can learn everything online! The benefit of going to school is the classes are structured so you don't end up skipping over...

I structure my trades depending on the log(implied move/realized) move. Personally I have never bot a strangle with a clear bias. You can structure them however you want, just make sure you are not over paying!

also jon, if you think the implied move is cheap, you want to buy strangles rather than straddles. I fall victim to this all the time. An increase in vol affects the (lets say 30 delta) wings much more than the ATM.

Sorry Jon, my chart is if you were short the At the money forward starting straddle at the close the day before earnings and then closed it the following day. Which is the theoretical delta neutral 30 day to expiration straddle. The straddles are not delta neutral because there is no 63.29...

Here are some of the stats I have for PGR. Implied Ernings move is 3% this quarter. It usually is 3.3% so you are right, it is a bit on the cheap side this quarter (especially after such a big move last quarter). But it seems like on average, there is a premium to the straddle price. The max...

I have actually found the opposite! The short straddles 1m to expiration have performed very well except for the last earnings. I went back and checked a few of the straddles from your data. They are not delta neutral at inception and it just so happens that the past few events happened to move...

Thanks Jon! I am going to try and break it down more in future videos. Explaining is an important skill I need to work on. Iv is still bid during the early part of the day so the extra IV is most likely to compensate for the jump < move. A neat paper to write would be selling vol @ 9.45 and...

Thats a good point. They only had an R^2 of 2% as well (with significant Tstats). I really enjoyed it because it goes against the belief that implied vol before the event is over priced.

Enjoyable read regarding earnings premium before and after the event...

Hey guys! My application is ready to go! The only thing I currently have left to do is video documentation for each variable. I will be doing a new variable everyday. Let me know what you think. I am not to nimble with iMovie editing so take it easy on me :p

I collected .88 per I was short the synthetic fly. Nice call on treasuries as well (group chat). I have nothing on my radar the rest of the week. It looks like earnings pick back up next week.

Check out the link magic posted. It's an atm forward starting. Nice winner for both of us today!

Cool. It sounds like you guys were running a long vol book. Would you mind elaborating a bit more about your strategy and why you looked for long vol opportunities rather than short vol?