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+1.50

Thanks for getting back to me on this. I thought QStackExcahnge was more active. Do you have another recommendation that might help me model the tails? Assuming I have 40 earnings dates for 500 equities. Maybe I could group by certain factors (mktcap, liquidity, industry, growth, etc...) and...

Big day for us Magic! AZO and KMX barely moved! I'll post fill later

This is a great conversation we have here. Why have we never thought about earnings as a long kurtosis trade? None of us manage over 50 million, we are eligible to trade about 1000 companies 4 times a year. That is way more than enough trades to realize any edge we have. 3 sd puts/calls before...

I have always wondered. If you have to hit the bid to get filled, there is clearly no aggressive buyers. This could be a great thing.

sup OM! You're right. For some reason on ToS the 1147.xx tick happened after market close. OM, has a good point, the trade has excess kurtosis so in the long run the wings might not be as expensive as we think. I thought of something that might be of interest. Selling Vol on companies with...

1155 seems ATM to me. It closed at 1154.xx I see the drop after hours, which is probably because of low liquidity. I was going to short AZO, but I was not keen on shorting an $80 straddle.Good luck with AZO Magic! Are you short OCT? Something I have been doing recently is buying the wings on...

short KMX Oct 87 straddle @7.55

guys, if you are trading theta vs vega you are trading it wrong. The goal is to isolate vega exposure. The strategy is broken down into 2 parts. part 1) Will your daily gamma gains cover your theta bleed. This is equal to your forecast realized vol minus the implied ambient vol multiplied by...

Yes, there are opportunities out there. But you have to find a way to filter through the data. Taking a look at my screener FDS could be a potential log straddle. However, the options have 26 days to expiration, so event volatility is not a dominant factor. Your vega does not counterweight...

It always suffers from theta. Only 1 time (aqua) you made considerable Vega gains.

Hey guys, I thought I might add some more intuition here. What I did was strip out the event vol from the implied earnings move. Each unique coloured line is the event vol in %, 21 days before the event. The data is on Facebook. Each colour is a different earnings event. As you can see most of...

If you put Pele at his prime in a match today, how would he compare?

It happens. Below are the 60day ivol spread and the 60day hvol spread between the 2.

There are 2 ways to actually trade these. 1) Value approach - You convert IV to an event vol and compare that event vol against previous event vols. You also have to consider ambient vol so your gamma gains can outweigh your theta loss. 2)Momentum approach - You build a model that tells you...

So short term is random and long term is predictable? Even Nassim Taleb would be disappointed in you. It's quite clear, that your investment horizon is long term and you have tried your hand at day trading with no success. When we get a bear market, I am sure you will be saying the long term...

Its random right?

Only because I have been coding throughout the night and I could use some entertainment: I never called you arrogant. I am hoping you have been drinking because if you haven't.......this is a pretty sad rant you have going on. You dont have to use the same underlying to make predictions...

LOL so true, I unfollowed. Wait until Handle123 and the gang get on here. I could see this going for weeks. OP will come to his senses when he sobers up.

I was offering some encouragement so you don't jump off the ledge.