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How do you like them AAPLes? :) PS. I just sold some vega and it's realising buckets...

Sorry, to be clear - AAPL vol itself is a sell and QQQ vol is a sell against AAPL vol.

Disagree with this statement. Implied 1-day move in AAPL is 8.7% right now. Implied 1 day move in QQQ is 1.7%, which, divided by 12.5% weight gives you like 14% implied move. Personally, I think this vol is a sell.

Boring markets, so I got time on my hands :) Well, I actually stay away from anything illiquid (given that I run a large institutional book). For a non-market-maker, the general assumption on execution is that you are always going to get shafted and should plan accordingly. Of course, for a...

The earnings move was perfectly priced in - the 57.5 weekly straddle went out at 13.6% last night and after-market move was pretty much in-line.

It's very tempting to look at RV-IV spread do establish richness and cheapness. However, in single stocks overly large RV-IV spread (in either direction) is indicative of either an upcoming event or a recently passed event in most cases. There are a few ways of looking at it, but in general, you...

Actually, how about looking at the total number of gun-related deaths per capita. Not surprisingly, US in that ranking is only behind 3rd world countries. Any reasonable argument in response to this data?

I was trying to be more subtle and ask him where the initial probability come from :)

I would say the market gets it wrong rather frequently for a variety of reasons (systematic risk premium, actuarial risk, consistency bias). You do, however, need a systematic process to find these opportunities - e.g. check out the Google earnings thread for some thoughts.

I would say that unless you have worked at a few sell-side firms, no book would help you understand what the game is all about. Most of the books are either written by journalists that have an agenda (usually, along the crime-of-the-century investigation line) or by burnouts that want to prove...

I am sorry, where does the initial 80% come from?

Actually, please do elaborate! I am in the market for a summer house now too and would love to hear how that makes me a bad trader. PS. from the pure trading/investment perspective, getting married is the worst trade you could ever make - you are swapping a depreciating asset against the...

This qualifies as scary sh*t in my book!!

I am hoping to make the option sub-forum a better place :cool: On the calls - in general, making the calls is useless unless there is an analytic discussion about the basis. E.g. I made the call to buy straddles based on historical earning moves etc - it would be interesting to hear some...

(a) OP did a great job. He had the brass to buy far OTM directional with high loss potential and had the will power to stay in the trade until now. (b) I would challenge OPs assertion that it's better to ride an earning surprise move as oposed to a fade the initial jump. It would be...

There we go again. I will repeat it one last time: "being always long or being always short risk premium is stupid". This time it was the right opportunity on the buy-side (I was long calls against delta, as I said), for reasons see my analysis re implied moves earlier in the thread. Hedging...

Except some idiot (yours truly) sold delta way too early... :(

Soo... 939ish after the close, i presume the OP is selling delta to lock in his gains :) PS. I was long the 890 calls against delta, so I got roughly a b/e move but it did look like a cheap lottery ticket.

(a) 3.7% B/E is lower then both mean and median historical earnings moves. (b) naive ranking of 3.7% in the historical earnings is ~20th percentile (28 of 36 obs higher). (c) Z-score (b/e - mean)/sdev is -0.35. Sorry, maybe I am being slow here - where do you get 84% probability of loss?

In a perfect world, even the OTC markets would be marked to market on frequent basis (there is Totem and the brokers market, after all). In an imperfect world, you have all sorts of cheats and liars so the less transparent the market is the more damage they could do. Personally, I would love for...