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Finding alot of cheap stuff today Long straddles: MCK(filled 6.12), BERY(filled 3.00), ITW(working),FBHS(working). AMZN is very cheap in my opinion. But as @srinir mentioned it's to big a monster. Short straddles: Epay(working), Deck(working), Sigi(working). Will post screen shot of fills at...

Update on fills incase any of us want to biggy back. Nice trades tho! Do those stocks look cheap or expensive to you? What strat are you thinking of using?

That TSLAcould not have gone better for you! Was there a specific reason for taking that trade? AMZN looks very cheap and I think I'll take a stab if the straddle drops below $95 by close. Will update with fills shortly.

Sorry, this one has the correct formulas

Is this the orats sheet? I automate this in R now but heres my orginal Excel file. The calculations incorporate term structure and use bus days. If your implied vols are calculated using 365, you will have to change the implied move to sqrt(1/365)*.... and then you can use calendar days for dte1...

Np!Ill upload when I get home or tomorrow morning. In the mean time, here is FB pasts moves. Avg move of 6.9%. That was a very large move today. Wow good thing it was BFLY. @Kevin Schmit voice ringing in my ears 3.81% -18.96% 9.06% 3.32% -2.05% 2.92% -0.63% -1.79% -5.64% 1.35% 7.20% 15.52%...

Hey srinir, just thought I'd mention, your facebook trade (just looking at the short straddle) only implied a 6.8% move which is actually a bit cheap compared to Facebook's previous moves. I always double check the implied moves now rather than use a pre determined model. Ie Bloomberg had FB at...

Did you get any fills? I spent most of the day on research and coding so no trades for me

I took a loss on both positions today. Closed JNPR straddle 2.64(.93) Closed T straddle 1.10 (.15) I have bee doing some research this morning and it looks like EPS growth rate has a strong correlation with event volatility. Just working on some code to back test some stocks and will PM you...

I read this article last week and it got some gears turning. If anyone is interested. https://core.ac.uk/download/pdf/89359124.pdf This also looks like a good read. I am sitting down to read it right now. http://web.mit.edu/lewellen/www/Documents/Earnings.pdf

What was your limit order at? My 1.75 straddle implied roughly a 5.8% move If your interrested we should collab. I am starting to move my data over to MySQL database hosted on AWS server. Could really use some help with creating custom scanners etc..

Srinir we are taking in water on JNPR

WOOOO that is a cool sheet!! Can you talk about it(what program that's in, where your getting your data, etc..)? Welcome to the journal, good luck on your trades! This question is for everybody, I have been thinking about regimes recently. Some stocks like aapl seem to have a somewhat constant...

It looks like T is in a new regime. Implied move is actually 3.5% I think this is a good buy!(abs moves 0 being the most recent) I think T is in a different regime so I took a long straddle here. Just got on the terminal(terrible weather) no time for research. 2 fills Short JNPR and Long T...

Really nice trade. Are you using TA for exits? I tried my dog to the sleigh and am on my way to the terminal

I only have past 6 quarters of historical earnings dates on me which is not reliable to make an assumption on the distribution of returns, but T looks the most expensive to me. I have it at an implied move of 4.4%. Was looking forward to a long straddle in AAPL today but with a 5.7% implied...

Thank you I will take a look! Btw AGN looks like a double bagger. Nice trade on it looks like all your trades!!

Another foot of snow in toronto tn! Looks like GO trains will be cancelled. If you do not mind @srinir could you provide cheap/expensive list, I am limited to data stored on my USB. Thanks in advance.

@sle answer is very thorough, but could you provide the data you used for the sk10 calc? Preferably csv