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@newwurldmn Did you get out okay? I closed at 6.64! Turned out to be a nice winner. TWTR did really good for me as well but I did not post fill. Bot the Straddles for 3.44 sold for 4.96. Account up +9% since journal. Lost on UTX and SNV.

Given the current term Structure it is obvious I want to be short vol. On the front month. Where I am looking to improve is, can I buy some "cheaper" risk premium somewhere else? I'm thinking I could buy some Oct with a root time hedge ratio but I doubt that will provide me security if we get a...

Contango/Backwardation is really persistent. Looking at the auto correlation between M1/M2, if today is in contango/backwardation tomorrow will likely be the same.

A clear negative relationship between spx 30 day skew and 30 day Vix price. Since skew is a stationary asset, maybe it can be used to predict Vix prices?

Solely future prices and SPX options right now. Eventually I will get into OTC derivatives to help with modelling. I am trying to figure out how the term structure moves. Yea if you could some how show that P/C ratio predicted vol, please do share!

Double checking that the relationship between month1 and month2 move in a sqrt manner. Using a robust regression, we get "almost" sqrt root returns. Slope of the regression is 1.37 (I think we can safely say that returns remove in a sqrt fashion). You can get burned in any product. Besides...

Mean log spread between spot and Month 1 of Vix Futures by Bus Days. Looks like the largest spread happens around the 20 bus days DTE mark. Thanks, any help is good. I will take a look at the link. Trying to steepen the learning curve here.

This is the relationship between f1-f2 contango and F1 returns. It is obvious (R^2 of .11) that when the curve is in contango, sell vol on the front month.

Last week I sold July Futs @ 16.13 covered yesterday @ 16.03 Bot VXXB May17 36P @ 10.29 (last week). Reasons for trade were steep contango and hefty premium from spot.

I have elementary knowledge of how the futs work. My goal is to build up enough trading experience to create a systematic strategy/app to help my senior. I will be providing code in R and occasionally in Python. I encourage all of you to add your thoughts. This thread may get cut short due to...

Earnings season is going so far so good. Need some help with TWTR tomorrow (biggest position).

Yea, it's really pushing high here. Usually the confrence calls are negative. Hopefully, that will push us back down a bit. I did not know you hedge overnight. How's the liquidity? Do you hedge your delta at 100 due to Post Earn Drift?

F*^k, this thing is moving more to the upside than I would like.

I forgot to mention, the skew Pctile on WHR is 100%. Everyone is hedged here. There is little downside. Plus the people on stocktwits are all bearish. Thats enough from me, way to many posts in one day

Bot back the UTX short Calls for a profit. Riding on the strangle (138/133) over night. Edit** no fill on WHR. Vol came in ALOT. This morning the straddle was trading @10.50, we are below 9 now. Not enough edge here Edit** partial fill on 2 WHR 126/139 139 /155 avg 8.74. Wish me luck here...

I am looking at the J lizard - -1x138C + 1x143C + 1x133P for Cr.85 on UTX. However UTX barely took any heat, during the Boeing melt down. Edit** Filled avg -.83. I think this is a great idea @newwurldmn

Why is no one talking about this?! Every article on my news feed is bullish. This could be a massive trade. Maybe a put backspread? There debt has also been growing by 19% CAGR. Some bad earnings news related to Boeing could really hurt

WHR is a fore sure short. The only time the stock gets hammered is when the company lowers guidance. Usually this is due to "volatility of the metals market". Implied mv is 1.4* the avg gap. I don't think we gap more than $5 tomorrow. If we do, it'll be to the upside. Long TWTR Vol (a majority...

I'll send you PM. You can use an R to python converter for most of the functions. No free api that I have heard of

Do you want the R code to scrape the earnings dates? If not here is the link, just change the ticker at the end of the url. You will have to use some regex (I think python uses regex as well) to filter the paragraph for the earnings date. https://www.nasdaq.com/earnings/report/aapl