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Sorry for being dense but what exactly is the play here? You buy a straddle or strangle and then place limit orders during after hours sessions?

Nice trade Magic. Not sure if this answers your question but I really like Dr. Russell Richards' work and he just posted a white paper on using EV (expected value) to determine best strike prices and setups. I don't know if you can apply this to earnings trades because of the rapidly...

Anyone know when AGN usually confirms their earnings date? Seems to be some speculation it will either be this week or next which splits up the weekly option period. Not sure how to trade this uncertainty.

Good point. It does look like the straddle price (on average - thick black line below) seems to rise the few days before earnings so one may buy it now and if you get an pop before earnings take your profit and run. If not, perhaps hold through earnings.

What does everyone think of TWTR? According to my math the implied move is 10.3% which seems rather low given prior cycles.

Do you know how to model calendar trades after earnings? I can't seem to figure out the proper IV at T+0 and T+1 for each leg and they never look like I expect (which usually costs me money)

IBM does look cheap enough to give it at try

Hang in there man. If this was easy we would all be trading from our yachts. We have to learn from our losses, keep our positions small, and live to fight another day.

This is exactly what I have been thinking for the past few weeks. I feel like all my trades are too correlated to the VIX but was not sure how to actually implement something like this. Would love to read more or learn from your posts or videos. Thanks for sharing.

Thanks. I am learning a lot here as well. Agree about possible overfitting. They have another chart they are called RV (relative value) where RV equals the daily price of the ATM straddle divided by the current price of the underlying. Using this chart helps to visualize how cheap/expensive...

Implied move for GS looks smaller than past few cycles. Would you do a fly here?

Yes long vol plays similar to the paper where you long an ATM straddle and close before earnings. Chart of MCD ATM straddles heading into earnings below (we are at T-8) so this suggests closing around T-3 for average 9.7% profit over past 8 cycles: chart is from https://www.chartaffair.com -...

I am still reading this but there is some confusion on if they are actually holding through earnings. From the article I believe T=0 is the earnings date but they are not accounting for earnings that are released pre-market or after market closes. My guess is their results at T=0 includes a...

Thanks!

Interesting. I am not sure why their straddles are not delta neutral unless their prices are from open the day before earnings vs. end of day prices.

PGR reports on July 17. This seems to have been a good long straddle in the past with the actual stock move outpacing the implied move 6 out of the past 6 events (table below). Price of the ATM straddle appears to be running slightly below average this cycle (chart below - red X at current...

Not sure what happened to Jeff Augen but he used to write about shorter term intraday moves like this in his books and probably has all the intraday data for 10+ years. I think he is busy just trying to sell his technical indicators now which is a shame.

Very nice and slick looking interface. Great work. To be honest some of your explanations were a bit fast and over my head so depending on your target market you may want to slow thing down a bit and explain the theory behind each idea/feature. Would love to see some walk throughs of...

Hi. Most of my trades are pre-earnings (long vol.). I have done maybe 20-30 trades where I held through earnings. Usually selling tight ICs or ratio trades but had limited success where a few big losses seemed to wipe out all my gains.

Agree about win %. Has anyone used Estimize or looked at the trend of analyst revisions heading into earnings for predictive power? I remember reading a few papers awhile ago where upward/downward revisions seemed to have some predictive power but perhaps that was a good idea a few years ago...