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Apple Earnings play
- Thread starter Optrader1
- Start date
hi guys... ATM?
Thanks anyway for the link but heck, what a crappy piece of ware. This oneâs free for a reason.Quote from cszulc:
Glad to pass it on. It is called OptionsOracle and is a freeware program from SamoaSky.
Although it doesn't have the backtesting tools that OptionVue has (I wouldn't use it anyway), it is equal to the performance with saving the $1,000+ price tag of OptionVue.
http://samoasky.com/
Atticus, I looked at the fly you suggested on TOS and the profit range is actually way tighter than what I suggested. Also, I think it is very similar to my trade, but I still don't understand why buying front months instead of further out is a superior trade.
I am sure there is something I am missing and would really appreciate your insight (or anyone's else). If possible without too many greeks LOL
I am sure there is something I am missing and would really appreciate your insight (or anyone's else). If possible without too many greeks LOL
Let me try: itâs respectful bull. This is the trap of programs that apply ONE vol setting to ALL legs in a combo, instead of modelling them separately. Itâs secretly rooted in Black-Scholes paradise.Quote from Optrader1:
"Trading duration flips it from short to long vega."
Could you please explain this? Appreciate your comments.
Think about it: vega measures your price change when volatility changes. Well, when *which* volatility changes? Leg 1âs, leg 2âs? All have their separate ways: a 4-legged combo has 4 vega inputs (not their current vols, but their separate changes!).
Probably (I donât know because I *know* I canât model it) you are right by going farther out with your long legs.
Just buy a ton of 180 calls
Quote from Optrader1:
Atticus, I looked at the fly you suggested on TOS and the profit range is actually way tighter than what I suggested. Also, I think it is very similar to my trade, but I still don't understand why buying front months instead of further out is a superior trade.
I am sure there is something I am missing and would really appreciate your insight (or anyone's else). If possible without too many greeks LOL
You're in the trade simply because May vols trade at a premium. Vol is an illusion in May; price a .25 change in the atm call or put and see how the vol-line is affected.
Earnings-bets are generally a waste of time unless you've spotted a vertical skew that is exploitable. Unfortunately, it will still involve shorting gamma.
I am not trading AAPL into earnings so I've no interest in modeling it, but I already suggested modeling a 10-handle loss to May and 3 in Jan. If the trade works with those vol-inputs under one sigma on stat vol then go for it. I expect you'll trade it regardless of how it's vetted.
Quote from nonprophet:
Let me try: itâs respectful bull. This is the trap of programs that apply ONE vol setting to ALL legs in a combo, instead of modelling them separately. Itâs secretly rooted in Black-Scholes paradise.
Think about it: vega measures your price change when volatility changes. Well, when *which* volatility changes? Leg 1âs, leg 2âs? All have their separate ways: a 4-legged combo has 4 vega inputs (not their current vols, but their separate changes!).
Probably (I donât know because I *know* I canât model it) you are right by going farther out with your long legs.
I didn't model it. I suggested modeling a 10-handle hit to May and 3 to Jan. To suggest it's not long vega is nuts. Each month added in duration increases vega and decreases gamma. Most would play the inverse.
Not only is it a LEAPS time spread, but diagonal favoring duration [deferred bets trading inside]. More vol-risk than a same-strike time spread.