Yeah, I leg out of them but not aggressively. I would hold it through expiration. Like I said before, you need to be careful with earnings stocks because of the gaps.
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Calendar trade from Maverick
- Thread starter Maverick74
- Start date
Yeah, I leg out of them but not aggressively. I would hold it through expiration. Like I said before, you need to be careful with earnings stocks because of the gaps.
Quote from riskreward:
This is to riskarb, Mav or anybody else who's traded around earnings. How fast do you notice that vols come in after announcements? Is it that day or is it over a couple of days? Or is it near instantaneous? Thanks for posting the trade Mav.
They come in pretty fast, generally within the first hour of trading. If they don't come in the first hour, perhaps because the stock is very volatile, they will more then likely come in the following day.
Whoa, OVTI is up 3.63 afterhours. How would that calendar have worked? Does the big move in the underlying basically wipe out the edge from the skew?
Quote from AAAintheBeltway:
Whoa, OVTI is up 3.63 afterhours. How would that calendar have worked? Does the big move in the underlying basically wipe out the edge from the skew?
Yeah that is what I was talking about with this stock. That's basically a 7 pt pre-split move. You have to be careful. This trade had a lot of short deltas that I would have bought before the report. If you did that, you made out alright. I haven't looked at the numbers.
My advice is to not hold calendars through earnings. LOL. In fact, my advice is never to hold short gamma through earnings.
Quote from Maverick74:
My advice is to not hold calendars through earnings. LOL. In fact, my advice is never to hold short gamma through earnings.
Just out of curiosity -- if your advice is to not hold calendars through earnings then why did you take the time to post this thread and "alert" ET members to the potential play?
Also, if it was such a solid play that presented itself on friday then why did you not take it?
Not flaming -- just curious...
Commisso
Quote from Virtuoso:
Just out of curiosity -- if your advice is to not hold calendars through earnings then why did you take the time to post this thread and "alert" ET members to the potential play?
Also, if it was such a solid play that presented itself on friday then why did you not take it?
Not flaming -- just curious...
Commisso
Joe, I got a PM asking to post a few calendars and I didn't really have any time so I ran a quick filter and this was the first one that came up. This play actually wasn't bad if you didn't hold the short deltas. Once I saw that this company was reporting this week I didn't want to post another trade so I put out a disclaimer to everyone to be careful doing calendars through an earnings report. I believe I clearly stated that this stock has the potential to move 8 to 10 pts on the report and therefore one should use caution.
I didn't take the play because all my capital is in existing positions going into Feb expiration. I made it very clearly not only on this thread but on others that you should not hold short gamma through an earnings report, at least not on a crazy stock, and this is a crazy stock.
Should I have posted a different trade? Yeah probably but like I said this play wasn't that bad if you bought the deltas before the report. This play was just an example of a huge skew in the front month. I never told anyone to take the play but rather used it as an example. The next day I ran my filter and found a lot more plays with skews as large as this one that did not have earnings reports due out. I didn't want to start another thread and post all of them though. I hope this explanation is suffice.
Quote from Maverick74:
Joe, I got a PM asking to post a few calendars and I didn't really have any time so I ran a quick filter and this was the first one that came up. This play actually wasn't bad if you didn't hold the short deltas. Once I saw that this company was reporting this week I didn't want to post another trade so I put out a disclaimer to everyone to be careful doing calendars through an earnings report. I believe I clearly stated that this stock has the potential to move 8 to 10 pts on the report and therefore one should use caution.
I didn't take the play because all my capital is in existing positions going into Feb expiration. I made it very clearly not only on this thread but on others that you should not hold short gamma through an earnings report, at least not on a crazy stock, and this is a crazy stock.
Should I have posted a different trade? Yeah probably but like I said this play wasn't that bad if you bought the deltas before the report. This play was just an example of a huge skew in the front month. I never told anyone to take the play but rather used it as an example. The next day I ran my filter and found a lot more plays with skews as large as this one that did not have earnings reports due out. I didn't want to start another thread and post all of them though. I hope this explanation is suffice.
Good enough for me...
Does anybody have any idea of what the spreads are like post earnings announcement? Do they return to normal or are they widened?