The important question is how are you determining if an earnings is rich or cheap? Just looking at past moves?
Earnings journal
- Thread starter TheBigShort
- Start date
Past moves, Past Implied Move/Actual Move, How much are similar companies moving, How the company reacts to surprises, 10 Day realized vol, Earning dispersion and Seasonality are all the variables I look at for an event trade.
For a pre event trade (close position before earnings) I only look at avg implied move before earnings, dispersion and forward vol vs current 20 day and 10 day historical vol.
I also price the butterfly vs a straddle to look at the skew, although I have not found anything predictive by incorporating skew
I of course check the company news as well. ISRG straddle was insanely cheap today, earnings next week. But they announced preliminary quarterly results, so I did not end up taking the trade
Out of DAL @ 3.50. Very nice winner
Instead of adding, hedged delta's at two places, 80.93 and 81.24. Looks like this is going to run away from me
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I took a deeper look at UAL today, and the stock shows significant PEAD. I am going to play this one post earnings. Contemplating selling vol over the jump and hedging at 100 delta in the morning. Will keep you posted.
Out of ETFC for .62, the thing wasn't moving.
Long BERY 50 straddle Feb for 3.59. It's some nice long gamma going into earnings.
Having trouble finding any event trades today. Major banks priced fairly and UAL looks like it's reasonably priced as well.
Long BERY 50 straddle Feb for 3.59. It's some nice long gamma going into earnings.
Having trouble finding any event trades today. Major banks priced fairly and UAL looks like it's reasonably priced as well.
Because these are earnings plays called well in advance of earnings. Exact timing of the entry is not that critical -- the play either works or it doesn't. BERY doesn't, for example, report for two weeks, you have plenty of time to get a better entry than BS did.
Option Investor, on the other hand, was claiming hindsight fills when the exact timing of the fill meant the difference between profit and loss.
I am option investor muhahaha!! My fills are on the tape. I am mostly doing this to learn from guys like @srinir @Kevin Schmit @destriero @sle @newwurldmn I would assume they will chime in once they see the journal get more traction. For the smaller names I post, I am the only volume so you cant miss me.
Also it should only take about a week before @destriero sniffs me out as a fraud (fingers crossed)
Also it should only take about a week before @destriero sniffs me out as a fraud (fingers crossed)