Hey @TheBigShort, great thread man I have learned a ton following your posts.
This post particularly, I was wondering what software is this?
Cheers.
Earnings journal
- Thread starter TheBigShort
- Start date
Hey @TheBigShort, great thread man I have learned a ton following your posts.
This post particularly, I was wondering what software is this?
Cheers.
Hmm, bought ORCL a while ago since the vol was pretty cheap. But then the stock didn't really move much and vol never came in either. Had a moderate loss from the short theta.
Since vol never came though; I just decided to hold through earnings since they seemed understated. Got a nice jump here that brought the whole thing back to flat.
Nice gamma scalp here on MSFT as well.
Since vol never came though; I just decided to hold through earnings since they seemed understated. Got a nice jump here that brought the whole thing back to flat.
Nice gamma scalp here on MSFT as well.
EARNINGS SEASON STARTING TUESDAY MORNING!!
We have come along way on this journal. I have no doubt we will see some incredible returns from some of you this season especially from @oldmonk. He has done some great research post Q1 earnings season.
Personal goal is 40% on net liq by end of August. Max risk will be the usual 5% of netliq.
We have come along way on this journal. I have no doubt we will see some incredible returns from some of you this season especially from @oldmonk. He has done some great research post Q1 earnings season.
Personal goal is 40% on net liq by end of August. Max risk will be the usual 5% of netliq.
ORCL worked out nice for you. That straddle was almost a double bagger!
That software is Bloomberg. I have created a better application which I will be posting on this journal over the weekend. For those interrested it will be 1k a year to use or $150 a month.
Lol no pressure then. I won't be posting trades here this time round. Good luck to all of you.
Huge loss for the team.
I am much too excited about an earnings idea to get much sleep tonight. I think we need to incorporate skew into our implied moves.
Here is the formula for those who want to incorporate it in your models.
We calculate a log linear skew and use that to price a variance swap for 2 different maturities. From there it's pretty straight forward calculating the implied move. Here is the variance swap formula with log linear skew from MS.
Once we have our (more accurate) implied move we combine it with our fundamental model to come up with an expected move. I think we need to start taking into consideration the implied move as it has important inside information priced in. Hopefully I can get some help in my recent thread with combing the two models (my model + the implied move)
Here is the formula for those who want to incorporate it in your models.
We calculate a log linear skew and use that to price a variance swap for 2 different maturities. From there it's pretty straight forward calculating the implied move. Here is the variance swap formula with log linear skew from MS.
Once we have our (more accurate) implied move we combine it with our fundamental model to come up with an expected move. I think we need to start taking into consideration the implied move as it has important inside information priced in. Hopefully I can get some help in my recent thread with combing the two models (my model + the implied move)
Have you tried comparing these implied moves from the one derived from the forward vol formula? How different are they?
I fell asleep last night. I just got home, I have some things to do first but I will let you know! I would imagine it wouldn't make too much of a difference for short term expires. None the less, I am trying to make the implied move # as accurate as possible.
Really nice magic!
I couldn't trade today. I am really trying to get this app tweaked right now/work. But I would have also been short FDX going into the event. FDX was way overpriced in premium terms and imp move terms vs it's peers.
MU did not look like a short vol play to me. The variance swap skew formula had MU priced at a 9.35% move! The ATM straddle ($2.59) was only implying 7.1% move.
There was most likely information we were not considering.
I couldn't trade today. I am really trying to get this app tweaked right now/work. But I would have also been short FDX going into the event. FDX was way overpriced in premium terms and imp move terms vs it's peers.
MU did not look like a short vol play to me. The variance swap skew formula had MU priced at a 9.35% move! The ATM straddle ($2.59) was only implying 7.1% move.
There was most likely information we were not considering.