I tried to dig into it, but I've got too few sources that I consider trustworthy (and too many distractions today. Argh.) Looking at price movement in the last few minutes, seems like someone is dumping it, hard.
Earnings journal
- Thread starter TheBigShort
- Start date
I tried to dig into it, but I've got too few sources that I consider trustworthy (and too many distractions today. Argh.) Looking at price movement in the last few minutes, seems like someone is dumping it, hard.
Wow that's a lot of vol in algn
Holy Toledo. This is looking like a 3sd move. Eek. Thank God we didnt take it.
This earnings will be slow for me for several reasons. One of the main reasons is 99% of my portfolio is in an arb. That limits me to the number of trades I can take.
Holy Toledo. This is looking like a 3sd move. Eek. Thank God we didnt take it.
This earnings will be slow for me for several reasons. One of the main reasons is 99% of my portfolio is in an arb. That limits me to the number of trades I can take.
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I guess if it's to good to be true. It usually is
I have a buddy who trades like this when he is long vol. Sticks his offers/bids out there in the extended hours and hopes to get hit. Might as well lock in your profit when you can instead of risking the after earnings vol crush.
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?
Can you elaborate on this arb trade? Are you trading exotics?
TSEM Straddle + Hedge net PnL was +0.314
SNY Straddle was +0.13
Aggressively hedging the Jump on the long vol positions to reduce the huge swings. Not 100% sure what IV figure to use. I'm calculating the deltas with the exErn figure but backing a little out to allow for the time it takes post-open for the vol to come out.
This already seems like it will work much better. TSEM straddle rapidly lost like 0.5 right after the open; that would've been a disappointing loss without any hedge but instead was able to keep a nice gain.
I can not go into detail @Philo Judeaus
So you tired hedging the long gamma? Did you trade over night/before market open (This is where the majority of the vol is)? Ex earnings iv sounds reasonable. How many hedges did you get in here? I have not tried this approach so I am curious.
At present I've just been trying to do a single hedge when market is closed, after the Jump seems to stabilize. It's better if price comes back toward my strike with a vengeance.. I quickly become over-hedged and can realize even more profits. Or if price continues in the same direction at least most of the gains are locked in.
Still don't have an operating procedure I'm super comfortable with though. This seems like it should mainly prevent decent gains from rapidly bleeding away.
Still don't have an operating procedure I'm super comfortable with though. This seems like it should mainly prevent decent gains from rapidly bleeding away.