my desktop is good, however I am having problems on mobil
Earnings journal
- Thread starter TheBigShort
- Start date
I am fine on all platforms
Hey guys, found something quite cool. If you model Abs.Jump ~ Excess Vol, you get some pretty interesting results. Excess vol = 10 day vol of asset before earnings - 10 vol of industry etf.
Here is the regression.
However once you incorporate historical skew and revenue dispersion into the model you get an R^2 of .41!!. This is on VFC. The full estimator has a expected move of $3.8 for VFC (options priced reasonably)
Here is the regression.
However once you incorporate historical skew and revenue dispersion into the model you get an R^2 of .41!!. This is on VFC. The full estimator has a expected move of $3.8 for VFC (options priced reasonably)
My win rate has been really high since the journal inception. Only losing on 2 MS positions. However those were my biggest positions and because of that my account has entered the red. Maybe you would be more interrested in overall portfolio prformance. What was your strategy holding through earnings?
How are you sizing it, based on the expected return or based on liquidity?
Based on MktCap(but I guess this would be the same as liquidity) and Expected value of trade (implied move - predicted move)/implied move. Max position size is total risk < 5% of account and min position size, max risk > 1% of account. Max risk calculated as debit on flys and debit on straddles.
This could defiantly be approved upon but it seems to have been working for me over the past few months.
Win rate doesn't tell you much. During last qtr few long straddle wins overcame lots of small losses
Here is my earnings portfolio since I started the journal.
