Earnings journal

[TheBigShort]

Ya. I have the similar numbers. I was leaning downside because of all the bad publicity. If it was downside move, I was not expecting lot of downside.

With huge error bands around the mean, we have to expect good with the bad with these earning plays

View attachment 197407

Is this the orats sheet? I automate this in R now but heres my orginal Excel file. The calculations incorporate term structure and use bus days. If your implied vols are calculated using 365, you will have to change the implied move to sqrt(1/365)*.... and then you can use calendar days for dte1 and 2

iv.1 and iv.2 are just the iv's for the first expiration and second expiration. use the same expirations for the spx.

 

[TheBigShort]

Sorry, this one has the correct formulas

 

[srinir]

Sorry, this one has the correct formulas

Thanks. I have the same formula except, during Expected move calculation you are subtracting front month days to expiry by 1. I am just using front month DTE. I think my formula came from Euan Sinclair's book.

For FB, your formula resulted in 6.6%, mine was 6.34% which i posted in upthread.

Regarding the sheet, it is not from orats. Orats, I believe uses EOD historic moves. I pretty much close within couple of hours. Opening gap is much more important for me. My worksheet is from Bespoke earnings database. I use Orats, past expected move average which is the difficult to get from other places

 

[srinir]

Looks like FB Bfly is shot completely. TSLA is in good position atleast for now. Any way here are the trades for today.

At the bottom are yesterday's closing trades. HA came back and was not a bigger looser as i thought earlier.

View attachment 197402

Out all positions. Turned out to be great day so far. Made twice the yesterday's loss.
FB -2.94, TSLA +8.65, BAX scratch, COP -0.37, NOC +4.95, UPS +0.34

Will post all the trades EOD

 

[srinir]

Out all positions. Turned out to be great day so far. Made twice the yesterday's loss.
FB -2.94, TSLA +8.65, BAX scratch, COP -0.37, NOC +4.95, UPS +0.34

Will post all the trades EOD

I am not finding any good earning trades today. BERY looks expensive, but has already moved a lot today. AMZN looks cheap, but not touching the wild beast. I will pass earning trades today.

GOOGL spread is the same calendar which @destriero posted here. I opened on Monday for around @14.70 or so. +2.80 on this trade. Thx to @destriero

 

[TheBigShort]

I am not finding any good earning trades today. BERY looks expensive, but has already moved a lot today. AMZN looks cheap, but not touching the wild beast. I will pass earning trades today.

View attachment 197438

GOOGL spread is the same calendar which @destriero posted here. I opened on Monday for around @14.70 or so. +2.80 on this trade. Thx to @destriero

That TSLAcould not have gone better for you! Was there a specific reason for taking that trade? AMZN looks very cheap and I think I'll take a stab if the straddle drops below $95 by close. Will update with fills shortly.

 

[oldmonk]

Forgot to post yesterday - Went short vol on GE,X,MO,IP (butterfly) and NOC (put calendar). Closed all now. Wins on IP, NOC, losses on the rest. NOC was a big winner (made about 70% on that trade). Put me overall up on the day. Turns out I closed X and MO too soon, as they came back quite a bit intraday. Looking at SYMC, CVX as possible trades today.

 

[TheBigShort]

Forgot to post yesterday - Went short vol on GE,X,MO,IP (butterfly) and NOC (put calendar). Closed all now. Wins on IP, NOC, losses on the rest. NOC was a big winner (made about 70% on that trade). Put me overall up on the day. Turns out I closed X and MO too soon, as they came back quite a bit intraday. Looking at SYMC, CVX as possible trades today.

Update on fills incase any of us want to biggy back. Nice trades tho! Do those stocks look cheap or expensive to you? What strat are you thinking of using?

 

[oldmonk]

Update on fills incase any of us want to biggy back. Nice trades tho! Do those stocks look cheap or expensive to you? What strat are you thinking of using?

I got filled on the 17.5/21/24.5 iron butterfly on SYMC for 1.88 cr. It's got a ~10% breakeven range. Decided against CVX in the end. The straddle premium on that has gone down since I last posted. The only one that looks cheap today is AMZN, but I'm not trading that.

 

[TheBigShort]

Finding alot of cheap stuff today
Long straddles: MCK(filled 6.12), BERY(filled 3.00), ITW(working),FBHS(working). AMZN is very cheap in my opinion. But as @srinir mentioned it's to big a monster.

Short straddles: Epay(working), Deck(working), Sigi(working).
Will post screen shot of fills at close