Earnings journal

Didn't trade KHC, but a move like that justifies why we get paid risk premium for being short vol through earnings. Also serves as a reminder to always buy wings.
 
Hey guys, I am almost done my earnings/vol application, maybe a few more weeks. I'll be releasing a demo to a a few of you to get some feedback when it's all done. But I wanted to mention a LULU trade that I think is looking ripe and wanted to hear what you guys think. Both bloomberg and zacks are estimating LULU earnings on March 26th (it has not confirmed). The March 22nd and March 29 Calendar spread is implying a 6% move.I think the implied move will be 10% the day before earnings given last quarter it was down nearly 14% and on average implied 10% + earnings dispersion is in the 70th percentile for this quarter. Anyways I was wondering if you guys think LULU will report between the 22nd and 29th expiration. The vol for the first expiration in April is trading over the March 29 vol so I think the market is undecided on the date right now. Thanks.

screen.PNG
 
Shorting DHI vol over LEN earnings. DHI is implying a 3.7% move across LEN earnings. Only moved that much 2x over the last 12 LEN earnings. Pic below is C_C move of DHI on LEN earning dates.
new.rest.PNG
 
Hey guys, some long vol I have on going into earnings. LMK if you guy see any different.
PEP @ 13 realized vol going into earnings is pricing in a 1.6% move. Usually implies 3.5% over last 4 quarters + last move was 3%. Looks like free gamma.

SLB (this one is juicy) @ 26 realized vol going into earnings, its implying a 3% move. Last quarter it moved 8% and on average implies a 6% move before earnings. I am pricing a 25% premium to the current straddle px.

I made some big coin on SYNA and re-invested fully into these trades.

Both of these stocks trade weeklies, so if you want to lock in the theoretical realized vol calendars are available.

I always enjoy hearing your ideas!

Edit* If some of you are in a gambling mood, LRCX has not confirmed earnings, but all my sources (BBG/Zacks/Orats) say it will be on 04/16. The usual 8% move is currently implying a 2.5% move @ 28 stat vol going into the event (for the april expiration).
 
Last edited:
I am in for a small position LRCX strangle 180/177.5 for 8.88. Over the past 4 years, they always report before the Easter weekend. If they confirm, during this cycle, the straddle should go to $13.5
Edit** added some calendars for .97
 
Last edited:
I played earnings too and use options exclusively. But don't analyze as you do. I keep it simple by looking at current vol. I focus more on price action leading to the earning. Let the smart and the brave go first, and then I will make a move. I always have a plan B. That is to take the underlying when assigned and play the long game.
 
If anyone want's to take a look, PSMT is releasing earnings tn and they have already announced Jan-March results. I am short the 50/60 60/70 @ 5.20 risk.

sfwind said:
I played earnings too and use options exclusively. But don't analyze as you do. I keep it simple by looking at current vol. I focus more on price action leading to the earning. Let the smart and the brave go first, and then I will make a move. I always have a plan B. That is to take the underlying when assigned and play the long game.
More...
So you sell options as a directional bet prior to earnings? You should join this journal as we kick off earnings season soon
 
TheBigShort said:
If anyone want's to take a look, PSMT is releasing earnings tn and they have already announced Jan-March results. I am short the 50/60 60/70 @ 5.20 risk.


So you sell options as a directional bet prior to earnings? You should join this journal as we kick off earnings season soon
More...

Did they just announced Jan-Mar sales or pre-announce earnings. I still like the trade
 
You must log in or register to reply here.
Back
Top