Earnings journal

Magic said:
I only sold vol at 212.5 instead of ratio. Was quite busy this morning and just closed it blind just after open. Bought the day’s high or really close to it. Still a decent win but I would’ve been nice to be able to watch it. It’s turning into a near perfect trade.
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I know! My strangle is sub $4 now. I am going to be doing some intraday research on closing the positions.
I am not too sure if you have taken a look at the screener today. But we have lots of selling to do! We can finally diversify enough to get some meaningful returns. I won't have anytime to post fills until later in the day. Let me know what you jump in.

If anyone want's to take a stab at the optimal time to close these positions that would be greatly appreciated.

BlueWaterSailor said:
I was actually in the process of setting up both when the TradeStation platform blew up on me. I spent a couple of hours with their tech support getting it back online, so now GS and JPM owe me one. :)

BTW - thanks for setting up this journal. I'm fairly new to options, but as a former DS/ML guy (Cloudera, Databricks, etc.), I'm very interested in finding and playing a data-based edge. Been learning tons reading here - your approach comes closer to what I'm looking for than anything else I've run across.
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No problem! Nice to have you join the team. Yea JPM/GS straddles were perfect today. Let us know if you find any alpha along the way.
 
TheBigShort said:
I usually delta hedge my calendars with a really wide hysteresis band. The calendars are usually closer to ATM.

Be careful using the data you provided. Remember the straddle price = Event vol + non event vol. The non event vol = stock vol + market vol. So your straddle prices will have a direct correlation with the VIX. For example do you see how Jan/Feb 2016 straddle (deep purple) is at the top of the range for both stocks you provided? That is because the VIX was quite high during that period.

You want to compare and isolate the current event vol from the historical event vol. You can isolate the event vol a few ways none of them are perfect.
1) a calendar spread. Sell/buy the non event vol and buy/sell the event vol
2) buy/sell a straddle on the stock and sell/buy a straddle on the index vega/theta weighted.
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This is exactly what I have been thinking for the past few weeks. I feel like all my trades are too correlated to the VIX but was not sure how to actually implement something like this. Would love to read more or learn from your posts or videos. Thanks for sharing.
 
BK is a great long vol opportunity. It usually out paces the implied move. Right away on my news feed I see some analysts giving a 60% rally in BK others are saying it's a value trap. There is a lot more detail if you have the time to read the reports. Main take away is, this report is important. Commercial banks are greatly impacted by interest rates and I am sure there will be plenty of tough questions during the conference call regarding the potential rate cut. I got filled at 1.68 for the Jul19 43 straddle. Your max loss on this trade in the morning is .70 cents. Great r:r

bk.PNG
 
Just to check that I'm tracking here: BK's current IV%/IVR is 90/60 - but it's pretty much irrelevant because it's not going to drop until well after, so going long/long vol is essentially a pure delta play. Right?
 
BlueWaterSailor said:
Just to check that I'm tracking here: BK's current IV%/IVR is 90/60 - but it's pretty much irrelevant because it's not going to drop until well after, so going long/long vol is essentially a pure delta play. Right?
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IV% = IV percentile? I never use those numbers. Those numbers take into consideration non event vol. I am not to sure what you mean by delta bet. It is a vol bet. I bot the straddle so either a large move up or a large move down will benefit the position. Does that make sense?

My UAL trade is a delta and vol bet
 
TheBigShort said:
IV% = IV percentile? I never use those numbers. Those numbers take into consideration non event vol. I am not to sure what you mean by delta bet. It is a vol bet. I bot the straddle so either a large move up or a large move down will benefit the position. Does that make sense?
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Absolutely - thanks. "Delta bet" is basically my shorthand for "large move up or down".

My UAL trade is a delta and vol bet
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Got it.
 
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