Earnings journal

[TheBigShort]

With you on IBM for the long vol side. Almost pulled the trigger on EBAY as well but it didn’t look quite as good. I grabbed GPC but I was on the fence there too. Think we have a decent chance between the Jump and the move at clearing the premium though.

Got a few shorts as well, let’s hope we don’t have a repeat of today, that would be discouraging haha.

Good luck on your shorts Magic! I almost pulled trig on GPC, but decided not to just because the last 4 jumps have been very very small.

Yea IBM looks surprisingly cheap. Plus they usually outpace the implied move.
Front month straddle has a break even of 4%! It was so low I had to make sure that they didn't already release any news on their website. They had a few tech conferences but nothing out of the ordinary. IBM only jumped less than that like 4x over the past 14 quarters.

I also noticed quite a persistent PEAD with IBM. Check how the Intraday Move is usually in the same direction as the jump. So I am looking to hold for a majority of the day.

 

[JonSnowKnows]

IBM does look cheap enough to give it at try

 

[TheBigShort]

IBM does look cheap enough to give it at try

View attachment 205901

Give it a spin! Worst case scenario is a 1% jump and the straddle price at 9.45 is just over $3

 

[TheBigShort]

This is what the straddle should look like @ 9:45. With IV for JUL19 @ 30%. GL everybody

 

[JonSnowKnows]

Do you know how to model calendar trades after earnings? I can't seem to figure out the proper IV at T+0 and T+1 for each leg and they never look like I expect (which usually costs me money)

 

[Adam777]

Here are some of the stats I have for PGR.
View attachment 205679
Implied Ernings move is 3% this quarter. It usually is 3.3% so you are right, it is a bit on the cheap side this quarter (especially after such a big move last quarter).



But it seems like on average, there is a premium to the straddle price. The max jump over the last 14 quarters is only 3.89% so I don't see too much edge in buying the straddle. Maybe if it has jumped 7% before, you would want to take a closer look. IMO.

Hi TBS

Hope I’m not prying too much... With all these averages with different variables, is it usually a short term simple average for example the last 4 earnings, or something longer term say an ema of the last 10 earnings?

 

[TheBigShort]

Hi TBS

Hope I’m not prying too much... With all these averages with different variables, is it usually a short term simple average for example the last 4 earnings, or something longer term say an ema of the last 10 earnings?

Hey Adam I am not 100% sure about the question. Each variable is calculated differently. All the averages are just the mean. So the avg move or avg jump is just the mean of that last 14 moves.

 

[TheBigShort]

Do you know how to model calendar trades after earnings? I can't seem to figure out the proper IV at T+0 and T+1 for each leg and they never look like I expect (which usually costs me money)

Hey jon. Calendars before a large move is very hard to model! Not only do you have term structure to consider; You also have to consider how the vol surface moves for different expirations! I am not saying it can not be done but it is beyond my current knowledge. Also the edge you would be exploiting would not be very high after transaction costs

 

[TheBigShort]

Lots of vol after hours for IBM unfortunately not in 1 direction!

 

[TheBigShort]

Ps. Is anyone else playing around with the face app? Here is what I look like 60 years into the future! What do you guys think? Do I age like fine wine or milk (it was sunny today)?