Sooner buy than sell. Seems like it has a sizeable Jump pretty consistently, which is a good backstop to buy vol against. Try to disseminate some SEC filings and news and let us know if you find anything material. Has a few days left so the implied move might adjust a little in the coming week.
Earnings journal
- Thread starter TheBigShort
- Start date
Good point. It does look like the straddle price (on average - thick black line below) seems to rise the few days before earnings so one may buy it now and if you get an pop before earnings take your profit and run. If not, perhaps hold through earnings.
Buying into rising IV is usually a winning trade but just keep in mind that theta will still be eroding the position as time passes. If we realize vol far enough under the implied we bought it can still be a loser even if vol rises. And keep in mind that when IV goes up so does your short theta figure.
So before pulling the trigger I’d at least do a check and see if the current pricing for ambient vol around earnings is close to fair val for what you expect TWTR to realize in the days leading up to announcement.
So before pulling the trigger I’d at least do a check and see if the current pricing for ambient vol around earnings is close to fair val for what you expect TWTR to realize in the days leading up to announcement.
Anyone know when AGN usually confirms their earnings date? Seems to be some speculation it will either be this week or next which splits up the weekly option period. Not sure how to trade this uncertainty.
This looks like it's going to be a good one guys!! Did my homework on this one. Only regret is not sizing bigger but it's really a conviction test having all that extra risk on the down-side. I cap size on max loss so I wasn't allowed to go bigger.
Wonder if we should be thinking how to assign some sort of confidence score for a particular range and figure out some math for wing sizing in order to maximize potential expectancy. I'm just been buying them really far out to minimize edge loss and bound margin req. Maybe there's a better way.
Wonder if we should be thinking how to assign some sort of confidence score for a particular range and figure out some math for wing sizing in order to maximize potential expectancy. I'm just been buying them really far out to minimize edge loss and bound margin req. Maybe there's a better way.
Nice trade Magic.
Not sure if this answers your question but I really like Dr. Russell Richards' work and he just posted a white paper on using EV (expected value) to determine best strike prices and setups. I don't know if you can apply this to earnings trades because of the rapidly changing IV but its probably a variable that can be tweaked in his formula and Excel sheet:
Link to paper and spreadsheet (this is his folder that he shares publicaly, not my folder) https://tinyurl.com/y2mbxkga?fbclid=IwAR3dNgJE1PJO6zyTfBH2FMJPirufOa6ds6bzJSfCuQInBUVCqlY0Tfecd9g
(paper is called A0. What Metric Should You Use to Support Your Trading)
Not sure if this answers your question but I really like Dr. Russell Richards' work and he just posted a white paper on using EV (expected value) to determine best strike prices and setups. I don't know if you can apply this to earnings trades because of the rapidly changing IV but its probably a variable that can be tweaked in his formula and Excel sheet:
Link to paper and spreadsheet (this is his folder that he shares publicaly, not my folder) https://tinyurl.com/y2mbxkga?fbclid=IwAR3dNgJE1PJO6zyTfBH2FMJPirufOa6ds6bzJSfCuQInBUVCqlY0Tfecd9g
(paper is called A0. What Metric Should You Use to Support Your Trading)
@TheBigShort , how’s the past week been? You’ve gone silent 
Small gain on a scattershot of short vol this morning, but I got trashed on my longs lol. Been trying pick a few more longs so I don’t get too lopsided on short vol overnight, so I picked up BA, GD, and CB. Nothing moved!
Wonder if I have to re-think long vol. Seems more sensitive to terminal distribution since retail accounts and frequent hedging don’t really mix. And seems like the odds of vol bleeding out with an up/down move or earnings not moving is greater than a short blowing past 2 sigma. Even if the expectancy is there over the long term perhaps I should size smaller regardless since it’s more lumpy.
Might switch to trading the ramp up into earnings only or something. Need to make some adjustment though; I don’t think sizing and executing the same as short vol prosedure is working out.
Small gain on a scattershot of short vol this morning, but I got trashed on my longs lol. Been trying pick a few more longs so I don’t get too lopsided on short vol overnight, so I picked up BA, GD, and CB. Nothing moved!
Wonder if I have to re-think long vol. Seems more sensitive to terminal distribution since retail accounts and frequent hedging don’t really mix. And seems like the odds of vol bleeding out with an up/down move or earnings not moving is greater than a short blowing past 2 sigma. Even if the expectancy is there over the long term perhaps I should size smaller regardless since it’s more lumpy.
Might switch to trading the ramp up into earnings only or something. Need to make some adjustment though; I don’t think sizing and executing the same as short vol prosedure is working out.
hey magic I have been eating at the soup kitchen!
Just been very busy and doing research on the side. I am still doing earnings trades its just recently I have not had time to post between 3 and 4 and I do not like posting my trades after the market has moved.
Short V, TMO and BSX only last night. They all worked out.
In regards to long vol, check out the over night vol on some of these stocks (WHR, IBM, etc..). I think there is a pretty penny to be made delta hedging your position over night. Since your long vol you can just wait for someone to hit your bid. The super wide spreads might even add an extra boost to the position.
Just been very busy and doing research on the side. I am still doing earnings trades its just recently I have not had time to post between 3 and 4 and I do not like posting my trades after the market has moved.
Short V, TMO and BSX only last night. They all worked out.
In regards to long vol, check out the over night vol on some of these stocks (WHR, IBM, etc..). I think there is a pretty penny to be made delta hedging your position over night. Since your long vol you can just wait for someone to hit your bid. The super wide spreads might even add an extra boost to the position.
No trading for me today but short ALGN vol looks like it has a TON of edge. I would double check the news on this one to make sure they are not releasing some big news. The vol is ridiculously expensive! 12% move ( the highest it has ever been).
I wish I had time. But I would check to see if this is meaningful http://investor.aligntech.com/news-...ogy-and-straumann-group-terminate-discussions.
I would also look at what happened with that huge down move 2 quarters ago. I have a few predictor variables and it's predicting a 6.1% jump.
If someone could post some research before 4pm that would be greatly appreciated.
I wish I had time. But I would check to see if this is meaningful http://investor.aligntech.com/news-...ogy-and-straumann-group-terminate-discussions.
I would also look at what happened with that huge down move 2 quarters ago. I have a few predictor variables and it's predicting a 6.1% jump.
If someone could post some research before 4pm that would be greatly appreciated.