Earnings Season Rules of Thumb article
- Thread starter Matt_ORATS
- Start date
Matt_ORATS
Sponsor
It shows that there are weeks and types of markets where the earnings trade does better on average than other times.
Like how, after comms looks like no free lunch
Matt_ORATS
Sponsor
The best takeaway is to avoid times of elevated market-wide volatility if you like going long earnings straddles.
Have you looked at ways to hedge the the non-earnings part of the earnings straddles against declining market volatility? Vix puts, short index straddles?
Matt_ORATS
Sponsor
No. The non-earnings part gets whacked after earnings and that swamps any market change.
One of the processes that sets our calculation apart is that we backtested the distribution of earnings moves to create our best estimate of the remaining straddle value after earnings.
One of the processes that sets our calculation apart is that we backtested the distribution of earnings moves to create our best estimate of the remaining straddle value after earnings.