Newb Q on Selling strangles into earnings to profit from IV dump

[rallymode]

Quote from momoneythansens:

Just wondering what incentive you are giving IV to start this thread?

Knowledge. I am sure even you may learn a thing or two, even if its only on the subject of JA's favorite undergear LOL

Seriously though, not a fan of pairs trading, not to say it isnt a way for some. Sure i've done lotsa digging around as i love reading and expanding my reach but not much has been covered on the subject around here, atleast not in details.

Anyway, wasnt looking for a free lunch, i already have a way to quadruple my account every 3 months just thought it's an interesting point of discussion.

 

[momoneythansens]

Hmm...sorry Rally, somehow thought your post was from Volatilitypimp

Substance abuse darn it.

Quote from rallymode:

Knowledge. I am sure even you may learn a thing or two

Oh yes, plenty to learn me. Just a newbie here.

Anyway, wasnt looking for a free lunch, i already have a way to quadruple my account every 3 months just thought it's an interesting point of discussion.

Hmmm....did I forget to include a copyright notice? Grrr....

 

[IV_Trader]

Quote from IV_Trader:

anyway , here is the summery so far :

Index vols at the time of the entry =16 , basket's weighted vols=24.

Index move +.90% , basket weighted ABS move=3.8%.
Current PnL ( based on intrinsic value at exp) --> +5.3%

July long dispersion final results :

Index -> -(1.2)
Basket wgt ABS -> 5.4
PnL -> +8.9%.

This was the best month in last two years ; for whatever reason half of the DOW stocks went up and the other half went down. Best performers :
MO = +12%
GM = +13%
XOM = +9%

MMM= -12%
WMT = -9%
HD = -8%