newbie question

V

vladiator

has anyone looked at the profitability of straddles prior to earnings announcements??? Seems like post Regulation FD those might be something to look into. I was going to do an academic study of this issue but am onto something else at the moment...
PS On the other hand, some research shows that the volatility around earnings announcements didn't really change appreciably since Oct.2000, so maybe there's not much to it after all.
V.
 
Originally posted by metooxx
It can work-out if you trade a diversified enough portfolio of them.
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Thanks :-)
Is there a good free data source of historic quotes I can use to test it? I guess I could always use Bloomberg which we have here at the university.
 
Originally posted by vladiator


Thanks :-)
Is there a good free data source of historic quotes I can use to test it? I guess I could always use Bloomberg which we have here at the university.
More...

If you have e real time feed available from them, I would use it. End of day is pretty meaningless though. Real Tick is an alternative, but you will have to do some interesting programing to sweep the universe of strikes, not what it was designed for and they probably won't support you.
 
a little to read that vol around earnings announcements hasn't moved appreciably since 2000. Then again, companies have been "pre-announcing" earnings estimates with guidance. Around those days you often get earnings shocks. In addition, in a broad portfolio volatility will be lower. However, there are numerous examples of large movements around earnings announcements. If you do your study, perhaps you want to look at individual stocks or create baskets by sector etc.
 
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