This type of trading has been talked about so many times on this thread. But are any of you still doing this. I have found a few trades that have worked out nice. Anyone else want to share ideas?
Share ideas in gamma scalping into earnings
- Thread starter TheBigShort
- Start date
You do not beleive that some stocks 10 -20 days before earnings underprice the event and or ambient volatility?
Agreed, however, we can compare the current straddle price to what it usually is the day before earnings.
Hi
You said that 10-20 days before earnings the iv could be underpriced.
My question is, in what moment does the market makers initiate to price the earnings iv ? how many days before ? it depend on the stock ?
If you have the capacity to look what usually is the straddle price the day before earnings, and you can compare it with the one 10 or 20 days before. Yes you could find oportunities
in my opinion. What do you need to do that? data, software, work. And you could automate this. Sometimes I think it is necessary to associate with a programmer to have more oportunities.
You said that 10-20 days before earnings the iv could be underpriced.
My question is, in what moment does the market makers initiate to price the earnings iv ? how many days before ? it depend on the stock ?
If you have the capacity to look what usually is the straddle price the day before earnings, and you can compare it with the one 10 or 20 days before. Yes you could find oportunities
in my opinion. What do you need to do that? data, software, work. And you could automate this. Sometimes I think it is necessary to associate with a programmer to have more oportunities.
At any single point IV for earnings + vol leading into earnings can be under/over priced. Usually the spreads are super tight relative to the average actual move. Market makers are always aware of earnings, but sometimes demand/supply can slightly get the IV out of line. When I run my scanner in the morning for these types of stocks, I usually get only 2 straddles that are worth looking into.