Recent Content by jjapp

  1. Options Earnings Trades

    That makes sense.
    Post by: jjapp, Apr 19, 2018 in forum: Journals

  2. Options Earnings Trades

    Yeah but why would you use that if you've gone through the trouble to build a time series?
    Post by: jjapp, Apr 19, 2018 in forum: Journals

  3. Options Earnings Trades

    Long 60 shares of EW @138.37 to go back to delta neutral.
    Post by: jjapp, Apr 19, 2018 in forum: Journals

  4. Options Earnings Trades

    I understand how to calculate forward vol. Why do you want to calculate it for a trade like this? I'm not arguing with you I just don't...
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  5. Options Earnings Trades

    I don't think it is an outlier. If you look at the first chart I break out min/max/median. The theta calculation is based on the median.
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  6. Options Earnings Trades

    Oh...I may have missed what you were asking...the forecast for IV is just based on the front expiry...not the later months.
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  7. Options Earnings Trades

    I forecast IV rise based on the last 8 cycles. Right now I'm just looking at median, min and max rise from that 8 cycle period. The 8 cycles...
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  8. Options Earnings Trades

    When I've run the data I've found some covariance between market IV and individual equity options IV. Usually it doesn't matter but this last...
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  9. Historical Data for Index Futures to Download to Excel

    Have you looked at Quandl?
    Post by: jjapp, Apr 18, 2018 in forum: Data Sets and Feeds

  10. Options Earnings Trades

    Yeah...I'm not pulling raw data...I'm using ORATs
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  11. Options Earnings Trades

    Its something I developed myself. I got tired of trying to build this stuff using excel. It pulls the IV data after market hours for all stocks...
    Post by: jjapp, Apr 18, 2018 in forum: Journals

  12. Options Earnings Trades

    I placed two trades on underlying stocks this morning with upcoming earnings calls to try and capture the rise in IV. The trade idea is based on...
    Thread by: jjapp, Apr 18, 2018, 18 replies, in forum: Journals

  13. how much can you rely on "probability in the money" calculations?

    I don't think you would want to use a binomial distribution to model probability that more than one stock will be ITM but I could be wrong. I...
    Post by: jjapp, Apr 17, 2018 in forum: Options

  14. Where to find historical futures data?

    Quandle. Stevens futures data is already processed for rolls etc. Pretty good.
    Post by: jjapp, Mar 11, 2018 in forum: Data Sets and Feeds