i caught the plebian (ATM) version of your setup i believe [ATTACH]
I counted 4 parameters which seem arbitrary and likely to result in overfitting but I would be happy to be shown otherwise. I would like to see...
the iv declined post amd earnings but the earnings implied move was fixed at 12% for around the 8 prior trading days. it looks to have bottomed...
ambient vol of about 50% and implied move of about 9.5% look very low for ARM right now.
Selling implied move at 91st percentile. Bought back short strangles [ATTACH] for about 25% return on risk.
[ATTACH] [ATTACH]
well it was 11.5 pre fomc for the april 19th and 21D realized has been between 8 and 12.5 over the past 90 days so 11.5 seemed comfortable to...
yes i do as you describe and target zero gamma for individual stocks when possible. then I look at beta weighted portfolio and target zero...
I attempt to hedge long vol w/ short index vols and both have lost today under my hedging scheme at least.
have .5% allocation UPST straddle through earnings [ATTACH]
I'm interested and have been in all the trades you posted except PINS which ran away before I could fill. Closed ANET a day too early at a mere...
dte vs vol of iv and weekends can both be accounted for using var_n_dte= var_day_1+var_day_2+...+var_day_n and then taking sqrt for get std/IV....
META looks like an example with post earnings vol at least as high as the period leading up to it as opposed to CRWD. 40 cycles not "all cycles"...
What if calendars are cheaper transaction cost-wise than flies?
I believe the market was right to discount vol over the period right after earnings: [ATTACH]
yes
curious why you would not automate this?
1 trade does not a thesis prove, but entered in smallest allocation to test [ATTACH] winning on both, not expected.
[ATTACH] [ATTACH] [ATTACH]
How sensitive if your modeling to the conversion between trading and calendar days? As I'm sure you know plugging in calendar days is not going to...
Separate names with a comma.