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I'm talking about the volatility after earnings week expiry. How could earnings itself cause this? Example, MSFT: [ATTACH] How is volatility...
Check out CRWD 1 week forward vol at 32%. [ATTACH] Realized 7 day (about 7 trading days between now and Sept 8th expiry) is almost never below...
Vomma is higher for OTM then ATM (where it's close to zero). Therefore going long OTM strangles and neutralizing vega by selling ATM straddles has...
[ATTACH] Just fitting the histogram over the last 12 cycles. [ATTACH] Post your own fill if you've got something better. I'm guessing this way...
60 Day December contracts going for 29%. Mean 30 day realized vol since Jan is 22%. [ATTACH] If you were able to sell a 60DTE straddle at 29%...
Assuming Realized vol = Implied vol, what are the best and worst paths? Best: Stock moves the same direction every day at less than IV until...
[ATTACH] [ATTACH] [ATTACH] 10 years of daily returns. Also made sure to do 30 days of 5 min returns etc. [ATTACH] Daily (as opposed to...
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