The consensus estimates are from Zacks in WRDS. They don't have guidance though.
[ATTACH] The graph shows what I mean. The Hi-Lo Range (normalized by dividing by the median EPS estimate) is a very weak predictor of the...
I think it's a good idea to look at these numbers, although I would approach it in a different way. On first glance, I agree with Magic that a...
http://statweb.stanford.edu/~tibs/research.html
I don't know about long vol on those trades, but moves like those are why I like to buy wings. I agree that negative skewness in the return...
Hey TBS...Glad to see the earnings journal is back up. I might end up posting trades this time, although I don't expect to make any earnings...
Interesting that you've stopped buying wings on these trades. I agree that buying wings erodes the edge, and also makes it more difficult to close...
I might be oversimplifying a bit here, but all these strategies are essentially variations of buy and hold SPX. Might as well just buy and hold...
What an absolute trainwreck of a thread. Started out with a perfectly legitimate question, but degenerated into this crap from REDP and co. Where...
Firstly, why do you think trading deserves a good rep? Traders try to make money while creating nothing. These "gurus" are doing the same. As I'm...
Have you tried comparing these implied moves from the one derived from the forward vol formula? How different are they?
Standard way to do this is to orthogonalize the features. Try running PCA on your model with your 10 original features + the additional IV term....
Lol no pressure then. I won't be posting trades here this time round. Good luck to all of you.
Interesting, I'll look into it.
I actually ended up taking this trade. My screen suggested the current implied move is lower than the historical min (it still is). Got in at 5.9...
Great work! Last trade I made was HD a couple weeks back. No earnings trades for me until July. I'm now looking into calendar spreads for...
It's always a problem closing these at the optimal price. Even with the most liquid options. The hedging plan sounds good in theory, but if you're...
Both metrics would be correlated to some extent, and the one that uses max actual move would give far fewer results. That said, both of them only...
A large implied vs historical jump is not really predictive of anything. It just says that the current implied jump is larger than historical...
Yes, it's just a weighted average of the daily returns from the front 2 month futures (so the maturity is always 30 days), adjusted for fees. The...
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