I try to use both momentum and absolute levels. I was referring to the straddle price pre-earnings remaining sub 7% in case that wasn't clear. By...
ZS implied move is low but has been consistently low for last two weeks. I just looked and my code picked up the max allocation for ZS but even if...
the check marks are a nice touch ✅
I see the non-event vol declined from 45% to 40% in addition to the 3 day wknd's worth of theta being applied. At the same time the earnings move...
can you comment on fill quality with tradier vs schwab? thanks.
on ARM or quarter or what?
i think it improved risk adjusted returns such as mean daily return / max drawdown when i last investigated. like buying a stock after a good...
same setup right now. very similar figures.
well that was painful @poopy [ATTACH]
i see nov1 / nov8 forward vol up 10 points to 66% from yesterdays close. the election-specific implied move around 6%. oct 25 implied move from...
no i don't think so. here is the raw 257.5 straddle price. ~10% range in the last hour while stock is flat. it's easily verifiable. [ATTACH]
Oct 25 and Nov 1. [ATTACH] [ATTACH] Sorry x axis = today at 5 min increments.
Long earnings vol was a good trade for sure. Oct vols reaching high of day now 2pm EST-- is there a pending announcement?
why is it path dependent if you're not delta hedging?
Have you looked at ways to hedge the the non-earnings part of the earnings straddles against declining market volatility? Vix puts, short index...
IWM July 19th/26th forward vol in 16s [ATTACH] Does this look ok? [ATTACH]
right that's exactly what im saying. near term fVol behaved like in your chart but only several bid asks spread of variation as opposed to yours...
yes post earnings forward vol is what i was referring to, traded pre-earnings.
i dont have the expired options data at intra day but near term forward vol behaved similarly to your spread
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