Earnings journal

Discussion in 'Options' started by TheBigShort, Jan 13, 2019.

  1. What do you guys think about an earnings journal? I trade quite alot of these and would like to hear some ideas from you guys! Two main strategies are:
    Buying/selling straddles/butterflies right before earnings to take a view on implied vs realized event vol.
    Buying/selling straddles/butterflies/calendar a few days (no more than 15 bus days) before earnings to take a view on current implied vol vs expected pre earnings implied vol.

    Here are my current earnings related positions. 20190113_042825.jpg

    I do delta hedge my positions with the underlying but will omit from posting the hedges to keep the journal clean. I am always trying to improve and encourage all ideas!!!! Lastly I do not mind talking strategy(for the most part) as most of my edge comes from a unique data set that took me quite sometime to build.
     
    billb2112, oldmonk, Adam777 and 2 others like this.
  2. I will also note all of my trades are on US or Canadian exchanges, however one of my goals this year us to get involved in earnings trades both in Asia and Europe. Does anyone have experience?
     
  3. Closed: C 52/57/63 butterflies for 3.05. Return on debit of +16.5.

    Looking at a few other trades today. Will update

    Edit** Just got filled on 1, still holding a few and will notify when it hits the tape
     
  4. Out of GS for $8 +5% on debit.
     
  5. srinir

    srinir

    Opened UAL Call Fly 72-80-88 for 4.13. Will add more tomorrow
     
  6. Interesting play. UAL looks pretty cheap on my radar. It's implying a 5% move. It's only moved less than that once in the past 7 earnings.
    But it looks like implied move has been contracting over the past few days.
    I might get long a straddle tomorrow. ual.PNG
     
  7. srinir

    srinir

    What was your model prediction for DAL today?

    I thought DAL was overvalued, but did not put any position. DAL move was less than the predicted move.
     
  8. Just got long SYK FEB 160 straddle for 8.71. There is not to much alpha in this one but I need some long gamma and I have the straddle priced at 9.22. Earnings in 11 Bus days (closing before then).

    I will be shorting vol on DAL into the close, they have a steady jump of 2% over the past 6 quarters(except for most recent where jump was roughly 3%). They barely move intraday on earnings day so to me it looks like a good short. And they almost always have a premium attached to it going into earnings over the past 8 quarters. Nice find! Model has an implied jump of 4.2% at the current Jan 18 straddle
     
  9. @srinir DAL guidence is 1.275. DAL beat guidance last 4/4. Estimate is 1.271. It also has a Surprise ~ Price reaction correlation of .72. I am going to be leaning long deltas on my fly.
     
  10. DAL fill 43/48/53 call FLY for 2.90. MS fill 38/42.5/47 FLY for 2.81.
    Closed out rest of C for break even 2.65(ran away from me)
     
    #10     Jan 14, 2019