It looks like T is in a new regime. Implied move is actually 3.5% I think this is a good buy!(abs moves 0 being the most recent) I think T is in a different regime so I took a long straddle here. Just got on the terminal(terrible weather) no time for research. 2 fills Short JNPR and Long T. Once you adjust for term structure, alot of the names look cheap to reasonably priced. I am short SPX straddle.
WOOOO that is a cool sheet!! Can you talk about it(what program that's in, where your getting your data, etc..)? Welcome to the journal, good luck on your trades! This question is for everybody, I have been thinking about regimes recently. Some stocks like aapl seem to have a somewhat constant absolute jump means across 11 years while other companies have changing jump means. If you could predict what regime a company is in you can do a lot better in deciding when to buy and sell vol. The above picture(duplicated) is T, you can really see how the mean has changed from about a 2% jump to a 4% jump. What would cause something like this? Below are BBBY(first picture) and AAPL(second photo) absolute moves. There is a 5 period moving avg to demonstrate how the short term mean changes. As you can see how constant AAPL while BBBY is currently in a very volatile earnings regime. 0 is most recent! sorry its backwards
Just got back. My JNPR and BA order never got filled. Even if my order was filled, my expected move was around 6.8%, current move is around 7.6%. It is still in that error band
I've been following this journal for the last few weeks. Some great content on here. Thought I'd pitch in myself. The entire thing is written on Python. I source data from an unofficial Robinhood API. Only the option prices (can't trust RH on the greeks, etc.). It's great because I can compute all this stuff in real time. The model is roughly based on Colin Bennett's book, but I use all weekly expirations (not just the front 2) to compute the implied jump and diffusive vols. Only doing short vol trades right now, mostly with butterflies and calendars.
What was your limit order at? My 1.75 straddle implied roughly a 5.8% move If your interrested we should collab. I am starting to move my data over to MySQL database hosted on AWS server. Could really use some help with creating custom scanners etc..
I read this article last week and it got some gears turning. If anyone is interested. https://core.ac.uk/download/pdf/89359124.pdf This also looks like a good read. I am sitting down to read it right now. http://web.mit.edu/lewellen/www/Documents/Earnings.pdf