It can be a bit slow if more than 10 people are on it(wrote the code in 45 min) but I created this to show how random earnings can be. The data is on UAL since @srinir made a trade on it. You can download the data with the "download" button. The table with the data is at the bottom. Let me know if any of you can come up with a predictive model!! I'll take down the site in a few days (using free version of shiny) https://financialtrading.shinyapps.io/elitetrader/ C_C means close to close In the bottom right corner, the "means" is just a rolling 4 period mean of the abs.jump. Just realized, made some variable selection errors. To tired to change it.
Wow. Took some heat on MS. Thought it might close the gap. Sold butterfly for 1.96. 33% Loss. Whipped out most of my journal gains.
Will be shorting vol on 3 names today after 3 pm. CSX, KMI, SBNY, AA(already short but will add). I really want to re-open a short vol position on Morgan Stanley. Most of the banks have released and there should be no surprise. Implied move is 4.25% Does anyone have thoughts about this trade? I'll keep you posted on the fills
KMI, liked it from long side. I generally try not to trade stocks less than 25. MS: I will be shorting also
Srinir, just did a bit of digging. Over the past 10 quarters if MS releases after GS, it has an average jump of 1.8% vs 3.2% when it releases same day or before GS. Looks like a GREAT short. I am going in heavy on it. Also any particular reasoning for going long KMI?
Mine is much simpler model than yours. Straddle price is at the low end of the history (2.7%), Max move next day was higher in its recent history. ORATS calculation of past expected move before the earnings of previous earnings was higher