It's a holiday in the arctic (Canada). You best believe a few trades are going on today! Maybe some of you guys can help me with the research (post what you find). I will post fills before 3:45 Candidates: NDSN TJX URBN KSS HD
Vol seems to be quite expensive across the board. The most risk is in NDSN as the company has 1/3 of it's business in China. All other companies seem to be very well diversified. Slight directional bias on NDSN Short NDSN 105/125 135/155 Iron condor for 6.00 Cr. Short HD 175/190 192.5/207.5 Iron Condor for 5.30 Cr. Short URBN 23/27 27/31 Iron Condor for 2.18 Cr. Short KSS 55/63 63/71 Iron Condor for 4.20 Cr. On a side note, I have recently been more aggressive with my orders. As a liquidity provider around events (especially less liquid names like NDSN), if I am passive and wait for orders to be filled it is more likely I am on the wrong side of the trade. If I go in for a more aggressive order and get filled instantly, it is more likely I am on the right side. Can someone chime in and let me know if this assumption makes sense.
Numbers are out on NDSN. Stock trading down to $127 (just below our sweet spot). So far so good! I think management can pop this up a bit on Confrence call tomorrow morning. Company has a lot of new products they are excited to talk about.
I was unable to capitalize on a LULU earnings arb trade. Luckily, I got out of the trade today unharmed. I also took a hit from the KSS trade (thank god i bought the wings). A few good trades 2 days ago on TGT, ADI and a few others has my account back to all time highs.
Long GOOS 67.5 Calls @ 3.86 CAD Long GOOS 68 Calls @ 3.92 CAD Edit* Long the 121 237.5/207.5/177.5 P FLY on WDAY for 15.60 risk
TBS/oldmonk/srinir, After having been at this a while, how would you guys rank the various data points in importance for delivering expectancy? There's been quite a few mentioned over the course of the journal. Implied move vs. historical obv seems foundational, but what would #2 and #3 be? Trying to understand a feel for the important pieces needed to get the framework together, then work on iterative refinements later. What would you recommend focusing on first re: earnings trades?
Closed WDAY for 21.60! (I was in synthetic). Letting GOOS expire worthless. First and most importantly you need good data/news feed. I have seen so many bad "implied move" numbers. You also need to do research on the company prior to the move this requires access to a good news feed/historical data. Lastly (for me personally) you have to have the will to push through a 10k/ confrence call. They are so boring its unbearable sometimes but they are filled with goodies. That's as much as I can say.
I'll also save you some trouble with the implied move/ historical move spread. Sometimes stocks (especially stocks that don't have weeklies) have sticky vol. They tend to hold on to some residual implied vol for a day or 2 longer. This could seriously impact the "implied move" number you are using. I have decided to create something called "actual implied move" which uses a time series model (instead of term structure) to look at previous actual implied moves from the day before and day after the event. It's playing a bigger and bigger roll in my analysis.