Earnings journal

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

  1. TheBigShort

    TheBigShort

    Short the 55 VRNT strike with everything you got!!! Allocated 10% of net liq to this trade.
     
    #421     May 29, 2019
  2. destriero

    destriero

    Putas?
     
    #422     May 29, 2019
  3. TheBigShort

    TheBigShort

    Straddle it! Company has already released all earnings info. Estimates are guided a bit high. Stock will drop a tad on a bit of over optimism.
     
    #423     May 29, 2019
  4. TheBigShort

    TheBigShort

    Implied move only came down a tad on information release. It's juicy af!
     
    #424     May 29, 2019
  5. TheBigShort

    TheBigShort

    Those lil buggers added another 5 mil to guidance just to make the stock pop. LOL. Looks like a small winner if it can hold below 60. Currently 59 after news.

    There we go! Sub $58
     
    #425     May 29, 2019
  6. Magic

    Magic

    Thanks! The nuances are very helpful. Appreciate your generosity with info and sharing your earnings trades in general.
     
    #426     May 29, 2019
    TheBigShort likes this.
  7. oldmonk

    oldmonk

    A large implied vs historical jump is not really predictive of anything. It just says that the current implied jump is larger than historical jumps. This could be because the market is (justifiably) pricing in more uncertainty in the current earnings report. I agree with TBS that the implied vs historical move when viewed in isolation is not a very reliable metric for earnings trades. It worked great for me in Q1, but had mixed results in Q2. I'm now looking to trade only those stocks that have had the smallest observed/implied moves averaged over the past several quarters. The only other criteria I look at are stock price and option liquidity. I don't have the time or the patience to go through 10Ks and other financial documents for each stock, though there may be useful information in there as well.
     
    #427     May 29, 2019
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  8. Adam777

    Adam777

    One big earnings website looks at: implied move > average actual move over the past 4 earnings; whereas another big website uses: Implied move > max actual move over the past 4 earnings ... but which is better?
     
    #428     May 29, 2019
  9. srinir

    srinir

    I am no way accomplished as others here. Only reason I do earnings trade is because, it is source of return which is uncorrelated my other trades/holdings.

    Only other thing I could add is to observe / measure recent reactions from stocks after earnings cumulatively. Each earnings cycle has mood of its own. Some earnings season, stocks tend to have outsize return for simple beats and worst reaction for simple misses and some seasons there won't be much move for the same result. If you could gauge the reactions beginning of the season and structure the trade you will have much better results.

    Ya, I also look at the same implied/historical observations and add some seasonalities to it estimate the move and filter based on liquidity.
     
    #429     May 29, 2019
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  10. oldmonk

    oldmonk

    Both metrics would be correlated to some extent, and the one that uses max actual move would give far fewer results. That said, both of them only use the current implied move, which has the problem I mentioned earlier. I now find it more useful (from backtests) to look at the observed/implied moves over the past several quarters. Basically we're trying to short vol on the stocks that tend to have the least surprises in their earnings reports. Also useful to look at the expected straddle value if the stock remains unchanged post earnings. That gives you an idea of your real R/R.
     
    #430     May 29, 2019
    Adam777 likes this.