Earnings journal

I am short both in my Royal Bank Account:
GS 210/212.5 JUL19 strangle for avg 5.82
JPM 114 JUL19 straddle for avg 2.81

I own a few garbage XLF puts as a hedge.

Sorry for late post, just getting home. I had limit orders in and they got hit.

 

Which coding language did you use - is it Python?

 

The backend is R and the front end is javascript. Rstudio created a UI called Shiny which allows R and Javascript to easily flow together.

 

I usually delta hedge my calendars with a really wide hysteresis band. The calendars are usually closer to ATM.

Be careful using the data you provided. Remember the straddle price = Event vol + non event vol. The non event vol = stock vol + market vol. So your straddle prices will have a direct correlation with the VIX. For example do you see how Jan/Feb 2016 straddle (deep purple) is at the top of the range for both stocks you provided? That is because the VIX was quite high during that period.

You want to compare and isolate the current event vol from the historical event vol. You can isolate the event vol a few ways none of them are perfect.
1) a calendar spread. Sell/buy the non event vol and buy/sell the event vol
2) buy/sell a straddle on the stock and sell/buy a straddle on the index vega/theta weighted.

 

Odd, this underlying isn't showing that it has earnings tomorrow on my thinkorswim

 

Projected earnings date 16th to 19th July

 

The swks trade was a play on the earnings date. I was hoping for a press release this morning. Trade is coming off first thing. Looks like a scratch

 

Out of GS @ 5.48 +.36
Out JPM @ 2.04 +.77

Edit* if you took the GS 212.5 straddle this would have been a very nice winner. Did anyone take that?

 

I was actually in the process of setting up both when the TradeStation platform blew up on me. I spent a couple of hours with their tech support getting it back online, so now GS and JPM owe me one.

BTW - thanks for setting up this journal. I'm fairly new to options, but as a former DS/ML guy (Cloudera, Databricks, etc.), I'm very interested in finding and playing a data-based edge. Been learning tons reading here - your approach comes closer to what I'm looking for than anything else I've run across.

 

I only sold vol at 212.5 instead of ratio. Was quite busy this morning and just closed it blind just after open. Bought the day’s high or really close to it. Still a decent win but I would’ve been nice to be able to watch it. It’s turning into a near perfect trade.