Good luck on your shorts Magic! I almost pulled trig on GPC, but decided not to just because the last 4 jumps have been very very small. Yea IBM looks surprisingly cheap. Plus they usually outpace the implied move. Front month straddle has a break even of 4%! It was so low I had to make sure that they didn't already release any news on their website. They had a few tech conferences but nothing out of the ordinary. IBM only jumped less than that like 4x over the past 14 quarters. I also noticed quite a persistent PEAD with IBM. Check how the Intraday Move is usually in the same direction as the jump. So I am looking to hold for a majority of the day.
Do you know how to model calendar trades after earnings? I can't seem to figure out the proper IV at T+0 and T+1 for each leg and they never look like I expect (which usually costs me money)
Hi TBS Hope I’m not prying too much... With all these averages with different variables, is it usually a short term simple average for example the last 4 earnings, or something longer term say an ema of the last 10 earnings?
Hey Adam I am not 100% sure about the question. Each variable is calculated differently. All the averages are just the mean. So the avg move or avg jump is just the mean of that last 14 moves.
Hey jon. Calendars before a large move is very hard to model! Not only do you have term structure to consider; You also have to consider how the vol surface moves for different expirations! I am not saying it can not be done but it is beyond my current knowledge. Also the edge you would be exploiting would not be very high after transaction costs
Ps. Is anyone else playing around with the face app? Here is what I look like 60 years into the future! What do you guys think? Do I age like fine wine or milk (it was sunny today)?