Earnings Trading Journal

Discussion in 'Journals' started by TheBigShort, Nov 11, 2019.

  1. .sigma

    .sigma

    It was on my own accord, I saw it had pretty low IV rank so idk I just didn't pull the trigger, although I had the order up and ready smh. Its okay, theres always the next!
     
    #31     Nov 15, 2019
  2. Adam777

    Adam777

    Hi TBS

    Great start to your new journal! Thanks for everything you posted before.

    Are you now using weekly options, or using 20-30 days left in the monthly options as I'm just trying to get onto the same page as everyone? Also how is the cumulative straddle profit graph helping you, as you're still taking the trade even though it show there's a negative expectancy (the graph is sloped downwards and also below the zero line)?
     
    #32     Nov 17, 2019
    .sigma likes this.
  3. ffs1001

    ffs1001

    Thanks TBS for the journal. I'm confused over the NTAP return.
    Selling for -5.20 and buying back for -2.90 gives a profit of 2.30, which is a return of 44% if based on the initial credit received, or 2.30/(12-5.20) = 33.8% if based on max loss.
     
    #33     Nov 17, 2019
  4. .sigma

    .sigma

    I'm also curious when he mentioned "microstructure".. I've seen @destriero mention it as well.

    Is the microstructure looking at vola across the terminal?
     
    #34     Nov 17, 2019
  5. TheBigShort

    TheBigShort

    Hey @ffs1001 my returns are simply calculated as LN(What did I close it for/What did I buy it for). In our case LN(2.90/5.20) = -58%. These are log returns. If SPY is 310 and 311 tomorrow than the return is LN(311/310) or .3%. Hope that clarifies

    I am usually selling the closest day to expiration. The graph is the cumulative sum if you bought an ATM straddle before each event and closed it out the next day. So because we have such a large negative expectancy on the long straddle, I am more inclined to sell it.

    Microstructure is how the market is working at a very low level. Dest might sell a synthetic fly over a butterfly because there is not enough liquidity on the ITM leg or some other reason. I used microstructure because during the first 10 min of market open after earnings spreads are wide and fills are weird. This is microstructure stuff. Whose inline next in the cue etc.. IIRC @guru posted a thread about arbing during the first 10 min after an earnings event.



    Guys I have no positions today. This might be a slow week. I only see a few companies on my radar this week.

    I totally forgot to post weekly pnl! I set a reminder to post when I get back home.
     
    #35     Nov 18, 2019
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  6. TheBigShort

    TheBigShort

    Week 1 in the bag.

    Screen Shot 2019-11-18 at 2.06.33 PM.png
     
    #36     Nov 18, 2019
  7. .sigma

    .sigma

    #37     Nov 18, 2019
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  8. TheBigShort

    TheBigShort

    I am actually taking a position in KSS.
    Short the 49/58.5 58.5/68 synthetic fly for -4.70.
    Screen Shot 2019-11-18 at 3.37.32 PM.png
     
    #38     Nov 18, 2019
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  9. .sigma

    .sigma

    I like your trade..$KSS filled that gap down from May's earnings nicely... MMM is +/- 4.656.

    I'm thinking of buying the 29 NOV 121 50/55/60 put fly @ 1.21 for a post-event play movement back to $55ish pure speculation. Thoughts?
     
    #39     Nov 18, 2019
  10. .sigma

    .sigma

    Trading buddy of mine is short the DEC 50/65 strangle @ 1.18 cr in KSS
     
    #40     Nov 18, 2019