I've downloaded the 200 stocks that went up the most in terms of standard deviation on last Friday. The average beta is 1.15 or slightly more volatile than the market. So maybe volatile stocks are likelier to experience multiple StDev moves. Good point !
So since we are hunting for mispriced tails, that’s where we want to go dial in, I would think. I’ve had my kids all long weekend but I’ll get my sleeves up on this later. When we can boil it down to a model, and then bet size appropriately, this could be really good. It’s something I think worth following up on as a real edge, in one large part because Taleb wrote the entire treatise about black swans and mispriced tails.
I've added Beta (correlated with HV ?). These are today's earnings. I'll update with the %move tomorrow. I don't think the OI has any predictive power. Not sure about the skew. The best play (Risk/Reward wise) was PARA put ^^ Need to find a scoring system maybe that takes all the relevant factors into account.
Yeah why not it had a nice move down It’s a decent event driven play Let me know if you plan to kill a CEO Back to earnings, I think it’s useful to look at past earnings AND industry related earnings for the same quarter.
I did feel a little guilty, but I did buy <500 and rode it up a bit. I still don't feel right about it.
The big problem on this is the liquidity in the options after earnings, especially on the shorter series. I was doing some scans of 10b+ market caps fitting this criteria we have been developing and although we have some theoretical edge I think in applying this, we’re going to have some real world limitations. I have a board of these now I am going to watch for a bit and see how it plays out.