Event Driven Option Plays

IV's Sigma is 2 in order to 10X but there is a IV crush.
Therefore it's not 2 anymore but closer to HV.

 

First of all, really appreciate your work on this. Got me digging into this and seeing your work helped as well. The journey is usually worth more than the destination and in this case, no different.

Related to this last post, the idea of vol-arb on liquid securities, such as IBIT, seems worth looking into. Would love to get a trading journal going with you on something like that, structuring ideas around trend-driven vol mispricing structures.

 

send me a PM

 

Mostly 1std move and iv crush? maybe some butterflies could help the cause instead

 

Well I think there’s opportunity but the 10x intrinsic target doesn’t help because I am buying options that are too far OTM (1.5 StDev away) with a 10x intrinsic target at 2StDev.

Better look for 5x intrinsic target, buying 1StDev OTM options, and the option can 10x with extrinsic value remaining @ 1.5StDev.

I’ll go with my original idea … buying low IV compared to HV.

That’s what I’ve been doing in the first place.

I’ve lost all my bets this week.
But it only takes 1 good play to recover.

 

CELH hits the 10x target,
MELI is pretty close.

Both of them would have been nice plays.
Other might hit the target intraday.

 

Oh look,
Another UNH opportunity...

 

Maybe relative volume can gives clue about which stock is going to outpace IV ?

 

I've never seen more than 4StDev move (HV wise)





I believe that if the average earnings move is more than 4x the HV then there is an issue.
When I take the average of (average moves / HV) it is 4. But I've never seen more than 4StDev move.

Over 95 tickers,
The outcome / IV is 1.
The outcome / HV is 4.3
The outcome / AVG is 1.2
The (average past earnings moves) / HV is 4
The (average past earnings moves) / IV is 1
The HV / IV is 0.3