However I don't understand. GLOB they say -4.39 stDev move based on 20 days of past data. I use their historical volatility (SQRT(1/365)*29.15%) which is 1.53% daily. -24.89/1.52 is -16.3 Can someone help ? Their historical volatility is actually very low. Over 12M I have 2.89% StDev for GLOB and they say 1.53%. Big difference btw their historical volatility and 20 days stdev.
That to say that if IV is greater than 4x the 20 days StDev then it's probably a sucker bet. Ideally IV should be ... 2.5x the 20 days StDev or less. Because I repeat .. I've never seen a stock print 5x its 20 days StDev GLOB as per tradingview 20 days StDev was 6.24 (previous close) Maximum move should be 6.24x5 = 31.2%
Everything is about equal Outperformers beat metrics by 2 in average. Underperformers miss metrics by 2 in average. HV/IV or AVG/IV is meaningless. Outperformers are slightly less volatile. Underperformers are slightly more volatile.
I asked GPT to give me the 21 day stdev for all the tickers. Might have some lookback issues because "based on historical data up to February 21, 2025." But if I rank based on (21 days stdev) / IV then top 10 average 1.68xIV moves while bottom 10 average 0.72. Now I think it's better to focus on popular (sexy) names. And maybe look at past earnings move and see what's the min moves / IV Maybe look at "social score" based on mention on social medias.
Here I am trying something different. Based on the Estimate for the volatility, I am looking for the nearest upper and lower strikes. I look at the option prices for each strike (upper & lower), Then compute what the option is gonna be worth if the stock is ATM. However for the ATM computation of option prices, I use HV which I think isn't the best measure. There is an IV crush after earnings. Maybe the overall IV would be better. Even if I think it will deflate after earning, But less than the IV's expiration in question. Anyway most of these tickers are rubbish, They ain't got weekly contracts and little to no volume. YOLO into NVDA calls and call it a week
Hope you don't mind my comments. In statistics, there is a big difference between correlation and causality. Often, for small sample sizes, correlations could just be random. There is no substitute for knowledge. To find the miss-priced options, you do have to drill down into the muds to find those true tail events. And even there, most of the time they are correctly priced because you aren't the only smart guy around. To give you an example, earning surprises, especially true for big tech, most under-guided their earning forecasts to produce regular surprises. Those won't move the needle. Options tend to attract the best traders in the business. Everyone looks for correlations and does statistical analysis, my humble suggestion is you need to, in addition, study the fundamentals underneath those events.
I won't focus on earnings anymore despite the fact that I am at ATH. It's really tough to hit 5x or 10x returns on risk. Been hunting for 2 weeks and didn't find one. I've found that most implied volatility crush is 50%. It's better to look at average IV or ticker IV vs contract IV as a fallback value. I went into more fundamentals analysis but nothing really stand out. The most accurate estimate of |%Change| is 0.8 x IV itself. I've not been able to find out which ticker is going to outpace IV and which direction. I've been able to make money but the reward to risk isn't worth it IMO. I'll focus into longer dated options (Monthlies) and catch trends This guy on rddt on RKLB made +10X over multiple months Since I am a fan of Roppel, Qullamaggie and such .. Play some SPY 0DTE also
Damn I am looking @ ROOT like this is a 10x play Then I look a options and WTF how am I supposed to 10x with these lmao The implied move is ~50$ 1StDev OTM option is 140+50 = 190 strike 190 strikes costs 12.5 with a break even @ 202.5. to 10x on this option at expiration ROOT needs to be 315 Okaayyy 315-137 = 178 / 50 = 3.5StDev move. Need to scan more tickers / contracts. Look for interesting 10x strikes.