So first I apologize for my simplistic reply, it sounds like you've looked at this more and with more rigor than I have. Your findings are very interesting, I've put the subject on my list of things to research some more. A couple of random thoughts that you may or may not have already considered: -Did you look at the distribution of the difference in implied volatility before earnings release minus the implied after versus the actual change in stock? I think the key question here is if the market is systematically over or under estimating the volatility associated with earnings release. If the volatility collapse immediately after earnings release is significantly greater than the stock move would warrant, for example, it would show an over pricing of volatility around earnings, which is what your findings hint at. -It's actually exceptional that you'd ever see a univariate normal distribution of returns with any large sample of stock returns, this is actually very uncommon. That you should be seeing it at a time when it's even less likely than usual is also something worth looking into.
In image 1 those are the distributions of the last 48 earnings for multiple companies that recently had their earnings. (histogram with 20 buckets) Image 2: same companies. Y axis = price change close to close after event. x axis = surprise @srinir @truetype @Sig
I have looked at the difference in jump vol and diffusion vol. (actually started a thread on it, but didnt get much attention). Something I want to look into but don't have data for it is, close to open returns (gap). because if the gaps are larger/smaller than what the jump vol predicts, there for sure would be money to be made. Especially in the lower market cap stocks. BTW the DXC trade worked out nice. Bot back for $5 ($3.30 gain). Obviously a trade that made money is not necessarily a good trade... but I think it was a good trade.
Better lucky and right than right and unlucky sometimes right! Agree that this is an interesting subject, will look up your other post as well.
%% Books have been written on that; but same way we would= to make a profit. BUT like an insurance co, they are good @ risk control[usually,LOL]. I ignore most of IBD options comments on earnings/options.100 contracts doe$ not sound liquid @ all, unles$ its QQQ or SPY options.............................................................I returned my daytradeing option book
I wouldnt consider trading earnings day trading. Its a very statistical process, where if you have a good model and good execution you should be able to make money in the long run
I have a mac and pc, I really find no difference if anything the mac runs a bit faster when doing large computations. Do you use R studio or something else?