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There is no free lunch. I ran several backtests in thinkorswim selling or buying straddles before earnings. Volatility dies off right after announcement, and sometimes the unerlying moves, sometimes doesn't. Hard to get right consistently, long or short the straddle.L_T wrote:
That's what they make straddle and strangle positions for.
Heh yes caveat emptor as they say. IV is very important to consider and it can be sucked right out after earnings. Some people say a better strategy is to buy the straddle/strangle a week or two out and as IV increases as earnings approaches sell them both simply netting yourself the increased IV. Never tried it but it makes sense.agunther wrote:There is no free lunch. I ran several backtests in thinkorswim selling or buying straddles before earnings. Volatility dies off right after announcement, and sometimes the unerlying moves, sometimes doesn't. Hard to get right consistently, long or short the straddle.L_T wrote:
That's what they make straddle and strangle positions for.
Probably. I could run another backtest, but these things are very time consuming, esp. if you want them to be statistically meaningful. I had only done a backtest for weeklies on aapl and goog, but decided to abandon the earnings straddle idea after I did.L_T wrote:Heh yes caveat emptor as they say. IV is very important to consider and it can be sucked right out after earnings. Some people say a better strategy is to buy the straddle/strangle a week or two out and as IV increases as earnings approaches sell them both simply netting yourself the increased IV. Never tried it but it makes sense.agunther wrote:There is no free lunch. I ran several backtests in thinkorswim selling or buying straddles before earnings. Volatility dies off right after announcement, and sometimes the unerlying moves, sometimes doesn't. Hard to get right consistently, long or short the straddle.L_T wrote:
That's what they make straddle and strangle positions for.
TraderGirl wrote:shite chart from Schwab...Goog announced twice this year on a lower high...if that is the case they can gap this thing down...
How so?Petsamo wrote:Unless earnings negatively influence after-hours trading, we should gap up tomorrow
dude where u get that shite chart on schw platformTraderGirl wrote:shite chart from Schwab...Goog announced twice this year on a lower high...if that is the case they can gap this thing down...
thanks for the post KeizaiKeiZai wrote:I have a odd feeling they will ramp it in after hour, usually they do it when I close longs...kind of hello I am double top short me and then BAM