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jarthursurf

jarthursurf
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  • Trading Earnings: A Tale Of Two Strategies [View instapost]
    I definitely respect that you don't hold through earnings. I was doing OK with that, but having difficulty predicting when to enter the trade. Sometimes I would enter too late and IV would go down the last few days before earnings. You are good at that part -- I was struggling a bit. Granted, any loss was never big.

    I should mention that my strangle hedge through earnings is far term options (a month away) so that any IV crush is theoretically much less than the short Calendar options. I initially made the mistake of using closer term options for this hedge, and the crush was obviously too much.
    Mar 20 08:01 AM | Likes Like |Link to Comment
  • Trading Earnings: A Tale Of Two Strategies [View instapost]
    As you know, I'm a fan of your strategies and am perfecting my own in the meantime.

    My strategy has evolved into earnings Calendar spreads with a hedge of a tight .30 delta strangle (usually a ratio of 1 strangle contract for every 3 Calendar). This way, I feel you do have a safe option of holding through earnings if you haven't realized a profit. The IV crush is more massive for the short, front month option after earnings than the long, back month -- so a Calendar spread can be very profitable after earnings if it doesn't move much. If it does move a lot, the tight strangle should become profitable enough to make up for a Calendar loss.

    Still testing this out however. I had way too loose of a strangle on Ulta earnings, which is not good.
    Mar 19 10:48 AM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    Yes, I thought that after I posted -- the strangle hedges the calendar in case the stock makes a huge move.

    Even if IV waned and the stock never moved, the higher theta on the short/near calendar option should make up for some of the loss on the strangle.

    I can't think of anything that could go majorly wrong with that play unless IV did a complete nosedive.
    Mar 4 02:55 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    It seems as though you tend to do "either" a straddle or a calendar. I'm contemplating hedging a pre-earings straddle with a neutral calendar.
    Mar 4 11:09 AM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    Very interesting! I'd be curious to see how that strategy was setup.
    Mar 3 03:19 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    Thanks for the reply -- it's good to have confirmation on what I thought I was noticing. Your performance looks very solid -- especially your Calendar trades. I currently wouldn't have the risk tolerance for them, but may in the future.
    Feb 27 04:27 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    Ok, I've taken some positions with this strategy, and I think it has merit. I've come out ahead, though I had a few bad trades. I've mostly been buying a straddle 2 days before earnings and selling it right before the announcement.

    One thing that seems to happen to me is that the Implied Volatility reaches it's peak a day or two before earnings and kind of flatlines the rest of the time.

    It seems for many stocks it might be better to buy the straddle a week before earnings and sell it at least two days beforehand -- since IV is appearing to peak then and also, big moves appear to be more likely to happen a few days before earnings than the day of (where the stock often goes to sleep).

    So, that is what I'll be trying next.
    Feb 27 02:25 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    Very interesting. I will say, it takes some stones to hold these sometimes. I have a SCTY 74/75 strangle. Since the market today was a low volatility day (VIX was down), at one point my position was at a 10% loss. Then, suddenly, it ended the day ahead 5%.
    Feb 20 10:18 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    ...also, I'm definitely looking to risk less and make less, so I think I will try straddles going forward. I see that the vega is generally highest there. I've recently had some losses in biotech and have felt frustrated, so I need something like this to claw my way slowly and safely out of that hole. Thanks again for the article.
    Feb 20 10:16 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    I'm wondering if anyone has done a comparison of pre-earnings gains from using further OTM strangles vs. right ATM strangles (width of 1)? It seems like there are a lot of factors to sort out, so an experiment of empirical evidence would probably be more useful.
    Feb 20 12:33 PM | Likes Like |Link to Comment
  • Why I Dislike Holding Strangles Through Earnings [View article]
    I really like this article and have read the book. I intend to try this strategy but with a twist to be more flexible. If the 4-5 day strangle doesn't seem to have made enough money by earnings day, I intend to leg it into a Reverse Iron Condor (make a little money on the final day's higher IV by selling further OTM call and put). I would then hold the Reverse Iron Condor through earnings to see if there is a post-earnings move. Yes, there will be an IV crash -- but the biggest crash will be on the ones I sold so hopefully the loss won't be as bad if there isn't a big post-earnings move.
    Feb 18 08:38 AM | Likes Like |Link to Comment
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