听到的一个公式（option），不知灵不灵，还没来得及back test，大家给看看。。。

胡同儿串子

(Front month straddle + back month strangle)/2 = expected move
This expected move means the stock price movement after earning report, either up or down. It's trying to predict the price moving range after ER. If it's true, will be very useful to play ER. I'm not sure how to back test this theory on recent google earning.
"front month" = the month about to expire. "back month" = the next month to expire

Please let us know how you think...

manhattan

I think you need to know the strike prices of the strangle. There can be many combination of strangles with different strikes.

胡同儿串子

I think you need to know the strike prices of the strangle. There can be many combination of strangl ...
manhattan 发表于 2010-7-16 19:45

yes, that's what I'm thinking about, not only the strangle strike price, we need to know when to apply this equation as well, like how long before the ER. I think that's something I didn't quite get it.

dunhe

easy money is not easy, so ....

sfbayarea

(Front month straddle + back month strangle)/2 = expected move
This expected move means the stock  ...
胡同儿串子 发表于 2010-7-17 00:32

    有趣！成立吗？谁会同时开front month straddle and back month strangle (calendar spread like goog this week, yes, I saw it being done)? 如果是两个不同trader 开的，那一个是smart money, 那一个不是?  当block order coming in, how you tell that is a pair straddle setup or strangle setup ( from there trading id or same amount of contracts)? 那些是正在新开的仓位正在关闭的仓位。太多要素要达到才能实现。
这山真高， 可惜我还在山脚。

overdrunk

很晕

胡同儿串子

有趣！成立吗？谁会同时开front month straddle and back month strangle (calendar spread like ...
sfbayarea 发表于 2010-7-16 21:05

就是这么一说，没深究，不应该是巧合，里面有一些道理吧。。。

sfbayarea

就是这么一说，没深究，不应该是巧合，里面有一些道理吧。。。
胡同儿串子 发表于 2010-7-17 02:15

    我不是说没有道理，我只是说难实现。另外不需要这样都有很大机会判断er后走势。

google

我不是说没有道理，我只是说难实现。另外不需要这样都有很大机会判断er后走势。
sfbayarea 发表于 2010-7-17 02:19

三番哥，你的GOOG靠什么时候出的？感觉这次会去$400，你的扑还在吗？

sfbayarea

我的option 全是july 的，所以全close 了。没goog 的position. 下周我会注意有没有deep itmc 或deep itmp.  通常这些deep call 或put 就是google 下周的走势。同时再看10月和11月的p/c volume ratio, p/c oi ratio 的变化来推测以后三个月走势。一般情况下10月，11月亥有很多otmc or otmp 会交易。看看这此会不会例外。

我本人觉得会gap fill 先。

RedBean

回复 10# sfbayarea


老大，你用的是什莫付费  服务吗？

fara

ha

Summerrose

(Front month straddle + back month strangle)/2 = expected move
This expected move means the stock  ...
胡同儿串子 发表于 2010-7-17 00:32

It's a good idea. But why don't you back test several stocks to see if it works? Besides, can you use this formula to project AAPL and BIDU's ER?

胡同儿串子

It's a good idea. But why don't you back test several stocks to see if it works? Besides, can yo ...
Summerrose 发表于 2010-7-18 11:37

like I said, I didn't get much detailed info about it, I'll update this thread once I dig more.

胡同儿串子

by the way, where can I get free historical option prices?

胡同儿串子

Ok, got the idea, here's how it works
Let's do an experiment on last week's goog earning. It seems like the time you use this formula is right before it's earning which means the same day prior to it's close.
On July 15, goog closed at 494.02, and Jul 490 straddle marked at 23.25, Aug 500/490 strangle is 35.15 (based on calls). So, (23.15 + 35.15)/2 = 29.15 meaning goog will move up or down around $29 after reporting ER. In fact, it gapped down to 459.6 the next day. 494.02 - 459.6 = 34.42 Not too bad, ah?
You got the idea, right?

胡同儿串子

I checked the latest aapl earning, not working. I think it's because the earning date is more close to OE and more accurate prediction it will be since there's no premium left.

胡同儿串子

I just did a backtrade. If you buy a goog jul 490 straddle at 23.25 on 7/15, it would worth 30+ on 7/16. So, that means it's practical!

胡同儿串子

做了几个backtest，不是特别work，this formula needs to be improved, don't simply follow.
大家看在此基础上有没有什么新方法？呵呵