josh8790 0 Report post Posted October 17, 2016 Hey guys this is my first post, I just want to say I think you have a great thing going here. I read The Volatility Edge in Options Trading a year ago and I've been back-testing strategies in my spare time since then. I want to talk to other's about Augen's strategies and that's how I ended up here. I've been looking at data centered on the IV collapse that happens after earnings announcements and I've noticed cases that occur fairly regularly where earnings have been announced but IV does not collapse the following day or at all. The AAPL announcement on 2016-07-26 (after market close) is one example. The stock does not react until 2016-07-28, which doesn't seem to make sense. The IV of a put continues to increase all the way until expiration. Any idea why IV is not collapsing like usual in this case? Share this post Link to post Share on other sites
Kim 7,513 Report post Posted October 17, 2016 When you are taking the IV info? I'm looking at ONE software, and IV shows 38%/33% (puts/calls) on 07/26, and 24% the next day. The stock price on 7/27 (after earnings) jumped to 102.93. Share this post Link to post Share on other sites
josh8790 0 Report post Posted October 17, 2016 I calculated it myself using Black-Scholes. I'm not familiar with the ONE software, but I know TradeStation uses IV number derived from all options - maybe ONE uses that as well? Maybe this wasn't a good example, Augen shows stocks that go from 90% IV to 10% after earnings. 33% isn't that high to begin with. Share this post Link to post Share on other sites
Kim 7,513 Report post Posted October 17, 2016 Yes, but you selected options expiring in 10 days. Options expiring the same week had much higher IV - around 55, and it collapsed to 20 for ATM options. Also AAPL is not among the highest IV stocks. NFLX IV for example was around 120 and collapsed to 40 after earnings. Share this post Link to post Share on other sites
SeanM 29 Report post Posted October 19, 2016 On 10/17/2016 at 3:23 PM, josh8790 said: The AAPL announcement on 2016-07-26 (after market close) is one example. The stock does not react until 2016-07-28, which doesn't seem to make sense. I think all cells in your "Underlying Price" column need to be shifted one line up in the table Share this post Link to post Share on other sites
josh8790 0 Report post Posted October 19, 2016 48 minutes ago, SeanM said: I think all cells in your "Underlying Price" column need to be shifted one line up in the table You're right! This was data from Optionscast, I wonder how much of it has this error. Those of you running backtests, where are you getting your data? Share this post Link to post Share on other sites
