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@NikTam Thanks again for starting this thread. There seems to be significant interest which is cool. I do have a suggestion. Perhaps we can create a uniform post for each trade idea. For example, it could include just the symbol, expiration, strike/Delta and future exit date along with the link to the CML backtest with just one trade idea for each post. I think this will allow for members to follow the thread more easily.

cool wasnt sure when the entry was. These tests seem a little "curve fitty" but what the hell

@MichiganWater One comment to be aware of when looking for straddles with very little decay. Typically, stocks whose straddles show little decay are those for higher IV stocks - and the downside for straddles is that higher IV stocks have slower gamma gains when the stock price moves. Also, for your proposed trade for the faster decaying stocks, what short to long ratios are you looking at? This is kind of a totally different trade, IMO, so ratios may be quite different and the stocks you look for may be those that show little IV run-up into earnings. Would be interesting to see some backtests of this strategy.

Backtest was done with 3-days to entry and is designed to capitalize on upward momentum (the thesis of the trade is that some stocks tend to have rising prices, or optimism, into earnings consistently). We're not seeing that on ADP this cycle so far. The only reason I'm not exiting is that I've already paid commissions to enter. It may or may not go the other way for the last day of this trade, but based on the thesis - not really? This is a pretty new trade idea so it's not fully fleshed out.

Sold out of BABA at 40% gain. Still looking for a favorable entry to MAR, missed out on that one. Haven't quite stoplossed out of ADP due to entering lower than @NikTam.

MAR is from cmlviz alert blog. they say enter 7 days before 40 delta calls. and backtesting has good results. I entered last evening at 38delta calls of Nov 10, and holding it. So far 10% up.

@Yowster That's a good point, and it's something I look at when I'm considering straddles, typically through seeing how much the price of straddles increases as the strikes move away from ATM. I haven't figured out a way to model that, so for now it's purely a subjective evaluation. I don't want to extend the discussion of the proposed strategy in this thread, since it's Djtux's dedicated thread for his service, but since it's an application that makes use of his service I figure it's ok to just give my logic. I haven't developed the method or backtested anything yet, but I'm organizing my thoughts as follows: a) Straddles that are horrible for long positions because of decay should be good candidates (under some circumstances) for shorting, and I can find these with Djtux's Straddle tool. b) I never naked short anything, so I'd use an Iron Butterfly setup to short the straddle. I could also make these into an Iron Condor, but that requires the assumption that the decay data calculated by volatilityHQ for straddles applies to similar strangles. That's an assumption I'm willing to make, but it's an assumption nonetheless. c) Iron Butterflys/Condors are short vega, which is the wrong thing to be going into earnings, so to "fix" that I look to the long-vega nature of calendars. That's why I choose a later expiry for the long strangle. This is also another application of volatilityHQ, using the Calendar tool. If the relevant calendar gains significantly, then great. If not, then I wouldn't expect the setup to work well. So, in summary, if the short straddle shows big decay and the long calendar shows a good increase, I'm guessing that that an "Iron Butterfly/Condor Calendar" that doesn't move a lot before earnings will be a winner, on average. I haven't started messing with ratios yet, or anything like that yet. I'm nowhere near an expert in options trading, so I don't think that _I_ want to open a thread to discuss this strategy, but if you (or anyone else) wants to investigate and thinks it's worth it, please feel free to start a thread! Djtux, hopefully you're not opposed to me posting this content here, since it shows how to apply volatilityHQ using both the Straddles and Calendars tools, but if you would rather have it moved out of your service thread, then please do so.

For me, I'm happy with it the way it is. For the straddles I'm interested in those with very little decay, and the difference between the two methods will not impact my use of the scanner to screen candidates. On the flip side, I'm considering a strategy for the stocks with fast decay that sells the week-of straddle (or strangle) and purchases a wider strangle the next week. Sort of like an Iron Condor Calendar, with the purpose of making the wider strangle further out in time to mitigate the IV increase due to earnings. Even with that, though, my screening will be looking at Decay's relative to other Decay's, so it won't matter if it's simple vs compounded.