Leaderboard

@drcruzTo really get to know the ins and outs of the hedged straddle trade, neither of these is that important IMO. What is important is... Straddle RV charts (volatilityHQ or artoftrading). Seeing the standard rate of RV decline to determine (in the absence of gamma) if short strangle sales will cover the typical RV decline. Standard IV charts (ivolatility.com is one place, but you can get these many places). To classify a stock as low, medium or high IV. The lower the IV, the higher long to short ratio you can use (but never above 2:1). Past earnings history of implied move and post-earnings move (optionslam, marketchameleon). See RV levels on earnings day for prior cycles, pay attention to the previous cycles as large moves beyond the implied (or minimal movement) can set an expectation for the current cycle. All hedged straddles can make money if they stock price moves, but with many stocks the short strangles will not compensate for RV decline if you don't get that stock price move. So, you try to pick candidates where you don't NEED the stock price movement to avoid losses.

@drcruzThe magnitude of the IV spike will be reflected in the RV chart - as the RV takes into account both IV rise and theta decline. A stock with a bigger IV rise into earnings will have a flatter slope of decline on the RV line, whereas a stock with a smaller IV rise will have a steeper slope of decline on the RV line. The bigger the IV rise, the more it offsets negative theta.

Yes, not for all stocks but for many of them.

@drcruzWhat I meant by that statement is.... When looking at past earnings history (RV and post-earnings stock move), many stocks have their earnings day RV (right before earnings announcement) always be at the same level or higher than the prior cycle when that prior cycle was a post-earnings stock price move beyond the implied. So, looking at the average is important, but when you see that prior cycle as a move well beyond the implied, more often than not that sets a baseline for the current cycle RV. Also, lower IV does not mean less capital usage. Lower IV means gamma gains will accrue quicker on stock price movement.

Ah yes you are right, i thought that the chart you posted the other day was way easier to analyze than the raw numbers.

@DjtuxYes, should have noted that IV charts and earnings history was also available on volatilityHQ. One suggestion for the earnings history table - include a graph (bar chart) that shows implied move and post-earnings move. All the data is there, but including a graph will make the data much easier to quickly interpret and see trends over time.

Thanks for the recommendation. I would like to point that i implemented point 2 and point 3 on volatilityhq.com as well, not sure if you saw that, or if it needs to improvements, i would be happy to see what could be implemented (along with all the other improvements you already suggested).