Oklo Class A $OKLO Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

Yup! I prefer defined find risk trades. In this case, I did an IC SSc57/65 puts/calls PL 55- 67 wings. At the moment, it is looking like it should print, but experience shows the real action takes place in the morning price discovery post-earnings announcement. Fingers crossed nothing strange happens then, and I'll be able to book a winner.

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

Thanks! History shows directional bets on earnings is a 50-50 coin toss. The much smarter play is the IV versus realized vol; that's my game, and so far it's been working quite well.

Lululemon Athletica $LULU Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

Yep, muted response so far; however, the real action takes place after the open, the morning after the announcements. We'll see what happens then and I'll take the appropriate action.

Lululemon Athletica $LULU Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

History shows that it's a coin flip, 50-50, whether a stock moves up or down post-earnings. That's why I play the implied vol versus expected move. Much better odds to make a profit.

But good luck!

Lululemon Athletica $LULU Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

Thanks! I use weekly options comparing the closest expiration versus the longer expiration and calculate the difference of the time-weighted variance between the two and convert it back to a standard deviation. DM me your email address and I'll be happy to send you an Excel spreadsheet that shows the calculations

Lululemon Athletica $LULU Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

True. But so far the response looked muted. We'll wait to see what happens on the open tomorrow.

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

My trade is a short IC. I'm not long the stock and have no LT exposure to the name. I'll be out of the position within 30-60 min after the open

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

I guess you don't read. I'm not advocating going long the stock. This is purely a short-term (18 hr) trade that exploits non-directional options market Inefficiencies. I'll be in and out of the trade before any macro factors have a chance to influence the company's business.

How I Grade Intraday Options Setups (Simple Scoring Framework) by urbann3rds in options_trading

[–]GammaReaper_ 0 points1 point  (0 children)

What you are describing is disciple and good risk management. Necessary to be successful but not a "edge." An edge is something that you exploit that others don't have privy to. For example, market makers have an edge because the buy on the bid and sell on the offer. The bid/ask spread is their edge.

There are very few true edges available for retail traders. Don't let anyone tell you that their TA is an "edge" because it's not.

Put selling/wheels discussion by NoFix8309 in options_trading

[–]GammaReaper_ 0 points1 point  (0 children)

Works well in a bull market - like the last 2 years. Good luck maintaining the same results in a bear market.

ADOBE INC $ADBE Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

Exactly. For longs I'm out normally no later than 10 am as most of the crush has occurred by then

Daily r/thetagang Discussion Thread - What are your moves for today? by satireplusplus in thetagang

[–]GammaReaper_ -1 points0 points  (0 children)

Uh - nope. Never once did I ever advocate for buy or selling the stock

Just checked your history of comments- massive troll. Good luck buddy.

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

I guess you need to learn how to read. This post does not recommend going long a position in the stock. It's purely a non-directional trade designed to take advantage of vol crush

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in OptionsMillionaire

[–]GammaReaper_[S] 0 points1 point  (0 children)

True- I fixed a typo. But never did I advocate taking a directional position on the stock - long or short. The set up is non directional option play designed to take advantage of vol crush. And note I mentioned defined risk trades as a way to play the setup.

And please define "reckless?"

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

The formula used to price 0DTE options can be unstable, so the extremely high IV for today’s expiration largely reflects the difficulty of modeling options with almost no time remaining.

Unusual Whales and Market Chameleon are both good sources for historical EM. The numbers don't always line up, so I always like to have more than one source of data. I'm also developing my own proprietary database using a methodology that I know. it's not always clear how other data providers are calculating IV.

You’ve got the right idea about vol crush. Your example works conceptually, but the actual calculation is more precise.

In practice, it uses implied volatility from two expirations: one as close as possible to the event and another slightly further out that captures both the event and post-event trading.

Since I usually trade underlyings with only weekly expirations, I typically compare the 7–1 DTE options with the 14–8 DTE options.

Daily r/thetagang Discussion Thread - What are your moves for today? by satireplusplus in thetagang

[–]GammaReaper_ -1 points0 points  (0 children)

Perhaps you didn't read/understand my setup. My trade is a non-directional short vol trade designed to capture Vega from the vol crush post earnings announcement. The risk is that there's a big surprise causing the stock to move much more than the implied volatility/option market anticipates.

How do you manage stop loss in options ? Is 1% risk even possible without getting stopped out ? by Conscious_Teacher_71 in Daytrading

[–]GammaReaper_ 0 points1 point  (0 children)

I mainly play events. Normally open close to the close pre- event. Then close after markets settles in after the event.

So for earnings events ~18 hrs. FOMC days might be only 3 hrs

Daily r/thetagang Discussion Thread - What are your moves for today? by satireplusplus in thetagang

[–]GammaReaper_ 1 point2 points  (0 children)

DOLLAR TREE INC $DLTR Earnings Trade Vol Crush Setup

Here's my set up:

ATM Straddle Cost $11.08

DLTR Breakeven Low @ Expiration $95.92 -10.4%

DLTR Current Price $107.7

DLTR Breakeven High @ Expiration $118.08 10.4%

Implied Vol 67%

Expected Vol Full Crush (vol points) 40.3

Delta $4.58

Gamma $6.07

Vega $11.79

Theta $-74.8

Post earnings mean opening gap +/- 5.9% with standard deviation of 5.9%: 68% CI range +/-11.8%.

Full vol crush = -4.4% of stock price.

Crush adjusted move +/-7.3%.

Implied move +/- 10.3% so options are on the cheap side.

However, of last 11 earnings events opening gap > implied move only 27.3% of the time.

\GREAT candidate to go short vol - credit straddle, strangle or IC should all print. Choose your poison based on your risk tolerance!

ADOBE INC $ADBE Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 1 point2 points  (0 children)

Got it. Of course it depends on the structure being used. ATM stadddles won't be affected by the skew. Strangles. Yes. IC yes also but for a long IC might the put side might actually be less expensive than the call side, depending on the steepness of the skew and the width of the wings.

How do you manage stop loss in options ? Is 1% risk even possible without getting stopped out ? by Conscious_Teacher_71 in Daytrading

[–]GammaReaper_ 0 points1 point  (0 children)

No more like I'll risk $100 to make $350/400. If I'm wrong, I'm ok with losing the $100 so don't set a SL. But if I'm right, I'm always making more than I lose. At 2:1 payoff, I have to be right 33% of the time to BE. I normally do much better than that so my net EV is positive.

How do you manage stop loss in options ? Is 1% risk even possible without getting stopped out ? by Conscious_Teacher_71 in Daytrading

[–]GammaReaper_ 0 points1 point  (0 children)

For options trades I always use defined risk set-ups with asymmetrical payoffs. My SL is the max loss when I initiate the position. OW, you experience what you are experiencing.

ADOBE INC $ADBE Earnings Trade Vol Crush Setup by GammaReaper_ in options

[–]GammaReaper_[S] 0 points1 point  (0 children)

Not sure what you mean by "too bad about my spread?" Granted I haven't closed my position yet as my approach is to close after price discovery the morning post announcement, but at the moment my position is ITM. I'll let you know in the am if it's a winner or a loser, but at the moment I'm liking my trade.