Trading Short Option Strangles on Company Earning Announcements: Statistical Analysis and Lessons Learned from 502 Consecutive Short Strangle Trades over Eighteen Months by Royal Ellinger
Requirements: .ePUB reader, 3.5 MB
Overview: The author is a fanatical earnings trader. He set out to optimize his trade routine for companies reporting earnings in the next 24 hours. He keeps meticulous records of the parameters around each of strangle trades he makes. Some of those parameters are the average daily volume, the average movement after the previous 8 – 11 earnings periods, the expected move, the current implied volatility and volatilities in the future weeks, the probability of a profit, days to expiration, the buying power reduction, strike prices, and the outcomes of the trades. This data is accumulated over the previous 6 quarters and amounts to 502 strangle trades on company earnings. The first year of data is well analyzed and adjustments were made to the trading technique. It turns out that almost every one of those parameters has something fruitful to say about the trades. At the end of four quarters of trading he was able to retain 32% of the original premium taken in by the time the trade was closed out. By adopting the lessons learned from year one and tweaking the trades a bit, he was able to retain 62% of the original premium in 2015. That is a phenomenal improvement. If you are looking for a way to improve your trades against company earnings, this book is for you. Even if you are a trader using Jade Lizard type trades or Iron Condors, you should find this information extremely valuable. Most texts on these topics are how to do the trades and examples. Here you get see the outcomes of 502 consecutive trades and draw your own conclusions from the data. The statistical analysis demonstrates the worthiness of the average of the previous earnings movements and the expected moves based on implied volatility. Each develops a regression equation that is useful in predicting future moves. The book is about how to set up your earnings trade by selecting the strike prices from these data. Furthermore, it offers several parameters to exclude some trades that might be more problematic. It also shows the authors technique of defending the trade when things go badly. Most of the author’s co trader friends feel he is too conservative. They think that he could make even more money with this technique by using the same selective process but moving the strikes closer to the money. We will have to wait for an update next year.
Genre: Non-Fiction > General
Download Instructions:
(Filehost down) http://www.centfile.com/wodu6xpquvqp
Mirror:
https://www.restfilee.com/wz4k0q6acc8c
Trouble downloading? Read This.
Requirements: .ePUB reader, 3.5 MB
Overview: The author is a fanatical earnings trader. He set out to optimize his trade routine for companies reporting earnings in the next 24 hours. He keeps meticulous records of the parameters around each of strangle trades he makes. Some of those parameters are the average daily volume, the average movement after the previous 8 – 11 earnings periods, the expected move, the current implied volatility and volatilities in the future weeks, the probability of a profit, days to expiration, the buying power reduction, strike prices, and the outcomes of the trades. This data is accumulated over the previous 6 quarters and amounts to 502 strangle trades on company earnings. The first year of data is well analyzed and adjustments were made to the trading technique. It turns out that almost every one of those parameters has something fruitful to say about the trades. At the end of four quarters of trading he was able to retain 32% of the original premium taken in by the time the trade was closed out. By adopting the lessons learned from year one and tweaking the trades a bit, he was able to retain 62% of the original premium in 2015. That is a phenomenal improvement. If you are looking for a way to improve your trades against company earnings, this book is for you. Even if you are a trader using Jade Lizard type trades or Iron Condors, you should find this information extremely valuable. Most texts on these topics are how to do the trades and examples. Here you get see the outcomes of 502 consecutive trades and draw your own conclusions from the data. The statistical analysis demonstrates the worthiness of the average of the previous earnings movements and the expected moves based on implied volatility. Each develops a regression equation that is useful in predicting future moves. The book is about how to set up your earnings trade by selecting the strike prices from these data. Furthermore, it offers several parameters to exclude some trades that might be more problematic. It also shows the authors technique of defending the trade when things go badly. Most of the author’s co trader friends feel he is too conservative. They think that he could make even more money with this technique by using the same selective process but moving the strikes closer to the money. We will have to wait for an update next year.
Genre: Non-Fiction > General
Download Instructions:
(Filehost down) http://www.centfile.com/wodu6xpquvqp
Mirror:
https://www.restfilee.com/wz4k0q6acc8c
Trouble downloading? Read This.