The first post to this follow up is available: Click Here
Quick Summary:
It turned out a simple startegy of selling the back month ATM straddle on the close of the day of earnings and then buying it back the next day was a winner 7/8 times. Details are included (click to enlarge).
As of yesterday's close here is how the May 23 straddle and Apr 23 straddle closed:
May 23 Straddle On 4-13-2010 Close
Apr 23 Straddle On 4-13-2010 Close
The Options Tab (click to enlarge) from today one hour after the open is included.
Calculations: May 23 Straddle
Yesterday close: $0.64 + $0.96 = $1.60 (sell)
As of ~10:30 EST: $0.785 + $0.57 = $1.36 (buy)
Net: +$0.25 or 15.3%
So it did a little better than the average of ~10%
Calculations: Apr 23 Straddle
Yesterday close: $0.35 + 0.56 = $0.91 (sell)
As of ~10:30 EST: $0.45 + 0.105 = $0.56 (buy)
Net: +$0.35 or 39%
So the front month turned out to be a better.
In either case, the straddle sale was a winner. For the back month strategy - now 8/9 times are a winner. The updated "scorecard" looks like this:
One caveat - the other calcs are close to close - I have just thrown in a calc which is just one hour into trading... Please note, that value must be updated at some point. Try to stay away from "convenient" record keeping for strategies.
Finally, the Skew Tab snap from yesterday and today (click either to enlarge).
And from 1-13-2010 and 1-15-2010:
Please remember: This is trade analysis, not a recommendation! We're just analyzing earnings vol and straddles. The calcs above are missing commissions and slippage.
I'm just looking at these, not trading... The past is absolutely no guarantee of the future.
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