The Earnings Volatility Strategy Big Funds Use (That You Don't Know About) скачать в хорошем качестве

The Earnings Volatility Strategy Big Funds Use (That You Don't Know About)

Learn to trade the earnings IV ramp! 🚀 My Professional Trading Tools 👉 https://oquants.com/?utm_source=youtu... (Only for serious traders ready to level up.) 🔥 Interested in working with me 1-on-1? Apply for mentorship https://mentorship.volatilityvibes.com/ ==== Resources ==== ➤Downloads: https://volatilityvibes.com/resources... 🔔 Subscribe for more trading insights! 👍 Like & Comment if you found this breakdown helpful! ==== Summary ==== In this video, I break down a rules-based pre-earnings long straddle strategy that buys at-the-money straddles around two weeks before earnings and exits before the announcement, explicitly avoiding gap risk and focusing purely on the repricing of implied volatility into the event. What you’ll learn: Why IV ramp ≠ free edge: how the famous earnings IV ramp is mostly a mechanical artifact of dropping low-vol days from the expiry window, not an automatic source of profit. From event vol → implied move: step-by-step, how to back out the implied earnings move from option expiries using variance additivity, and how that becomes the “±X% move” number you see on dashboards. The four key signals: relative value metrics comparing the current implied move to past implied and realized earnings moves (and why simple skew slope or raw implied move alone are weak or unstable signals). Walk-forward regression model: an expanding-window, two-year-ahead walk-forward process from 2009 onward, using the four best predictors to estimate expected pre-earnings straddle returns out of sample. Implementation playbook: how to compute the four signals for each upcoming earnings, rank by predicted return under capacity constraints, enter ATM straddles, manage position sizing, and decide whether to optionally delta-hedge or gamma-scalp into the event. ==== Chapters ==== 00:00 Why Most Pre-Earnings Straddles Lose Money 00:20 A Small Filtered Subset That Becomes a 7-Figure Equity Curve 00:38 Trade Setup: ATM Straddle, Monthly After Earnings, No Gap Risk 00:55 Long Gamma, Long Vega into a Known Catalyst 01:30 Role in a Short-Vol Portfolio & Hedge Behavior 01:53 We Exit Before Earnings: Trading Vol Repricing, Not the Gap 02:18 Ambient Volatility vs. Event (Jump) Volatility 02:33 Defining Ambient Vol: “Background” Stock Volatility 03:40 Backing Out Event Vol from Total Expiry IV 04:37 From Event Vol to Implied Earnings Move (The Math) 05:33 Why the Earnings IV Ramp Is Mostly Mechanical 06:01 Intuition: Dropping Ambient Days, Packing the Same Event Variance 07:20 Simulation: IV Ramps but Straddles Still Lose 07:46 Simulation: When Event Vol Is Actually Repriced Higher 08:02 The Real Bet: Mispricing of Event Vol vs. History & Realized 08:40 Building the Pre-Earnings Straddle Dataset (21,500+ Trades) 09:55 Testing Signals: Skew Slope, Raw Implied Move, and Earnings Metrics 10:30 Relative Implied vs. Last / Average Implied & Realized Moves 11:28 Decile Plots: What a Weak vs. Strong Signal Looks Like 11:55 Stability Through Time: Four-Year Blocks & Regime Checks 12:46 Collinearity Checks: Correlations & Variance Inflation Factor 13:30 Walk-Forward Setup: Expanding Windows & Two-Year OOS Blocks 13:51 Out-of-Sample Performance: Coefficients, Correlations, Spreads 14:37 Filtering to Positive Predicted Returns: Distribution & Win Rate 15:23 Kelly Fraction, Drawdowns, and Why to Use Small Kelly 15:52 Backtests with Capacity Constraints & Different Kelly Fractions 16:18 Refitting the Final Model on All Data 16:34 Daily Workflow: Computing Signals & Ranking Trades 16:52 Using OQuants if You Don’t Want to Build the Pipeline 17:08 Entering the Trade: Sizing, Tickers, and Diversification 17:32 Holding Period & Exit Rules Before Earnings 17:54 Optional Delta Hedging / Gamma Scalping into the Event 18:29 Recap: Ramp vs. Edge, Signals, Model, and Implementation 18:55 Next Steps, Future Deep-Dive Videos, and How to Get the Trade List ==== Disclaimer ==== ⚠️ This channel is intended solely for research and educational purposes. It does not constitute financial, investment, legal, or tax advice. The content reflects personal opinions and is not a recommendation or solicitation to buy, sell, or hold any securities or financial instruments. Any examples, performance results, or trade references are hypothetical, simulated, or unverified, and should not be relied upon for investment decisions. Always conduct your own due diligence or consult a licensed financial professional before making any investment. Viewer discretion is advised. ⚠️ ==== Tags ==== #earnings #ivramp #earningsivramp #earningsreport #options #optiontrading #volatility #impliedvolatility #forwardvolatility #termstructure #backwardation #contango #optionselling #quanttrading #riskmanagement #kellycriterion #sharperatio #SPY #stockmarket #tradingstrategy #oquants #pythontrading #volatilitytrading #straddlestrategy #financialderivative #greeks #financialmodeling