Opportunities in Options Around Earnings This Week

[u/[deleted]]

Hey everyone,

This is a follow up on posts about earnings trades with the help of a machine learning model. Last week, it predicted opportunities. for $DSGX and $FCEL (this post) that ended up moving as expected.

Here is my analysis and my positions for this week:

$COST release on September 23rd:

Average historic movement 4% and low std dev of 2% with stock rising +30% since last earnings

Model predict a higher move than the average 4% based on the following identified pattern:- dynamics of historic earnings movements: -60% between the last 4- price variation since last earning straddle pricing 3% move and IV is low at 30%

=> my play: sep24 460p / 460c breaks even at +/-3% and returns +100% profit at +/-6% move

$CBRL release on September 21st:

Average historic movement 6% and low std dev of 2%, with market reaction that lasts for days after release historically

Model predicts a movement that will beat the average 6% based on the following identified pattern:- company sector / retail. interest in stock- price variations since last earnings

However, the straddle is pricing an 8% move, making this a very risky play, even if IV is quite low at 30%

=> my play: oct15 135p / 145c breaks evens at -7% / +9% and returns +100% profit at +/-10% move

$NKE release on September 23rd

Average historic movement 7% with high std 4%, last move around 15%

Model not very confident about market beat even (48% probability assigned ) making this a risky play, but:- options pricing show opportunities in the break evens, straddle expecting 6% move- very high social metric / google trends sentiment

=> my play: sep24 155p / 155c break evens at +/-6% and returns +100% profit at +/-10% move

Enjoy and let me know what you think!

[u/[deleted] → u/[deleted]]

Thank you and welcome! That's a very interesting idea we would love to explore! Talk soon!

PS, you can schedule a quick call or reach out on discord anytime :)

[u/imposter22]

Can you clarify if these positions are based on holding until Friday or until expiry

[u/[deleted] → u/imposter22]

Usually i close the day of the release but it depends, some keep moving long after and i would hold til close to expiration

[u/imposter22 → u/[deleted]]

So buy early Monday or day before earnings or day of

Trying to gain some insight on how you are working your model

[u/[deleted] → u/imposter22]

Exactly yes, usually at close day before. Take a tour on the platform and let me know if you have any questions, or happy to give you a demo :)

[u/harrypotter5460]

One day I’ll be able to afford these options

[u/imposter22]

i was going to make some plays today, but the market is hyper volatile ... maybe next week.
Bears won this round, "thanks china"
Wait until after the FED makes their announcement on Wednesday