whats up everyone - we're kicking off another earnings season and it's one of the primary market effects i target. there are four broad ideas i implement through an earnings cycle: long vol into ER, short vol through ER, play the immediate directional response, and target post earnings announcement drift.
ive found this year while stable, a lot of my vol based sleeves have changed quite a bit. from 0dte index VRP, overnight VRP, weekend, and earnings vol. this last week, there were 75 tickers that passed my base filters:
https://preview.redd.it/xgs6rtf53ifh1.png?width=1492&format=png&auto=webp&s=16aed1ef056df0555226ddd9318a8c20c5fbacbf
of those performance was solid, and a little more right tailed than usual, but required shifting some filters a little more aggressively, like the premium to expected move ratio over 1.1 which i haven't had to do in a while, i recently had been running 0.98.
https://preview.redd.it/c0ce6hfb3ifh1.png?width=1498&format=png&auto=webp&s=a295bbde724f8a03dbdb497aac8deab2599954e3
interesting season so far - and interested to see how it continues from here.