This week's straddle plays were a flop across the board. However, had they been held through earnings on 3/4 trades I would have doubled my money. That 4rth trade was HPE which is a blue chip and didn't move at all.
ICT says that the money is made on the analysis and trade entry.
I propose that there are a certain subset of companies which a very suitable for holding straddles through earnings.
1. First off, the analysis will be limited to companies with weekly options. This suggests the options are liquid enough.
Ideally, a chart of straddle price vs. stock price would be compared. The behavior before earnings and after earnings of both would be compared...However this is impossible...I can't obtain such charts because the data is not available to me. Therefore I need to make my own charts
At pre-determined intervals throughout the trading day I need to sample straddle data points.
Long-term straddles on issues with very low volatility are another potential area of interest of course. Strangles would actually be better here due to the high cost associated with long term options.
I need to come up with a plan to implement this data collection and solve the question of how best to trade short-term earnings straddles once and for all!!!
--It could turn out to be a crap shoot...at that point, whatever generally results in the best performance will be employed!
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