Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements
| Author | : | |
| Rating | : | 4.12 (990 Votes) |
| Asin | : | 0996182306 |
| Format Type | : | paperback |
| Number of Pages | : | 254 Pages |
| Publish Date | : | 2017-08-24 |
| Language | : | English |
DESCRIPTION:
Brian Johnson designed, programmed, and implemented the first return sensitivity based parametric framework actively used to control risk in fixed income portfolios. Mr. Johnson founded Lincoln Capital Management’s fixed income index business, where he ultimately managed over $13 billion in assets for some of the largest and most sophistic
Big Picture Details Are Missing This book examines how to profit from volatility during the earnings of stocks. The book relies heavily on using two spread sheets although I had difficulty finding the spread sheets till the very end of the book.First, the introduction does not say where the spre. Ready to go; just add margin. John Cosgrove Through original research, Brian delivers a comprehensive framework for trading options on equities around earnings announcements in this book. After using the spreadsheets that came with the book, I've identified both past trades and trades in real-time. My resul. "AND the author really needs to use a better word processing program to better format his equations and" according to PaulW. I'm an electrical engineer and found it took too much work to follow his ideas. A summary of the equations/approach would really help. AND the author really needs to use a better word processing program to better format his equations and summarize his thoughts. It
. Please install the Solver Add-in and Solver VBA reference from a blank workbook Before attempting to open or access the two Excel spreadsheets that accompany this book.I hope you enjoy the book and find the tools useful and educational. To minimize potential compatibility issues, I did not use macros in the Basic spreadsheet that accompanies this book. From the AuthorTwo spreadsheets are included with Exploiting Earnings Volatility to help traders of all experience levels incorporate the analytical framework in their investment process. The included Integrated spreadsheet is more complex, but far more versatile. Macros are included in the Integrated sp
The unique price and volatility behavior of options before and after discrete earnings announcements is an enigma to most option traders, even to many professionals. Exploiting Earnings Volatility is written in a clear, understandable fashion and explains how to use this novel approach to 1) solve for the expected level of earnings volatility implicitly priced in an option matrix, 2) calculate historical levels of realized and implied earnings volatility, 3) develop strategies to exploit divergences between the two, and 4) calculate expected future levels of implied volatility before and after earnings announcements. Written specifically for investors who have familiarity with options, this practical guide begins with a detailed review of volatility and an explanation of the aggregate implied volatility formula. A separate chapter provides a conceptual and mathematical explanation of “True Greeks,” accurate measures of risk and return sensitivity that reflect the real-world behavior of options. In an Active Trader article titled “Modeling Implied Volatility,” Mr. Most important,