StockFetcher Forums · General Discussion · Optionable Screener targeting Volitility expl/impl & earnings<< >>Post Follow-up
4 posts
msg #113723
Ignore Tearhill
5/27/2013 1:33:39 AM

Certain stocks have a volatility differential between front and back month that increases as the earnings announcement date nears. This can be capitalized on if the stock can be identified before the volatility differential begins to separate (on the buy side) and again when the volatility collapses back to normal after earnings is announced (on the sell side). I have been hunting and pecking on TOS and have been having scattered luck, usually arriving too late to the party but starting a small list. Was hoping to do something here but can't find any filter regarding earnings. It would seem a filter could be created to compare volatility 8-10 days prior to earnings set with at a variable differential filter (I'd like to see at least 20% differential and have seen them go over 60%). This kind of volatility can even get you out of the "losing" side of a straddle w/a profit and a very nice profit on the win side.

Any ideas would be appreciated.

The raw bones I've come up with so far and I am about kindy garden level knowledge is:

Select stocks where close is between 20 and 300 and stocks are optionable
and historical volatility(100,1) increasing for the last 5 days
and volume is above 300,000
and draw Upper Bollinger Band(20,2)
and draw lower bollinger band(20,2)
and draw williams %r(14)

This is getting me equities that are already lit up on the volatility side so the entry is no good for the pre-earnings build up. And no clue as to earnings buildup as the mechanism driving the volatility surge which is the basic trigger for searching I'm trying to get at - looking at the last 3 earnings cycles for an equity and evaluating if the implied versus historical exceeds a variable %.

Thanks for looking. Maybe it can't be done if a prior earnings date isn't part of the searchable database. Could be very cool though if it was.

4 posts
msg #113850
Ignore Tearhill
6/3/2013 12:05:34 AM

Would have thought with all the big brains here someone could have figured this.
Guess the lack of an earnings input is too much to overcome.
Ah well...

3,833 posts
msg #113851
Ignore Kevin_in_GA
6/3/2013 8:02:24 AM

The challenge here is that there is no way to screen for a period "pre-earnings" here at SF (or anywhere else as far as I know) in a way to construct a useful technical screen. Sorry.

637 posts
msg #113875
Ignore mahkoh
6/3/2013 4:37:36 PM

This is a snippet of code I have used before to compare current volatility with average volatility using bollinger width

add column Bollinger width(20,2)
set{avgbw,cma(Bollinger width(20,2),100)}
add column avgbw
set{volat,bollinger width/avgbw}
add column volat

I did try to work with historical volatility as well but could not really turn that into good use.

StockFetcher Forums · General Discussion · Optionable Screener targeting Volitility expl/impl & earnings<< >>Post Follow-up

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