Option Strategies for Earnings Announcements PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Option Strategies for Earnings Announcements PDF full book. Access full book title Option Strategies for Earnings Announcements by Ping Zhou. Download full books in PDF and EPUB format.
Author: Ping Zhou
Publisher: FT Press
ISBN: 0132947404
Category : Business & Economics
Languages : en
Pages : 258
Get Book Here
Book Description
By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
Author: Ping Zhou
Publisher: FT Press
ISBN: 0132947404
Category : Business & Economics
Languages : en
Pages : 258
Get Book Here
Book Description
By trading on corporate earnings, investors can reliably profit in both up and down markets, while avoiding market risk for nearly the entire quarter. In this book, two leading traders and portfolio managers present specific, actionable techniques anyone can use to capture these sizable profits. Ping Zhou and John Shon have performed an unprecedented empirical analysis of thousands of stocks, reviewing tens of millions of data points associated with option prices, earnings announcement returns, and fundamentals. Their massive analysis has identified consistent opportunities associated with focusing on the magnitude of the market’s reaction to earnings, not its direction. Option Trading Set-Ups for Corporate Earnings News offers concrete guidance for improving the likelihood of making correct forecasts, and managing the risks of incorrect forecasts. It introduces several ways to exploit option trading opportunities around earnings news, discuss crucial issues that most retail investors haven’t considered, and explore aspects of earnings-related option trading that have never been empirically examined and documented before. For example, they identify hidden patterns and potential opportunities based on valuation, industry, volatility, analyst forecasts, seasonality, and trades that immediately follow earnings announcements. Simply put, trading on earnings reports offers immense profit opportunities, if you know how. This book provides incontrovertible facts and detailed strategies, not just theories and anecdotes!
Author: John Shon
Publisher: Pearson Education
ISBN: 0132659751
Category : Business & Economics
Languages : en
Pages : 20
Get Book Here
Book Description
This Element is an excerpt from Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions (9780137084920) by John Shon, Ph.D., and Ping Zhou, Ph.D. Available in print and digital formats. Two Line Description How to trade options before earning announcements — and profit whether the market raves or rages! Text Excerpt We’ve all seen perplexing market reactions to earnings announcements, but would you have guessed that this happens 40% of the time? Even if you predict the right direction of an earnings surprise, it’s still easy to lose money with a directional bet. So how can you profit from an earnings announcement? You use an options trading strategy called a “straddle.”
Author: John Shon
Publisher: FT Press
ISBN: 0132615851
Category : Business & Economics
Languages : en
Pages : 225
Get Book Here
Book Description
Profit from earnings announcements, by taking targeted, short-term option positions explicitly timed to exploit them! Based on rigorous research and huge data sets, this book identifies the specific earnings-announcement trades most likely to yield profits, and teaches how to make these trades—in plain English, with real examples! Trading on Corporate Earnings News is the first practical, hands-on guide to profiting from earnings announcements. Writing for investors and traders at all experience levels, the authors show how to take targeted, short-term option positions that are explicitly timed to exploit the information in companies’ quarterly earnings announcements. They first present powerful findings of cutting-edge studies that have examined market reactions to quarterly earnings announcements, regularities of earnings surprises, and option trading around corporate events. Drawing on enormous data sets, they identify the types of earnings-announcement trades most likely to yield profits, based on the predictable impacts of variables such as firm size, visibility, past performance, analyst coverage, forecast dispersion, volatility, and the impact of restructurings and acquisitions. Next, they provide real examples of individual stocks–and, in some cases, conduct large sample tests–to guide investors in taking advantage of these documented regularities. Finally, they discuss crucial nuances and pitfalls that can powerfully impact performance.
Author: Monique W.M. Donders
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
In this paper we study the impact of earnings announcements on trading volume, open interest and spreads in the stock option market. We find that option volume is higher around announcement days, even if we correct for stock volume and the expected future volatility of stock returns. Results in the pre-event period are different for good and bad news samples, indicating that option traders have access to (possibly short lived) private information. During the days before the announcements open interest tends to increase. After the earnings news dissemination traders seem to lose interest in the contracts and cancel part of their option positions thereby reducing open interest to normal levels. Analysis of quoted spreads provide no evidence of dealers' anticipation of higher information asymmetry in the pre- or post announcement period. However, results for effective spreads indicate that the transaction costs are higher on the announcement day itself and on the day immediately following the earnings dissemination. Both quoted and effective spreads are shown to respond to changes in trading volume and expected return variability.
Author: kaushik i. amin and charles m.c. lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
Author: Kaushik I. Amin
Publisher:
ISBN:
Category : Employee stock options
Languages : en
Pages : 42
Get Book Here
Book Description
Author: Sunyoung Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
We examine the effect of option listing on the stock-price response to quarterly earnings announcements. We find that option trading reduces the magnitude of the pre-earnings announcement drift. We also present evidence that firms with options exhibit more intensive price reactions to earnings news than firms without options. In addition, we show that the magnitude of the post-earnings announcement drift is smaller for option firms than non-option firms. These results suggest that the existence of traded options increases the speed of stock price adjustment. Overall, our results reinforce the notion that option listing improves the informational efficiency in equity markets. In addition, our results are consistent with the view that transactions costs cause a delayed price response in the post-earnings announcement period.
Author: Tim Leung
Publisher:
ISBN:
Category :
Languages : en
Pages : 36
Get Book Here
Book Description
We study an option pricing framework that accounts for the price impact of an earnings announcement (EA), and analyze the behavior of the implied volatility surface prior to the event. On each known announcement date, we introduce a random jump to the stock price. Applying this idea to extend the Black-Scholes model, we obtain formulas for the pre-EA European option price, its implied volatility and various Greeks. We further incorporate random-time jumps in the stock price by extending the Kou jump-diffusion model to incorporate an EA jump, and provide an analytic option pricing formula. Moreover, we derive analytic bounds and asymptotics for the pre-EA implied volatility under various models. The calibration results demonstrate adequate fit of the entire IV surface prior to an announcement. We also compare the risk-neutral distribution of the EA jump to its historical distribution. Finally, we discuss the valuation and exercise strategy of pre-EA American options, and illustrate an analytical approximation and numerical results.
Author: John Shon
Publisher: Pearson Education
ISBN: 0132659549
Category : Business & Economics
Languages : en
Pages : 23
Get Book Here
Book Description
This Element is an excerpt from Trading on Corporate Earnings News: Profiting from Targeted, Short-Term Options Positions (9780137084920) by John Shon, Ph.D., and Ping Zhou, Ph.D. Available in print and digital formats. Understand those crucial quarterly earning announcements: how they work, and how they impact stock prices. Quarterly earnings announcement are the most salient, most anticipated, regularly-recurring announcement that companies make. They are the most watched piece of information that comes directly from the people that know the business the best. They are also considered the most reliable source of information, largely because companies are subject to strict SEC Rule 10b-5 rules...
Author: Monique Donders
Publisher:
ISBN:
Category :
Languages : en
Pages : 30
Get Book Here
Book Description
