Saw a video by Volatility Vibes, using single ATM calendar to crush IV on front end during earnings. Back testing turned $10k into $1 million, but blow up was always guaranteed (5% chance), unless Kelly Criterion was respected, never more than 6% of port per position. The back test was with full Kelly or 60% of port sizing.
The criteria to open has to be met:
This gives us a 66% win rate, the ATM calendar must be opened 15 minutes before market close, and closed 15 minutes after market open. Works best for companies reporting Thursday after hours where the short crushes entirely since there's no time value left on Friday.
For earnings this week, there are only three tickers which meet the criteria
The ATM calendar intended purpose is to capture front end IV, crushing aggressively, while buying much cheaper back end IV. Sell the week of ER, buy 30-32dte longs. You can use Gemini, feeding it the WSB weekly earnings report it can find companies which match the criteria.
Double calendars do not work, the backtest is for ATM calendars where vega crushes hardest, and the debit for single ATM calendars is cheaper. If the criteria is not met the position must not be opened. All of the rules must be respected. Position size can never exceed 6% of port. This sizing targets a 90% CAGR while keeping your average drawdown around 20%, making it a strategy you can actually survive for the long term
ATM Calendars on Earnings – $10k to $1m
byu/breakyourteethnow inoptions
Posted by breakyourteethnow
4 Comments
Ok, so what’s the game plan here, give me an example.
[removed]
How would you set this up?
AI slop