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Earnings Options Plays Around Earnings with CuteMarkets Examples

Abstract

Earnings are discrete volatility shocks. The stock reprices, implied volatility usually collapses after the release, and execution quality often worsens exactly when trader attention peaks. That makes earnings options attractive, but only if the trade structure matches a measurable hypothesis.

This condensed article presents a research-oriented framework for earnings options using the CuteMarkets API. The central idea is simple:

Do not start with a favorite strategy. Start with the market-implied move, chain quality, and an explicit thesis about direction or volatility.

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import qiskit as qk


simulator = qk.BasicAer.get_backend('statevector_simulator')

q = qk.QuantumRegister(3)
c = qk.ClassicalRegister(3)

total_sum = None

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# PreDeCon - Projected Clustering
# Paper: Density Connected Clustering with Local Subspace Preferences, Böhm et al., 2004
# This code is not optimized.
import numpy as np


def get_neighbor(X, candidate):
    """Return the eps-neighbors of candidate.
    """
    neighbors = []

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# More information: "A Framework for Clustering Evolving Data Streams", Aggarwal, 2003
# This does not deal with redundancy (which apparently is rampant).
import math


alpha = 2
beta = 2

levels = []

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# Calculate uniform time warping (UTW) of two small time series.
# The arguably better alternative is dynamic time warping (DTW).
import numpy as np


X = np.array([3, 5, 9, 2, 3, 6, 3])
Y = np.array([3, 4, 6, 10, 1, 3, 2, 7, 4])
X_len = X.shape[0]
Y_len = Y.shape[0]
X = np.repeat(X, Y_len)

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import numpy as np


def calc_cohens_kappa(matrix):
    p0 = (matrix[0][0] + matrix[1][1]) / matrix.sum()
    pyes = (matrix[0].sum() / matrix.sum()) * ((matrix[0][0] + matrix[1][0]) / matrix.sum())
    pno = (matrix[1].sum() / matrix.sum()) * ((matrix[0][1] + matrix[1][1]) / matrix.sum())
    pe = pyes + pno
    k = (p0 - pe) / (1 - pe)
    print(k)

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Note: I found this on the /r/Piracy subreddit (https://www.reddit.com/r/Piracy/comments/3i9y7n/guide_for_finding_textbooks/?sort=confidence) however I am including a copy here just in case.

So you have a list of books you need to buy for college. There are some really great resources for finding them online, but I'm going to run through the easiest methods for searching all of them here.

First, let's start off by using the method that will allow you to find the vast majority of books. Google. It tends to be easier if you can search multiple sites at once, and this is the easiest way to do it.

There was a search engine that /u/ratokursi made 3 years ago, but by now most of the sites are either dead or have changed the url. I decided to make a new one, this time after reviewing 100+ sites and adding to working ones to the custom search engine.

https://cse.google.com/cse/publicurl?cx=011394183039475424659:5bfyqg89ers

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1. Open elevated console
2. Type "netsh winhttp reset proxy"

You can now download the latest patch successfully. If this doesn't work, try the official fixes on the enmasse website, or google furthermore regarding WinHttp.

Apparently I used the WinHttp library some time (maybe in my Proxy program) and forgot to remove the proxy again. 
Now be aware that you cannot remove the proxy through the standard internet settings in windows, you have to reset it with the command.

Tested on Windows 10