The Option Alpha Podcast 22: Interview w/ Kim Klaiman - Strategies for Buying Options Ahead of Earnings
Mar 3, 2015
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Build A Strategy Mix To Balance Greeks
- Use a mix of non-directional strategies (iron condors, calendars, long straddles) to balance Greeks.
- Pair gamma-negative sells with gamma-positive long straddles to reduce portfolio correlation risk.
Stock Personalities Dictate Strategy
- Kim builds separate stock lists based on backtests showing whether straddles or calendars work better.
- He treats each stock's 'personality' as evidence to trade long or short volatility accordingly.
IV vs Theta Is The Core Trade
- Long straddles before earnings are a contest between rising implied volatility and theta decay.
- You only profit if IV rises enough to overcome the negative daily theta loss.