Thread by @Newnorthcapital

1/ I had been using slightly different methods to find these expected moves, straddle pricing, etc. for a bit now, but I wanted to point out this method showed to me by @jp242x

2/ this seems like tricky math but what's important is the simplified version of Black-Scholes found at the bottom.. here's the screen grab

3/ This is key for new traders.. Straddles are inherently neutral strategies and as @cloudy_cl has constantly pointed out recently, sometimes it's best to accept uncertainty and simply put this trade on. New ppl tend to be overly convinced of one outcome long calls or long puts

4/ again, chasing one-sided trades can be costly esp. for new people.. so lets look at an example w/ $spy from 30 mins ago:
Expected move (IV)=457.8*25.11%*sqrt(1.25/365)
=+-6.72
Expected move (atm straddle)= 5.38*1.25=6.725

5/ so, tho it looks hard, it's key in options trading. The first formula was based on:
$spy price*implied vol*sqrt of time to expiry. This tells us an exact number as to how much we should expect $spy to move. the second calc (atm straddle price*1.25)..

6/ tells us what the market is currently PRICING in. In this example they were ~equal so there's no SIGNIFICANT opportunities to outperform, find alpha, or whatever u want to call it. If the exp. move from IV were to be lower than the straddle pricing, there IS an opportunity to

7/ buy the straddle and be patient enough to sell it at a profit. Is this a 100% profitable strategy? Nothing is, but it does provide a simple roadmap for new traders to try and find 'cheap' straddles and strategies to outperform/ start learning. again, h/t to @jp242x