Volatility mis-pricings from twitter ?

I obviously don't trust my due diligence for trading. So I set out to find other people who I can rely on

Jul 20, 2023

Twitter is often a good place to find exciting stock picks and investment ideas. It is almost surreal how involved the community is. This works well for fundamental investors.

But what about us, the volatility traders?

I set out to find a good source on Twitter to generate alpha. I basically am using Elon’s personal playground to hunt for volatility mispricings.

That’s how desperate I am.

Anyway, I started looking for good, undervalued Twitter profiles (profiles that I think should have more followers due to quality content).

I stumbled across @LogicalThesis, a GARP investor who almost daily tweets his findings and observations.

It is no saying that he is obviously a lot smarter than I am.

I mean, who isn’t ? I’m literally trying to use social media for volatility alpha. Doesn’t get dumber than that

His predictions generally play out well, just like a lot other people on twitter, but even though his investment style is GARP(Growth at Reasonable Price), his tweets also cover stocks which have sudden movements, and hence large degree of volatility misprcings.

I find his twitter a great screen to forecast volatility mispricings in 10-day IV/RV spreads.

Almost poetic that I try to find volatility mispricings, and he doesnt. And he still does it better than me.

Whether Implied Volatility will be underpriced or overpriced, that is upto your due diligence. I just know that there will often be a big degree of movement in this spread after he tweets about it.

I will probably write a series like this, about the people who have influenced me on my journey so far. Lots of smart people

So, if you have read my previous articles, you would know that I had programmed a dinky python code that scrapes alphaquery.com for IV and HV data, since, well, I can’t really buy those pricey platforms like PredictingAlpha

I actually got blacklisted from AlphaQuery when I used to parse their code from an online IDE (easier for hosting).

Now I shifted it locally, which kind of makes usability worse, but eh, have to work with whatever I have.

I just made a list of all the recent tickers he has mentioned, and parsed Alpha-Query’s database for historical IV and RV values through the code.

Here are my findings:

A few examples: (BTW the date that he tweeted will be marked by a red dot in the graph)

RCL:

June 27th marked by a red dot: