Add training workflow, datasets, and runbook

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Volatility Selling
Susie Seller, a volatility trader, studies semiconductor stocks. Exhibit 12.3
shows the volatilities of a $50 chip stock. The circled area shows what
happened before and after second-quarter earnings were reported in July.
The black line is the IV, and the gray is the 30-day historical.
EXHIBIT 12.3 Chip stock volatility before and after earnings reports.
Source : Chart courtesy of iVolatility.com
In mid-July, Susie did some digging to learn that earnings were to be
announced on July 24, after the close. She was careful to observe the classic
rush and crush that occurred to varying degrees around the last three
earnings announcements, in October, January, and April. In each case, IV
firmed up before earnings only to get crushed after the report. In mid-to-late
July, she watched as IV climbed to the mid-30s (the rush) just before
earnings. As the stock lay in wait for the report, trading came to a
proverbial screeching halt, sending realized volatility lower, to about 13
percent. Susie waited for the end of the day just before the report to make
her move. Before the closing bell, the stock was at $50. Susie sold 20 one-
month 50-strike calls at 2.10 (a 35 volatility) and bought 1,100 shares of the
underlying stock at $50 to become delta neutral.