Wednesday, September 30, 2015

Thursday's Prospects

On Wednesday, Sept. 30:

Of 486 large-cap stocks and exchange-traded funds in my analytical universe, !# broke beyond their 20-day price channels, !# to the upside and !# to the downside.

No symbols giving trading signals survived initial screening.

There are no prospects for trades coinciding with earnings announcements.

With no symbols having survivid screening, I shall do further analysis from these pools on Thursday, Oct. 1.

The next earnings season begins Oct. 8, with peak announcements lasting for three weeks. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, in month before the season begins increasing numbers of symbols will be removed from my prospective trades list during initial screening. The rule doesn't apply to trades under my entered to coincide with earnings announcements.

Methodology

 The stocks in my analytical universe all have analyst coverage through the stock-ranking company Zacks Investment Research. Not all of the exchange-traded funds are so covered.

I screen the symbols for historical odds of a profitable signal in the direction of the breakout for the past 12 months.

For symbols whose odds of success are in the top or bottom thirds, suggesting a directional or non-directional trade, respectively, I next screen for 1) suitability of the options grid, including open interest of three figures or greater on the strike prices I would need to use to build a position, 2) implied volatility in the 60th percentile or greater of its 12-month range, and 3) the absence of an earnings announcement within the lifespan of the like options series I would trade; presently the NOV options, trading for the last time on Nov. 20. For symbols with odds of success in the bottom third, I also screen for low implied volatility, suggesting a covered call play

-- Tim Bovee, Portland, Oregon, Sept. 30, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.Tss s ss'ss
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Wednesday's Outcomes

I entered a short covered call against my LEAPS position in GLD and exited my iron condor on ADBE after profit reached more than half of its maximum potential.

-- Tim Bovee, Portland, Oregon, Sept. 30, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Wednesday's Agenda

TLT and TBT both have lower volatility than I like -- around the 30th percentile of the 12-month range -- and I'm passing on both without further analysis. Both track the long-term U.S. Treasuries -- 20 years and greater -- with TBT being an inverse double-leverage fund.

I'll look at rolling forward the short leg of my LEAPs-variant covered call on GLD.

-- Tim Bovee, Portland, Oregon, Sept. 30, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Tuesday, September 29, 2015

Wednesday's Prospects

On Tuesday, Sept. 29:

Of 486 large-cap stocks and exchange-traded funds in my analytical universe, seven  broke beyond their 20-day price channels, two to the upside and five to the downside.

Two symbols giving trading signals with high odds of success survived initial screening, one having broken out to either side. High odds symbols are candidates for directional trades. The two symbols are variant funds based on the same underlying.

There are no prospects for trades coinciding with earnings announcements.Rules.

I shall do further analysis on Wednesday, Sept. 30.

The next earnings season begins Oct. 8, with peak announcements lasting for three weeks. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, in month before the season begins increasing numbers of symbols will be removed from my prospective trades list during initial screening. The rule doesn't apply to trades under my Volatility Rules.

Trading signal survivors

High-odds
Bull
TLT

High-odds
Bear
TBT

Low-odds
Bull
(none)

Low-odds
Bear
(none)

Methodology

 The stocks in my analytical universe all have analyst coverage through the stock-ranking company Zacks Investment Research. Not all of the exchange-traded funds are so covered.

I screen the symbols for historical odds of a profitable signal in the direction of the breakout for the past 12 months.

For symbols whose odds of success are in the top or bottom thirds, suggesting a directional or non-directional trade, respectively, I next screen for 1) suitability of the options grid, including open interest of three figures or greater on the strike prices I would need to use to build a position, 2) implied volatility in the 60th percentile or greater of its 12-month range, and 3) the absence of an earnings announcement within the lifespan of the like options series I would trade; presently the NOV options, trading for the last time on Nov. 20. For symbols with odds of success in the bottom third, I also screen for low implied volatility, suggesting a covered call play for income.

-- Tim Bovee, Portland, Oregon, Sept. 29, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.Tss s ss'ss
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Tuesday's Outcomes

I opened a position in SPX, rolling forward from one closed a day earlier. The roll allows me to collect more premium and to keep the expiration date close to my target of 42 days out.

My earnings play on LEN turned against me and I've exited for a loss. I also exited my short call on a covered call LEAPs variant on GLD and shall consider rolling it forward on Wednesday.

-- Tim Bovee, Portland, Oregon, Sept. 29, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

SPX Analysis

Update 11/4/2015: SPX moved contrary to my bearish position in October and I have exited this position to avoid expiration.

 Shares rose by 12.0% over 36 days, or a +122% annual rate. The options position produced a -141.7% loss on debit, for a -1,436% annual rate.
I continue to be bearish the S&P 500 based on the trend and am rolling forward to a later options series on SPX -- options on the index futures.

[S&P 500 in Wikipedia]

SPX

I shall use the NOV2 series of options, which trades for the last time 45 days hence, on Nov. 14.

Ranges

Click on chart to enlarge.
SPX at 11:55 a.m. New York time, 30 days hourly bars
Implied volatility stands at 26.3%. SPX’s volatility stands in the 60th percentile of its annual range.

Ranges implied by options and the chart
WeekSD1 68.2%SD2 95%ChartEarns
Upper2,064.492,238.962,020.86N/A
Lower1,715.551,541.081,867.01N/A
Gain/loss9.2%18.5%
Implied volatility 1 and 2 standard deviations; chart support and resistance, maximum earns move

The Trade

Bear call spread, short the $1,925 calls and long the $1,950 calls,
sold for a credit and expiring Nov. 15.
Probability of expiring out-of-the-money
NOV2StrikeOTM
192563.8%

The premium is $10.35, which is 41% of the width of the position’s wings. The stock at the time of purchase was priced at $1,882.04.

The risk/reward ratio is 1.4:1.

Decision for My Account

I've opened a position in SPX as described above.

-- Tim Bovee, Portland, Oregon, Sept. 29, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Tuesday's Agenda

I shall look at rolling SPX forward to a later options series after taking profits on Monday.

-- Tim Bovee, Portland, Oregon, Sept. 29, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Monday, September 28, 2015

Tuesday's Prospects

On Monday, Sept. 28:

Of 486 large-cap stocks and exchange-traded funds in my analytical universe, 59 broke beyond their 20-day price channels, all to downside.

No symbols giving trading signals survived initial screening. The one finalist, a low odds high implied volatility bear signal from LEN, disqualifies because I already I have an iron condor on the position. See the analysis here. I shall consider LEN for a roll forward upon exit.

There are no prospects for trades coinciding with earnings announcements under my Volatility Rules.

With no survivors, I shall do no further analysis from these pools on Tuesday, Sept. 29.

The next earnings season begins Oct. 8, with peak announcements lasting for three weeks. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, in month before the season begins increasing numbers of symbols will be removed from my prospective trades list during initial screening. The rule doesn't apply to trades under my Volatility Rules.

Methodology

 The stocks in my analytical universe all have analyst coverage through the stock-ranking company Zacks Investment Research. Not all of the exchange-traded funds are so covered.

I screen the symbols for historical odds of a profitable signal in the direction of the breakout for the past 12 months.

For symbols whose odds of success are in the top or bottom thirds, I next screen for 1) suitability of the options grid, including open interest of three figures or greater on the strike prices I would need to use to build a position, 2) implied volatility greater than the 60th percentile of its 12-month range, and 3) the absence of an earnings announcement within the lifespan of the like options series I would trade; presently the NOV options, trading for the last time on Nov. 20.

-- Tim Bovee, Portland, Oregon, Sept. 28, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.Tss s ss'ss
Posted by Tim Bovee at No comments:

Monday's Outcomes

I entered positions on COST and IWM.

I exited a position on SPX for a profit.

-- Tim Bovee, Portland, Oregon, Sept. 28, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

IWM Analysis

Update 12/9/2015: I did a roll forward a week ago, but only bought a little bit of time in order to keep the debit low. IWM remains unprofitable with two weeks before expiration and I've folded my hand and closed out the position entirely.

 Shares rose by 1.9% over 24 days, or a +29% annual rate. The options position produced a -16.0% loss on debit for a -244% annual rate.

 Although I exited the position for a loss, by rolling I reduced the loss to a third of what it would have been without the rolls. So although I didn't manage a profit, the rolls were not a wasted effort.
---
Update 12/4/2015: IWM remains above the zone of profitability and I've rolled it forward to DEC4 series of options, which complete trading on Dec. 24. I retained the strike prices.
Update 11/17/2015: I've rolled IWM forward to December expiration in anticipation of a market downturn, retaining the bear call spread through the transition.

 I exited the November position for a $2.54 debit and entred the Decmeber position for a $2.10 credit. I shall defer calculation of results until after the series is complete.
The iShares Russell 2000 Index exchange-traded fund (IWM) closed below its 20-day price channel on Friday, sending a bear signal. The price has continued sharply lower the trading day following signal.


IWM

Ranges

 Click on chart to enlarge.
IWM at 11:52 a.m. New York time, 30 days hourly bars
Implied volatility stands at 27.7%, which is 1.1 times the VIX, a measure of volatility of the S&P 500 index. IWM’s volatility stands in the 51st percentile of its annual range.

Ranges implied by options and the chart
WeekSD1 68.2%SD2 95%ChartEarns
Upper120.92132.46118.89N/A
Lower97.8586.31109.42N/A
Gain/loss10.5%21.1%
Implied volatility 1 and 2 standard deviations; chart support and resistance, maximum earns move

The Trade

Bear call spread, short the $111 calls and long the $114 calls,
sold for a credit and expiring Nov. 21.
Probability of expiring out-of-the-money
NOVStrikeOTM
11159.5%

The premium is $1.33, which is 44% of the width of the position’s wings. The stock at the time of purchase was priced at $109.16.

The risk/reward ratio is 1.3:1.

Decision for My Account

I've opened a position in IWM as described above.

-- Tim Bovee, Portland, Oregon, Sept. 28, 2015

References

 Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

COST Analysis

Update 11/6/2015: I exited COST for a loss four days before  the stock went ex-dividend in order to eliminate the chance of an assignment of options deep in the money. \

 The COST trade went bad, as have many of my trades from that period, with the rapid market revival after the Aug. 24 China Crash. The chart at entry had shown a bounce downward below resistance, but it resumed its rise a week later.

 Shares rose by 8.0% over 39 days, or a +83% annual rate. The options position produced a 54.2% loss on debit, for a -507% annual rate.
The membership-based warehouse retailer Costco Wholesale Corp. (COST), headquartered in Issaquah, Washington, publishes earnings on Tuesday before the opening bell.

[COST in Wikipedia]

COST

I shall use the NOV series of options, which trades for the last time 53 days hence, on Oct 20.

Ranges

Click on chart to enlarge.
COST at 11:30 a.m. New York time, 30 days hourly bars
Implied volatility stands at 24.7%, which is 9/10ths the VIX, a measure of volatility of the S&P 500 index. COST’s volatility stands in the 57th percentile of its annual range.

Ranges implied by options and the chart
WeekSD1 68.2%SD2 95%ChartEarns
Upper157.61171.16147.59148.07
Lower130.53116.98131.50140.07
Gain/loss9.4%18.8%
Implied volatility 1 and 2 standard deviations; chart support and resistance, maximum earns move

The Trade

In constructing a trade, I've given preference to overing the maximum range of movement post-earnings of the past four announcements, providing a greater premium and lower risk at the cost of a narrower profit zone.

Iron condor, short the $150 calls and long the $155 calls,
short the $135 puts and long the $130 puts,
sold for a credit and expiring Nov. 21.
Probability of expiring out-of-the-money
NOVStrikeOTM
Upper15071.4%
Lower13574.4%

The premium is $1.94, which is 28% of the width of the position’s wings.The stock at the time of purchase was priced at $144.27.

The risk/reward ratio is 1.5:1.

The zone of profit in the proposed trade covers a $5.00 move either way. The biggest immediate move after each of the past four earnings announcements was $4.00, and the average was $2.85.

Decision for My Account

I've opened a position in COST as described above.

-- Tim Bovee, Portland, Oregon, Sept. 28, 2015

References

 Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.


Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Monday's Agenda

I shall analyze COST as a potential trade coinciding with earnings and IWM as a result of a bear signal having low odds of success.

-- Tim Bovee, Portland, Oregon, Sept. 28, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Sunday, September 27, 2015

Tradecraft: How I play the odds in constructing trades

I've spent the past year in a major reworking of how I trade, and as a result, my trading rules have grown increasingly distant from what I actually do.

Time for an update.

Whereas my prior "constitution" for trading was famed as rules, the new version is built as a process, something to guide the craft of constructing trades.

Hence the title: Tradecraft.

 It has a step-by-step walk through of what I do, from initial screening to the entering the trade and beyond to exiting the trade. I've added a section of notes that discuss why I do things the way I do, and a list of links that point to reading that discusses the basic concepts that lie behind my methods.

Tradecraft can be read here as a Google Drive document, and a link will appear at the bottom of all Private Trader posts beginning Monday.

-- Tim Bovee, Portland, Oregon, Sept. 27, 2015

References

Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Saturday, September 26, 2015

The Week Ahead: Jobs, income, spending, manufacturing, Fedsters' return

The employment situation report, out Friday at 8:30 a.m. New York time, will provide yet another nail holding together arguments for or against the Federal Open Market Committee's avowed plan to raise the interest rate Real Soon Now.

The ADP employment report, released Wednesday at 8:15 a.m., by a private-sector payroll company, will provide a sneak preview of the main event.

Two other major reports will potentially pummel the markets during the week: Personal income and outlays on Monday at 8:30 a.m. and the Institute of Supply Management manufacturing survey on Thursday at 10 a.m.

Federal Reserve Chair Janet Yellen gives welcoming remarks at the Community Banking Research and Policy Conference in St. Louis, Missouri, on Wednesday at 3 p.m.  It's not a policy address and there's no reason to think that there will be anything new on money policy, but just in case, I shall keep one eye on the event.

 Leading indicators (in descending order of importance):

The interest rate spread between 10-year Treasuries and the federal funds rate, reported continually during market hours.

The M2 money supply, at 4:30 p.m. Thursday.

The average hourly workweek in manufacturing from the employment report, at 8:30 a.m. Friday.

Manufacturers' new orders for consumer goods and materials from the factory orders report, at 10 a.m. Friday.

Vendor performance, also called the deliveries times index, from the ISM manufacturing survey at 10 a.m. Thursday.

The S&P 500 index, reported continually during market hours.

Average weekly initial jobless claims, at 8:30 a.m. Thursday. 

 Events arranged by day:

Monday: Personal income and outlays at 8:30 a.m., pending home sales at 10 a.m. and the Dallas Federal Reserve Bank manufacturing survey at 10:30 a.m.

Tuesday: The S&P Case-Shiller home price index covering 20 metro areas at 9 a.m. and consumer confidence at 10 a.m.

Wednesday: The ADP employment report st 8:15 a.m., the Chicago Purchasing Managers index at 9:45 a.m., petroleum inventories at 10:30 a.m. and Fed Chair Yellen remarks at 3 p.m.

Thursday: Motor vehicle sales throughout the day, jobless claims at 8:30 a.m., the Purchasing Managers Institute manufacturing index at 9:45 a.m., the ISM manufacturing survey and construction spending, each at 10 a.m., and the M2 money supply at 4:30 p.m.

Friday: Employment at 8:30 a.m. and factory orders at 10 a.m.

I also keep an eye on the Baltic Dry Index, updated daily, and the 5-year implied inflation rate based on U.S. Treasury yields, which presently stands at 1.16%.

Treasury Debt

Bills
  • 4-week: Announcement Monday 11 a.m., auction Tuesday 11:30 a.m., settlement Thursday.
  • 3-month: Auction Monday 11:30 a.m., announcement Thursday 11 a.m.
  • 6-month: Auction Monday 11:30 a.m., announcement Thursday 11 a.m.
Notes
  • 3-year: Announcement Thursday 11 a.m.
  • 10-year: Announcement Thursday 11 a.m.
Bonds
  • 30-year: Announcement Thursday 11 a.m.
TIPS
  • None.
Fedsters

As ducks migrate south for the winter, so the Federal Reserve offcials, with the advent of autumn, return to the speaker's podium after a summer's absence.

In addition to Chair Janet Yellen on Wednesday,  three members of the Fed's Washington, D.C. leadership have public addresses or testimony.

Fed Gov. Daniel Tarullo speaks on Capital Regulation Across Financial Intermediaries at a Banque de France Conference in Paris on Monday at 5:15 a.m. New York time.

Associate Director Tom Sullivan of the Banking Supervision and Regulation Division testifies on insurance regulation before the Housing an d Insurance Subcommittee of the House Financial Services Committee, on Tuesday at 2 p.m.

Fed Gov. Lael Brainard speaks on Community Banks, Small Business Credit and Online Lending at the conference sponsored by the Fed and the Conference of State Bank Supervisors, on Wednesday at 8:15 p.m. in St. Louis Missouri.

Yellen, Tarullo and Brainard are members of the Federal Open Market Committee. Other FOMC members scheduled to speak are Chicago Fed Pres. Charles Evans on Monday and San Francisco Fed Pres. John Williams on Monday and Thursday and Fed Vice Chairman Stanley Fischer on Friday.

FOMC alternates: Boston Fed Pres. Eric Rosengren, Cleveland Fed Pres. Loretta Mester and St. Louis Fed Pres. James Bullard on Friday.

One other of Fed glitterati takes to the podium Minneapolis Fed Pres. Narayana Kocherlakota on Friday. He has no seat on the FOMC this year.

Analytical universe

This week I shall be analyzing new bull and bear signals among 486 large-cap stocks and exchange-traded funds.

Good trading.
-- Tim Bovee, Portland, Oregon, Sept. 26, 2015

References

My trading rules can be read here.

Alerts
Two social media feeds provide notification whenever something new is posted.

License

Creative Commons License

All content on Tim Bovee, Private Trader by Tim Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com
Posted by Tim Bovee at No comments:

Friday, September 25, 2015

Monday's Prospects

On Friday, Sept. 25:

Of 502 large-cap stocks and exchange-traded funds in my analytical universe, 18 broke beyond their 20-day price channels, 11 to the upside and seven to the downside.

No symbols giving trading signals with high odds of success survived initial screening. High-odds symbols are candidates for directional trades.

One symbol with a low-odds signal survived, having broken out to the downside. Low-odds symbols are candidates for non-directional trades.

There is one prospect for a trade coinciding with an earnings announcement under my Volatility Rules.

I shall do further analysis on Monday, Sept. 28.

The next earnings season begins Oct. 8, with peak announcements lasting for three weeks. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, in month before the season begins increasing numbers of symbols will be removed from my prospective trades list during initial screening. The rule doesn't apply to trades under my Volatility Rules.

Trading signal survivors

High-odds
Bull
(none)

High-odds
Bear
(none)

Low-odds
Bull
(none)

Low-odds
Bear
IWM

Potential trades keyed to events

The dates are those of the events, all of them earns announcements. Events prior to the opening bell are marked "am", during the trading day "mid", and after the closing bell "pm".

Monday pm
(none)
Tuesday am
COST

Methodology

 The stocks in my analytical universe all have analyst coverage through the stock-ranking company Zacks Investment Research. Not all of the exchange-traded funds are so covered.

I screen the symbols for historical odds of a profitable signal in the direction of the breakout for the past 12 months.

For symbols whose odds of success are in the top or bottom thirds, I next screen for 1) suitability of the options grid, including open interest of three figures or greater on the strike prices I would need to use to build a position, 2) implied volatility in the 50th percentile or greater of its annual range, and 3) the absence of an earnings announcement or ex-dividend date within the likely maximum lifetime of a trade, presently ending Nov. 20.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

My trading rules can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

Friday's Outcomes

I entered new positions on GLD and XOP, the former based on a trading center and the latter as a roll forward from the prior position.

I analyzed SBUX and HOT based on trading signals but declined to take a position in either.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

My trading rules can be read here.

 Alerts

Two social media feeds provide notification whenever something new is posted.
Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

HOT Analysis

The upscale leisure company Starwood Hotels & Resorts Worldwide Inc. (HOT), headquartered in Stamford, Connecticut, closed below its 20-day price channel on Thursday, sending a bear signal with low historical odds of success, suggesting a non-directional trade.

HOT publishes earnings on Oct. 27.

[HOT in Wikipedia]

HOT

I shall consier the NOV series of options, which trades for the last time 56 days hence, on Nov. 20.

Odds

HOT completed five bear signals in the past year. Two were successful, on average each yielding 5.9% over 41 days. Three were unsuccessful, each on average losing 3.7% over 27 days. The success rate is 40%.

Ranges

Click on chart to enlarge.
HOT at 11:59 a.m. New York time, 1 year daily bars, with implied volatility
Implied volatility stands at 43.3%, which is double the VIX, a measure of volatility of the S&P 500 index. HOT’s volatility stands in the 72nd percentile of its annual range.

The technical on HOT are fine. It's the earnings announcement that is the problem. I'm going straight to judgement.

Decision for My Account

Earnings announcements are shown as blue squares in the price portion of the chart (upper). In each case implied volatility rises in the lead up to publications of earnings. There's no reason to expect it will be different this time.

The iron condor position I would use for this play relies for its profit in part on declining volatility, the opposite of my expectation for HOT between now and earnings.

 HOT is not a bad trade, with high volatility both in the absolute sense and relative to volatilities annual range. But HOT will make better sense as a play coinciding with earnings rather than one entered less than five weeks out.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

 My volatility trading rules can be read here.


Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

SBUX Analysis

The coffeehouse chain Starbucks Corp. (SBUX), headquartered in Seattle, Washington, closed above its 20-day price channel on Thursday, sending a bull signal with high historical odds of success, suggesting a directional trade.

SBUX next publishes earnings on Oct. 29.

[SBUX in Wikipedia]

SBUX

I shall use the NOV series of options, which trades for the last time 56 days hence, on Nov. 20.

Odds

SBUX has completed four bull signals in the past year. Three were successful, on average each yielding 5.0% over 57 days. The unsuccessful bear signal lost 2.9% over 14 days. The success rate is 75%.

Ranges

Click on chart to enlarge.
SBUX at 11:43 a.m. New York time, 90 days 2-hour bars
Implied volatility stands at 27.8%, which is 1.3 times the VIX, a measure of volatility of the S&P 500 index. SBUX’s volatility stands in the 46th percentile of its annual range.

With volatility at that level, I can move directly to a judgement.

 Decision for My Account

Implied volatility on SBUX has dropped below my boundary for trades that rely on falling volatility for much of their profit. While adequately high in an absolute sense, implied volatility is in the 46th percentile of the year's range, low to high. My standard is 50th percentile or higher.

Also, with earnings coming up less than five weeks away, the tendency of volatility will be to rise, not fall -- the opposite of what I want for the strategy I use.

Bottom line: It makes more sense to wait until close to the earnings announcement before opening a position.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

 My volatility trading rules can be read here.


Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

XOP Analysis

Update 11/13/2015: XOP attained 51% of its maximum potential profit and I exited to avoid further time risk.

 Shares rose by 6.3% over 49 days, or a +47% annual rate. The options position produced a 103.9% yield on debit, for a +774% annual rate.
I exited the SPDR Oil & Gas Exploration and Production exchange-traded fund (XOP) profitably a day ago, 22 days before expiration, and am now looking to enter another position expiring in November. (Read about the prior position here.)

[Upstream in Wikipedia]

XOP

I shall use the NOV series of options, which trades for the last time 56 days hence, on Nov. 20.

Ranges

Click on chart to enlarge.
XOP at 11:20 a.m. New York time, 90 days 2-hour bars
Implied volatility stands at 49.1%, which is 2.3 times the VIX, a measure of volatility of the S&P 500 index. XOP’s volatility stands in the 57th percentile of its annual range.

Ranges implied by options and the chart
WeekSD1 68.2%SD2 95%ChartEarns
Upper40.1246.5940.77N/A
Lower27.1820.7132.78N/A
Gain/loss19.2%38.4%
Implied volatility 1 and 2 standard deviations; chart support and resistance, maximum earns move

The Trade

Iron condor, short the $38 calls and long the $40 calls,
short the $27 puts and long the $25 puts,
sold for a credit and expiring Nov. 21.
Probability of expiring out-of-the-money
NOVStrikeOTM
Upper3880.1%
Lower2782.2%

The premium is $0.53, which is 26.5% of the width of the position’s wings. The stock at the time of purchase was priced at $33.68.

The risk/reward ratio is 2.4:1.

The zone of profit in the proposed trade covers a $5.50 move either way, or 3.9 times the average true daily range.

Decision for My Account

The best structure I can manage leaves more than $2 at the topside of the one standard deviation and chart ranges outside of the zone of maximum profit while covering all of the bottomside. I'm comfortable with that, given the downward trend of XOP.

I've opened a position in XOP as described above.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

 My volatility trading rules can be read here.


Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:

GLD Analysis

Update 1/15/2016: I took advantage of an upward retracement of GLD to exit the diagonal entirely for a small loss. 

 I exited the long leg for $5.55, a 44.8% loss on debit.

 Shares declined by 5% over 136 days, or a -13.4% annual rate. The options -- both the long leg and the short legs -- produced a -1.6% loss on debit for a -4% annual rate.

 Here is a summary of all short legs on this position:
GLDdiagonal, short leg
optioncreditdebitprofityieldentryexitdays
-c110oct1.55-0.720.83115.3%9/25/20159/29/20154
-c109nov1.70-0.681.02150.0%9/30/201511/3/201534
-c108dec11.39-0.480.91189.6%11/3/201511/6/20153
-c105dec1.84-0.920.92100.0%11/6/201511/18/201512
-c103dec51.93-0.921.01109.8%11/18/201512/2/201514
-c102jan1.69-0.850.8498.8%12/2/201512/31/201529
-c102feb1.90-3.200.8426.3%12/31/20151/15/201615
----------------------------------------------------------------------------------------
Status:12.00-7.774.2354.4%111
option description key: long/short, call/put, strike, series

The exchange-traded fund SPDR Gold Trust (GLD), which tracks the price of bullion, closed above its 20-day price channel on Thursday, sending a bull signal with low historical odds of success, suggesting a non-directional trade.

[GLD in Wikipedia]

GLD

Odds

GLD has completed five bull signals in the past year. Only one was successful, yielding 0.1% over 25 days. The four unsuccessful signals on average each lost 2.8% over 20 days. The success rate is 20%.

 Ranges

Click on chart to enlarge.
GLD at 10:55 a.m. New York time, 30 days hourly bars
Implied volatility stands at 17.7%, which is 8/10ths of the VIX, a measure of volatility of the S&P 500 index. GLD’s volatility stands in the 37th percentile of its annual range.

Ranges implied by options and the chart
WeekSD1 68.2%SD2 95%ChartEarns
Upper114.31118.96112.12N/A
Lower105.01100.36105.27N/A
Gain/loss4.2%%
Implied volatility 1 and 2 standard deviations; chart support and resistance, maximum earns move

The Trade

A bull signal with implied volatility in a low percentile suggests a covered call as the best vehicle for trading GLD.

I shall use the LEAPs variant for the covered call, which uses long call options expiring a year or more out instead of long shares. This greatly reduces the overall cost of the position. I shall use the JAN 17 series of options, expiring Jan. 21, 2017, for the long leg of the position.

For the long leg, I used the $109 JAN 2017 call, with a $10.06 premium per contract.

For the short leg,

Call, short the $110 calls,
sold for a credit and expiring Oct. 17.
Probability of expiring out-of-the-money
OCTStrikeOTM
11054.7%



The premium is $1.42. The stock at the time of purchase was priced at $109.57.

Decision for My Account

I've opened a covered call LEAPs variant on GLD as escribed above.

-- Tim Bovee, Portland, Oregon, Sept. 25, 2015

References

 My volatility trading rules can be read here.


Alerts
Two social media feeds provide notification whenever something new is posted.

Disclaimer
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decisions for his or her own account, and take responsibility for the consequences.
License

 Creative Commons License

 All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

 Based on a work at www.timbovee.com.
Posted by Tim Bovee at No comments:
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