Friday's Prospects

On Thursday, May 30:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 38 broke beyond their 20-day price channels, one to the upside and 37 to the downside.

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

Two symbols with low odds of success survived initial screening, both having broken out to the downside. Low-odds symbols are candidates for non-directional trades.

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

I shall do further analysis on Friday, May 1.

Earnings season ends its six-week run on May 20. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, 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.

First-round survivors

High-odds Bull (none)

High-odds Bear (none)

Low-odds Bull (none)

Low-odds Bear IWM FB

Potential trades under my Volatility Rules, 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".

Friday pm (none)

Monday am (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, I next screen for suitability of the options grid and the the absence of an earnings announcement within the next 30 days.

-- Tim Bovee, Portland, Oregon, April 30, 2015

References

My trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

Thursday's Outcomes

This was a second clean-up day for options positions expiring at the end of the weak. I closed four positions: SBUX for a profit and LVS, MSFT and TWTR for losses. I've updated the analyses with results. Click on the symbols to read.

I opened positions in V, GILD and CVX, coinciding with earnings announcements. Read the analyses here.

-- Tim Bovee, Portland, Oregon, April 30, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

V, GILD, CVX Analysis

Update 5/8/2015: V rose sharply, beyond the bounds of profitability, with the options in my position having less than an hour to trade before expiration, and I exited. The rise came on a report that unnamed sources said Visa Inc. is in talks to buy its former subsidiary, Visa Europe Ltd.

Shares rose 4.6% over eight days, although most of the rise came in a single minute, or a +208.2% annual rate. The options position produced a -151.5% loss on debit, for a -6,913% annual .rate

---

Update 5/4/2015: GILD rose sharply over two days following its earnings announcement and reached the upper limit of profitability. I sold to avoid what threatened to develop into a loss.

Shares of GILD rose by 5.1% over four days, or a +462% annual rate. The options position was a loss, gaining nothing and losing nothing during its lifespan.

CVX continued its decline, which began before the announcement, and had neared the lower limit of profit; I took the profit.

Shares of CVX declined by 2.6% over for days, or a -241% annual rate. The options produced a 14.5% yield on debit, for a +1,322% annual rate.

---

The payments company Visa Inc. (V) and the pharmaceutical house Gilead Sciences Inc. (GILD), both headquartered in Foster City, California, publish earnings after the closing bell on Thursday, and the oil and natural gas company Chevron Corp. (CVX), headquartered in San Ramon, California, publishes before the opening bell on Friday.

I shall use the MAY2 series of options, which trades for the last time eight days hence, on May 8

The goal of my trades is to construct direction-neutral positions with a zone of profitability at expiration covering all of the one standard deviation range implied by volatility and options pricing, or the 30-day hourly chart support and resistance range, whichever is wider.

[V, GILD, CVX in Wikipedia]

V

Ranges

Click on chart to enlarge.

V at 11:25 a.m. New York time, 30 days hourly bars

Implied volatility stands at 24.3%, which is 1.8 times the VIX, a measure of volatility of the S&P 500 index. V’s volatility stands in the 67th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	69.09	71.49	69.98
Lower	64.29	51.90	64.35
Gain/loss	3/6%	7.2%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

I've left nine cents at the top of the one standard deviation range out of the profit zone in order to obtain a better risk/reward ratio.

Iron condor short the $69 calls and long the $70 calls,
short the $64 puts and long the $63 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	69	77.5%
Lower	64	77.2%

The risk/reward ratio stands at 2:1. The premium is $0.33 ($0.18 for the calls and $0.15 for the puts), with shares trading at $66.62.

GILD

Ranges

Click on chart to enlarge.

GILD at 11:35 a.m. New York time, 30 days hourly bars

Implied volatility stands at 34.1%, which is 2.5 times the VIX. GILD’s volatility stands in the 92nd percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	107.1	112.32	105.75
Lower	96.87	91.72	100.41
Gain/loss	5.1%	10.1%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade
Iron condor short the $107 calls and long the $109 calls,
short the $97 puts and long the $95 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	107	77.6%
Lower	97	73.8%

The risk/reward ratio stands at 1.8:1. The premium is $0.68 ($0.31 for the calls and $0.37 for the puts), with shares trading for $101.70.

CVX

Ranges

Click on chart to enlarge.

CVX at 11:43 a.m. New York time, 90 days 2-hour bars

Implied volatility stands at 22.9%, which is 1.7 times the VIX. CVX’s volatility stands in the 17th percentile of its most recent rise, which peaked in December 2014. Since then volatility has been on a long, weaving decline.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	114.65	118.41	112.93
Lower	107.15	103.39	100.66
Gain/loss	3.4%	6.8%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

This is a difficult to chart to fit a trade into. Chart support is quite a bit lower than the lower boundary of the one standard deviation range. In order to get a reasonable risk/reward ratio, I've used the chart resistance level for the top boundary of the profit zone, and the 1SD's lower boundary for the floor on profit. The probabilities of expiring out of the money for maximum profit are still high for both the calls and the puts.

Iron condor short the $113 calls and long the $115 calls,
short the $108 puts and long the $106 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	113	68.9%
Lower	108	75.1%

The risk/reward ratio stands at 1.9:1. The premium is $0.69 ($0.47 for the calls and $0.22 for the puts), with shares trading for $111.20.

Decision for My Account

I've opened positions in V, GILD and CVX as described above.

-- Tim Bovee, Portland, Oregon, April 30, 2015

References

My volatility trading rules can be read here.


Alerts

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

• On Twitter, Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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.

Thursday's Agenda

I shall analyze three stocks coinciding with publication of earnings: V, GILD and CVX.

The MAY1 Weeklys series of options concludes trading on Friday, and I shall be exiting positions today.

-- Tim Bovee, Portland, Oregon, April 30, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

Thursday's Prospects

On Wednesday, April 29:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 24 broke beyond their 20-day price channels, 13 to the upside and 11 to the downside.

No symbols with high or low odds of success survived initial screening.

There are three prospects for trades coinciding with earnings announcements under my Volatility Rules.

I shall do further analysis on Thursday, April 30.

Earnings season ends its six-week run on May 30. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, 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.

First-round survivors

High-odds Bull (none)

High-odds Bear (none)

Low-odds Bull (none)

Low-odds Bear (none)

Potential trades under my Volatility Rules, 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".

Thursday pm V GILD

Friday am CVX

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 suitability of the options grid and the the absence of an earnings announcement within the next 30 days.

-- Tim Bovee, Portland, Oregon, April 30, 2015

References

My trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

Wednesday's Outcomes

I exited a position on GM for a profit and on AMZN, YHOO and QQQ for losses.

I entered three positions:

• XOM
• YELP and CELG

-- Tim Bovee, Portland, Oregon, April 29, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

CELG update

My trade on CELG has gone through and I've updated the analysis with the premium: $0.75 ($0.49 for the calls and $0.26 for the puts).

See the full analysis here.

-- Tim Bovee, Portland, Oregon, April 29, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

YELP, CELG Analysis

Update 5/6/2015: The bear call spread that was the remaining portion of YELP expired without value on Saturday for maximum profit, completing the unravelling of the position. All components of CELG also expired without value.

YELP shares declined 1.4% over eight days, or a -782% annual rate. The options position produced a -90.6% yield on debit, for a +4,315% annual rate. The shares received as a result of the options exercise produced a -16.5% loss on debit, for a -6,008% annual rate.

---

Update 5/6/2015: YELP declined sharply after earnings were announced, moving my net position deep in the money for a potential loss.

A portion of my YELP position was assigned after the close on May 5. I won't calculate profit and loss until the entire positon is complete, most likely at the end of the week.

Here's what happened:

• The short $45 put option is assigned, forcing me to sell shares at the strike price but allowing me to keep the options premium for a profit on the options themselves.
• Short shares of YELP are put into my account as a result of the assignment, and I sell them at the market price for a loss.
• That leaves a single long $43 put, which I sell for a loss.

My YELP position has been transformed into an out of the money bear call vertical spread open in my account. If it remains OTM, then it will expire at the end of the week for maximum profit.

---

The crowd-sourced reviews publisher Yelp Inc. (YELP), headquartered in San Francisco, California, publishes earnings on Wednesday after the closing bell, and the pharmaceutical house Celgene Corp. (CELG),  headquartered in Summit, New Jersey, publishes on Thursday before the opening bell.

I shall use the MAY2 series of options, which trades for the last time nine days hence, on May 8

The goal of my trades is to construct direction-neutral positions with a zone of profitability at expiration covering all of the one standard deviation range implied by volatility and options pricing, or the 30-day hourly chart support and resistance range, whichever is wider.

[YELP, CELG in Wikipedia]

YELP

Ranges

Click on chart to enlarge.

YELP at 10:30 a.m. New York time, 30 days hourly bars

Implied volatility stands at 60.5%, which is 4.7 times the VIX, a measure of volatility of the S&P 500 index. YELP’s volatility stands in the 89th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	56.11	60.98	52.51
Lower	46.39	41.5	44.25
Gain/loss	9.5%	19.0%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

The proposed trade places both the one standard deviation and the chart ranges within the profit zone.

Iron condor short the $56.50 calls and long the $58.50 calls,
short the $45 puts and long the $43 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	56.5	78.5%
Lower	45	76.3%

The risk/reward ratio stands at 1.5:1. The premium is $0.75 ($0.34 for the calls and $0.41 for the puts), with shares trading for $50.83.

CELG

Ranges

Click on chart to enlarge.

CELG at 10:28 a.m. New York time, 30 days hourly bars

Implied volatility stands at 39.6%, which is 3.1 times the VIX. CELG’s volatility stands in the 84th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	119.85	126.87	120.72
Lower	105.83	98.81	111.70
Gain/loss	6.2%	12.4%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

Given the downtrending nature of the price today, I've chosen to trim the profit zone at the top in order to gain an acceptable risk/reward ratio. The lower upper boundary still has a better 70% probability of expiring out of the money for maximum profit.

Iron condor short the $117 calls and long the $119 calls,
short the $105 puts and long the $103 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	117	71.7%
Lower	105	78.9%

The risk/reward ratio stands at 1.5:1. The premium is $0.75 ($0.49 for the calls and $0.26 for the puts), with shares trading for $112.86.

Decision for My Account

I've opened positions in YELP and CELG as described above.

-- Tim Bovee, Portland, Oregon, April 29, 2015

References

My volatility trading rules can be read here.


Alerts

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

• On Twitter, Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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.

Wednesday's Agenda

INTC and ORCL both failed confirmation today, and I plan no further analysis.

INTC, with high odds of success, was as candidate for a directional trade after giving a bull signal. However, it failed to follow through with a further rise.

ORCL, with low odds of success, was a candidate for a direction-neutral trade after giving a bull signal. However, it continued to rise to a higher high, and so is disqualified.

I've completed the analysis of two trades coinciding with earnings announcements and plan to analyze two more. Read the XOM and COP analysis here. YELP and CELG still to come.

-- Tim Bovee, Portland, Oregon, April 29, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

XOM, COP Analysis

Update 5/9/2015: XOM expired without value for maximum profit. Shares rose 2.2% over nine days, or a +88% annual rate. The options position producd a 100% yield on debit, for +4,056% annual rate.

---

The world's largest and sixth largest oil and gas companies, Exxon Mobil Corp. (XOM), headquartered in Irving, Texas,  and ConocoPhillips (COP), headquartered in Houston, Texas, publish earnings Thursday prior to the opening bell.

I shall use the MAY2 series of options, which trades for the last time nine days hence, on May 8

The goal of my trades is to construct direction-neutral positions with a zone of profitability at expiration covering all of the one standard deviation range implied by volatility and options pricing, or the 30-day hourly chart support and resistance range, whichever is wider.

[XOM, COP in Wikipedia]

XOM

Ranges

Click on chart to enlarge.

XOM at 10:02 a.m. New York time, 90 days 2-hour bars

Implied volatility stands at 19.4%, which is 1.5 times the VIX, a measure of volatility of the S&P 500 index. XOM’s volatility stands in the 49th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	90.10	92.86	88.53
Lower	84.85	92.18	82.68
Gain/loss	3.1%	6.1%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

XOM has a relatively low implied volatility. In order to get a reasonably acceptable risk reward ratio, I've placed all but 10 cents of the upper boundary of the one standard deviation range within the profit zone but left more than 50 cents of the lower boundary outside the zone.

The most recent movement on the chart is a still-ongoing almost-symmetrical triangle, beginning April 16, which I interpret as a continuation pattern within an uptrend beginning March 13.

I've accepted a slightly high risk/reward ratio in return for a significantly higher premium as added mitigation of potential loss.

Iron condor short the $90 calls and long the $91 calls,
short the $85.50 puts and long the $84.50 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	90	80.8%
Lower	85.5	71.1%

The risk/reward ratio stands at 2.6:1. The premium is $0.55 ($0.19 for the calls and $0.36 for the puts), with shares trading for $87.10.

COP

Ranges

Click on chart to enlarge.

COP at 10:12 a.m. New York time, 90 days 2-hour bars

Implied volatility stands at 25.3%, which is double the VIX. COP’s volatility is extremely low, standing in the 8th percentile of its most recent rise, although the implied volatility line is ambiguous and other interpretations are possible.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	70.28	72.96	69.72
Lower	64.91	62.23	60.57
Gain/loss	4.0%	7.9%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

The proposed trade below places all but 28 cents at the top of the one standard deviation range within the profit zone. The risk reward ratio is quite a bit higher than I'm comfortable with.

Further narrowing would be arbitrary in terms of the statistical and chart ranges, and I would need to broaden the profit zone considerably at the lower end in order to cover the chart range.

Iron condor short the $70 calls and long the $71 calls,
short the $65 puts and long the $64 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	70	84.7%
Lower	65	78.1%

The risk/reward ratio stands at 3:1.

Decision for My Account

I've opened a position in XOM as described above. I'm passing on COP because I'm unable to gain adequate profit coverage in return for an acceptable risk/reward ratio.

-- Tim Bovee, Portland, Oregon, April 29, 2015

References

My volatility trading rules can be read here.


Alerts

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

• On Twitter, Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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.

Wednesday's Prospects

On Tuesday, April 28:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 17 broke beyond their 20-day price channels, nine to the upside and eight to the downside.

One symbol with high odds of success survived initial screening, having broken out to the upside. High-odds symbols are candidates for directional trades.

One symbol with low odds of success survived initial screening, having broken out to the upside. Low-odds symbols are candidates for non-directional trades.

There are four prospects for trades coinciding with earnings announcements under my Volatility Rules.

I shall do further analysis on Wednesday, April 29.

The next earnings season began April 8 with the announcement by AA and runs six weeks. Under the exclusion rule that forbids me from opening new positions in stocks within 30 days of an earnings announcement, 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.

First-round survivors

High-odds Bull INTC

High-odds Bear (none)

Low-odds Bull ORCL

Low-odds Bear (none)

Potential trades under my Volatility Rules, 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".

Wednesday pm YELP

Thursday am XOM CELG COP

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 suitability of the options grid and the the absence of an earnings announcement within the next 30 days.

-- Tim Bovee, Portland, Oregon, April 28, 2015

References

My trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

Tuesday's Outcomes

I exited my AAPL position after one day for a profit and have updated the analysis with results. You can find it here.

I opened three positions, in TWTR, GPRO and ETN, coinciding with earnings announcements. Read the analysis here.

-- Tim Bovee, Portland, Oregon, April 28, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

CCL Analysis

The nautical cruise company Carnival Corp. (CCL), headquartered in Miami, Florida, broke below its 20-day price channel on Monday, producing a bear signal and confirming it the next day by trading still lower.

I shall use the regular monthly MAY series of options, which trades for the last time 17 days hence, on May 15. CCL has no Weeklys.

The goal of my trades is to construct direction-neutral positions with a zone of profitability at expiration covering all of the one standard deviation range implied by volatility and options pricing, or the 30-day hourly chart support and resistance range, whichever is wider.

CCL's bear signals have a success rate of 33.3% over the past year -- one trade made a profit and two produced losses.  With that record, CCL is a candidate for a non-directional trade. The winning trade produced a 3.2% profit, and the lower a 3.5% loss.

[CCL in Wikipedia]

CCL

Ranges

Click on chart to enlarge.

CCL at 12:40 p.m. New York time, 30 days hourly bars

Implied volatility stands at 21.4%, which is 1.6 times the VIX, a measure of volatility of the S&P 500 index. CCL’s volatility stands in the 12th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	47.58	49.68	49.21
Lower	43.39	41.28	43.74
Gain/loss	4.6%	9.2%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

I've trimmed the profit zone at the top of the one standard deviation range while retaining profitability down through the lower boundary of the range. Although the historical odds of success argue for a direction neutral approach, the bear signal creates a bias to the downside.

Iron condor short the $46 calls and long the $47 calls,
short the $43 puts and long the $42 puts
sold for a credit and expiring May 16
Probability of expiring out-of-the-money

MAY1	Strike	OTM
Upper	46	62.5%
Lower	43	84.6%

The risk/reward ratio stands at 1.7:1.

Decision for My Account

The prosposed CCL trade carries three risks.

One is time. There are no Weeklys in CCL's options inventory, and so it shall require 17 days to realize full profitability.

Another is the risk of continued decline. Although the historical odds are in favor of a failed bear signal, they also allow for the possibility of a successful bear movement, rendering a non-directional trade non-profitable.

Implied volatility is higher than the VIX, but low by historical standards. The present level was last seen in September 2014. For these trades I count on falling volatility to help quick profit. That help, it seems likely, will be unavailable here.

Another consideration is simply putting money where it has the best chance of turning a profit. We're in the midst of earnings season, Do I tie-up funds for this trade, exposing it those risks, or to trades coinciding with earnings announcements, where time and implied volatility are favorable and where there is no directional signal creating a bias?

All in all, I find the proposed trade above to be reasonable, but with higher risks that I'm unwilling to take while I have alternatives. A similar trade outside of earnings season, when trades are less plentiful, might leave me willing to take the greater risk.

I am passing on CCL today. No trade.

-- Tim Bovee, Portland, Oregon, April 28, 2015

References

My volatility trading rules can be read here.


Alerts

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

• On Twitter, Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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.

Tuesday's Agenda

CCL confirmed its bear signal of Monday by trading still lower, and I shall posted an analysis later in the day.

I've posted analyses of the three trades coinciding with earnings announcements -- TWTR, GPRO and ETN. Read them here.

AAPL is near full profit and I shall exit the position if I can get a reasonable fill, in accordance with the old market maxim, "Take the money and run."

-- Tim Bovee, Portland, Oregon, April 28, 2015

References

My volatility trading rules can be read here.

Alerts

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

• On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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

TWTR, GPRO, ETN Analysis

Update 5/9/2015: The bull put spread that was the remaining portion of my original position in ETN expired without value for maximum profit. Here are results both for the expired options and bear call spread close don May 6:

Shares rose 4.5% over nine days, or a +183% annual rate. The options position produced a -271.0% loss on debit, for a -10,984% annual rate.

---

Update 5/6/2015: ETN moved above the profit zone after earnings were announced. I have begun unraveling the account piecemeal in hopes of recouping some of the losses. I won't calculate results until the position is entirely complete.

I exited the in-the-money call portion of the iron condor, selling it for a loss. I've retained the put portion, which is now an out-of-the-money bull put spread, which I anticipate will expire worthless for maximum profit at the end of the week.

---

Update 5/2/2015: GPRO expired out of the money for maximum profit. Shares rose by 9.5% over three days, or a +1,151% annual rate. The options position produced a 100.0% yield on debit, for a +12,167% annual rate.

---

Update 4/30/2015: TWTR shares took a sharp dive after the company's earnings were a) leaked while the market was still open, b) showed weaker-than-expected financials, and c) were accompanied by guidance to reduce expectations.

Shares declined by 23.3% over two days, most of it immediately after earnings were published, or a -4,254% annual rate. The options positions produced a -155.7% loss on debit, for a -28,415% annual rate.

---

The social networking platform Twitter Inc. (TWTR), headquartered in San Francisco, California, and the wearable and mountable camera maker GoPro Inc. (GPRO), headquartered in San Mateo, California, publish earnings after the closing bell on Tuesday, and the producer of power management systems Eaton Corp. PLC (ETN), headquartered in Cleveland, Ohio, publishes on Wednesday before the opening bell.

I shall use the MAY1 series of options, which trades for the last time three days hence, on May 1, and the MAY2 series, which completes trading in 10 days, on May 8.

The goal of my trades is to construct direction-neutral positions with a zone of profitability at expiration covering all of the one standard deviation range implied by volatility and options pricing, or the 30-day hourly chart support and resistance range, whichever is wider.

[TWTR, GPRO, ETN in Wikipedia]

TWTR

Ranges

Click on chart to enlarge.

TWTR at 9:37 a.m. New York time, 30 days hourly bars

Implied volatility stands at 56.7%, which is 4.3 times the VIX, a measure of volatility of the S&P 500 index. TWTR’s volatility stands in the 99th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	54.66	57.34	53.49
Lower	49.32	46.64	50.19
Gain/loss	5.1%	10.3%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

The nature of the options grid has allowed me the rare pleasure of constructing a trade that covers the two standard deviation range, implying that 95% over trades will fall between the boundaries.

Iron condor short the $56 calls and long the $58 calls,
short the $46.5 puts and long the $44.5 puts
sold for a credit and expiring May 2
Probability of expiring out-of-the-money

MAY1	Strike	OTM
Upper	56	754%
Lower	46.5	77.4%

The risk/reward ratio stands at 1.4:1. The premium is $0.79 ($0.36 for the calls and 0.43 for the puts).

GPRO

Ranges

Click on chart to enlarge.

GPRO at 9:54 a.m. New York time, 30 days hourly bars

Implied volatility stands at 62.5%, which is 4.7 times the VIX. GPRO’s volatility stands in the 98TH percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	48.81	51.43	46.95
Lower	43.57	40.95	43.62
Gain/loss	5.7%	11.3%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

I stretched the upside to cover the two standard deviation range with the profit zone. The downside covers the one standard deviation range.

Iron condor short the $51.50 calls and long the $53.50 calls,
short the $42.50 puts and long the $40.50 puts
sold for a credit and expiring May 2
Probability of expiring out-of-the-money

MAY1	Strike	OTM
Upper	51.5	85.6%
Lower	42.5	70.8%

The risk/reward ratio stands at 1.9:1. The premium is $0.67 ($0.21 for the calls and $0.46 for the puts).

ETN

Ranges

Click on chart to enlarge.

ETN at 10:24 a.m. New York time, 30 days hourly bars

Implied volatility stands at 24.9%, which is 1.9 times the VIX. ETN’s volatility stands in the 67th percentile of its most recent rise.

Ranges implied by options and the chart

Week	SD1 68.2%	SD2 95%	Chart
Upper	71.18	74.00	70.25
Lower	65.54	62.72	66.23
Gain/loss	4.1%	8.3%

Implied volatility 1 and 2 standard deviations; chart support and resistance
The Trade

Given the downward tilt today -- the price pierced the nearer-in alternate support level, I've trimmed the profit zone at the top while expanding the lower boundary.

In order to get sufficient open interest I move out a week to the MAY2 Weeklys series.

Iron condor short the $70 calls and long the $71 calls,
short the $64 puts and long the $63 puts
sold for a credit and expiring May 9
Probability of expiring out-of-the-money

MAY2	Strike	OTM
Upper	70	71.1%
Lower	64	81.7%

The risk/reward ratio stands at 1.7:1. The premium is $0.34 ($0.24 the calls and $0.10 the puts).

Decision for My Account

I've opened positions in TWTR, GPRO and ETN as described above.

-- Tim Bovee, Portland, Oregon, April 28, 2015

References

My volatility trading rules can be read here.


Alerts

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

• On Twitter, Follow Tim Bovee: https://twitter.com/TimBovee
• On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader

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



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.