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By Tim Bovee, Portland, Oregon, Dec. 9, 2016
Thursday, December 8, 2016
Thursday's Agenda
Blogger's, like yesterday, won't let me publish long-form posts. Going short....
I shall look at FNSR today as a potential earnings play.
I have closed COST for a profit after earnings were published.
I shall look at FNSR today as a potential earnings play.
I have closed COST for a profit after earnings were published.
Wednesday, December 7, 2016
Thursday's Prospects
Blogger is still not allowing me to close files properly through the browser interface, so I'm having to go through the iPhone app and shall be brief.
One prospect for Thursday, a potential earnings play on FNSR.
Also, I shall keep an eye on trades posted on Dough.
One prospect for Thursday, a potential earnings play on FNSR.
Also, I shall keep an eye on trades posted on Dough.
Wednesday's Outcomes
I entered three positions, two on my analysis and one based on a Dough trade.
The two earnings plays I entered are COST and HRB. I also analyzed CIEN but declined to take the trade.
The volatility play posted on Dough was for XLF.
Blogger, the platform upon which PrivateTrader runs, was semi-trashed today in its web browser interface. It wouldn't allow me post analyses I had saved, nor could I successfully type more than a sentence or two before it crashed.
So I sent briefs on my iPhone app for Blogger. I'll post the full analyses once Blogger gets back in the game. (And indeed, I'm typing this using the browser interface, which is a good sign.)
The two earnings plays I entered are COST and HRB. I also analyzed CIEN but declined to take the trade.
The volatility play posted on Dough was for XLF.
Blogger, the platform upon which PrivateTrader runs, was semi-trashed today in its web browser interface. It wouldn't allow me post analyses I had saved, nor could I successfully type more than a sentence or two before it crashed.
So I sent briefs on my iPhone app for Blogger. I'll post the full analyses once Blogger gets back in the game. (And indeed, I'm typing this using the browser interface, which is a good sign.)
FXE Analysis
Blogger is trashed big time except on my iPhone, so briefly.
Entered volatility play on XLF based on trade by Ryan at Dough -- www.dough.com.
Iron fly, short the $23 calls and puts, long the $25 calls and $21 puts.
Premium: $1.40.
COST Analysis
Blogger won't allow me to publish full analyses, so in brief:
I have entered an earnings play on COST structured as follows:
JAN series of options, which trades for the last time Jan. 20.
Iron fly, short the $150 calls and long the $160 calls, short the $150 puts and long the 140 puts.
The premium is $6.45.
I have entered an earnings play on COST structured as follows:
JAN series of options, which trades for the last time Jan. 20.
Iron fly, short the $150 calls and long the $160 calls, short the $150 puts and long the 140 puts.
The premium is $6.45.
CIEN Analysis
Blogger won't allow me to post full analyses. So, briefly:
I have passed on CIEN as an earnings play because I can't get a wide enough profit zone to cover post-earnings moves
Wednesday's Agenda
I shall be looking at three potential earnings plays: CIEN, COST and HRB.
By Tim Bovee, Portland, Oregon, Dec. 7, 2016
Tuesday, December 6, 2016
Wednesday's Prospects
Screening of the Tuesday, Dec. 6 markets identified three prospective high options volatility trades.
Three prospects will publish earnings and so are candidates for options volatility trades. They are CIEN, COST and HRB.
I shall make final trading decisions on Wednesday, Dec. 7.
I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
Three prospects will publish earnings and so are candidates for options volatility trades. They are CIEN, COST and HRB.
I shall make final trading decisions on Wednesday, Dec. 7.
I shall also consider trades posted on Dough as part of my current learning project.
-- Tim Bovee, Portland, Oregon, Dec. 6, 2016
by Susanne Chishti |
Tuesday's Outcomes
I completed the exit of my 440-day-old diagonal spread on UNG, and in updating the original post I ponder three valuable lessons.
I entered a position on IWM based a trade posted on Dough.
I entered a position on IWM based a trade posted on Dough.
By Tim Bovee, Portland, Oregon, Dec. 6, 2016
by Amy E. Herman |
IWM Analysis
iShares Russell 2000 (IWM)
This trading idea came from Dough trader Ryan.
I shall use the JAN06 series of options, which trades for the last time 31 days hence, on Jan. 6.
Implied volatility stands at 18%, which stands in the 16th percentile of its annual range. The price used for analysis was $221.22.
Ryan's trade differs from my normal practice in that implied volatility is low in relation to its annual range, and similarly low in relation to its most recent move. Here's his structure.
Iron condor, short the $132.50 calls and long the $137.50 calls,
short the $132.50 puts and long the $125.5 puts,
sold for a credit and expiring Jan. 7.
Probability of expiring out-of-the-money
The premium is $3.83, which is 77% of the width of the position’s wings.
The risk/reward ratio is 0.8:1.
Decision for My Account
I have entered a position on IWM as described above. The shares at the time of entry were priced at $134.13.
This trading idea came from Dough trader Ryan.
I shall use the JAN06 series of options, which trades for the last time 31 days hence, on Jan. 6.
Implied volatility stands at 18%, which stands in the 16th percentile of its annual range. The price used for analysis was $221.22.
Ryan's trade differs from my normal practice in that implied volatility is low in relation to its annual range, and similarly low in relation to its most recent move. Here's his structure.
short the $132.50 puts and long the $125.5 puts,
sold for a credit and expiring Jan. 7.
Probability of expiring out-of-the-money
| JAN07 | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 132.50 | 39.6% | 62 |
| Lower | 132.50 | 58.3% | 40 |
The premium is $3.83, which is 77% of the width of the position’s wings.
The risk/reward ratio is 0.8:1.
Decision for My Account
I have entered a position on IWM as described above. The shares at the time of entry were priced at $134.13.
-- Tim Bovee, Portland, Oregon, Dec. 6, 2016
by Alex Cuadros |
Monday, December 5, 2016
Tuesday's Prospects
Screening of the Monday, Dec. 5 markets identified no prospective high options volatility trades.
Seven symbols from my pool have sufficiently high implied volatility or close to it to warrant further analysis:
Each is disqualified: COST because earnings are near; FXE, TLT and UNG because I already hold positions; GDXJ and TBT because they they have the same underlying as positions I hold; and XLU because I recently passed on it after analysis.
Although I've been unable to find positions under my guidelines, I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
Seven symbols from my pool have sufficiently high implied volatility or close to it to warrant further analysis:
| COST |
| FXE |
| GDXJ |
| TBT |
| TLT |
| UNG |
| XLU |
Each is disqualified: COST because earnings are near; FXE, TLT and UNG because I already hold positions; GDXJ and TBT because they they have the same underlying as positions I hold; and XLU because I recently passed on it after analysis.
Although I've been unable to find positions under my guidelines, I shall also consider trades posted on Dough as part of my current learning project.
-- Tim Bovee, Portland, Oregon, Dec. 5, 2016
by Daniel J. Levitin |
Monday's Outcomes
I analyzed XLU but declined to enter a position.
By Tim Bovee, Portland, Oregon, Dec. 5, 2016
by Lawrence Kudlow |
XLU Analysis
Utilities SPDR ETF (XLU)
I shall use the JAN series of options, which trades for the last time 46 days hence, on Jan. 20.
Implied volatility stands at 20%, which stands in the 51st percentile of its annual range and the 44th percentile of the most recent rise. The price used for analysis was $46.68.
Here is a chart of XLU's daily implied volatility since late August.
Although the implied volatility's annual range, must barely, means my guideline that implied volatility be in the upper half of its movement for the past 12 months, the most recent range is somewhat lower.
And the implied volatility movement is ambiguous. Does the decline over the last few days mean there is no way XLU will reach the 50th percentile? Or is it a pullback preparatory to a further rise?
In either case, it's not reasonable time to enter a short options play, which relies on a decline in implied volatility for part its profit.
Decision for My Account
I am declining to enter a position on XLU because of the trend in its implied volatility.
I shall use the JAN series of options, which trades for the last time 46 days hence, on Jan. 20.
Implied volatility stands at 20%, which stands in the 51st percentile of its annual range and the 44th percentile of the most recent rise. The price used for analysis was $46.68.
Here is a chart of XLU's daily implied volatility since late August.
 |
| XLU Implied Volatility, 8/25/2016 to 12/5/2016 |
Although the implied volatility's annual range, must barely, means my guideline that implied volatility be in the upper half of its movement for the past 12 months, the most recent range is somewhat lower.
And the implied volatility movement is ambiguous. Does the decline over the last few days mean there is no way XLU will reach the 50th percentile? Or is it a pullback preparatory to a further rise?
In either case, it's not reasonable time to enter a short options play, which relies on a decline in implied volatility for part its profit.
Decision for My Account
I am declining to enter a position on XLU because of the trend in its implied volatility.
-- Tim Bovee, Portland, Oregon, Dec. 5, 2016
by Wayne Gorman |
Monday's Agenda
I shall look at XLU as a volatility play. I'm deferring analysis on the week's four potential earnings plays until Wednesday for CIEN, COST and HRB, and Thursday for FNSR.
By Tim Bovee, Portland, Oregon, Dec. 5, 2016
by Sami Mahroum |
Sunday, December 4, 2016
The Week Ahead: International trade
The week after the monthly jobs report is always a slow one in economics. There is but one major economics report coming up this week: International trade, on Tiuesday at 8:30 a.m.
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.
Manufacturers' new ordrs for consumer goods and materials from the factory orders report at 10 a.m. Tuesday.
The S&P 500 index, reported continually during market hours.
Average weekly initial claims for unemployment from the jobless claims report at 8:30 a.m. Thursday.
Index of consumer expectations from the University of Michigan consumer sentiment survey at 10 a.m. Friday.
Manufacturers' new orders for non-defense capital goods from the factory orders report at 10 a.m. Tuesday.
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.
Manufacturers' new ordrs for consumer goods and materials from the factory orders report at 10 a.m. Tuesday.
The S&P 500 index, reported continually during market hours.
Average weekly initial claims for unemployment from the jobless claims report at 8:30 a.m. Thursday.
Index of consumer expectations from the University of Michigan consumer sentiment survey at 10 a.m. Friday.
Manufacturers' new orders for non-defense capital goods from the factory orders report at 10 a.m. Tuesday.
by Robert J. Gordon |
Saturday, December 3, 2016
Monday's Prospects
Screening of the Friday, Dec. 2 markets identified five prospective trades.
I'll look at four stocks -- CIEN, COST, HRB and FNSR -- as potential earnings plays.
XLU qualifies for further look based on its implied volatility compared to its annual range.
I shall make final trading decisions on Monday, Dec. 5.
Four symbols with implied volatility in the upper half of the annual range are eliminated from further considerations for reasons unrelated to volatility.
I hold positions in TLT and FXE, and TBT and GDXJ duplicate sectors among my holdings.
EWZ and UNG are close to having sufficiently high volatility in relation to their annual ranges. However, I hold positions in both.
I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
I'll look at four stocks -- CIEN, COST, HRB and FNSR -- as potential earnings plays.
XLU qualifies for further look based on its implied volatility compared to its annual range.
I shall make final trading decisions on Monday, Dec. 5.
Four symbols with implied volatility in the upper half of the annual range are eliminated from further considerations for reasons unrelated to volatility.
I hold positions in TLT and FXE, and TBT and GDXJ duplicate sectors among my holdings.
EWZ and UNG are close to having sufficiently high volatility in relation to their annual ranges. However, I hold positions in both.
I shall also consider trades posted on Dough as part of my current learning project.
-- Tim Bovee, Portland, Oregon, Dec. 3, 2016
by Anurag Sharma |
Friday, December 2, 2016
Friday's Outcomes
Friday's Agenda
Both of my prospects -- XLU and IYR -- are showing implied volatility levels this morning below my guidelines, and I am passing on them without further analysis. See Friday's Prospects for details.
I'm emulating Dough this month as a learning exercise, and if their team places trades I find interesting, I shall follow them.
With expiration of the DEC options 14 days away, I shall complete exits of my losing positions: FB and T.
I'm emulating Dough this month as a learning exercise, and if their team places trades I find interesting, I shall follow them.
With expiration of the DEC options 14 days away, I shall complete exits of my losing positions: FB and T.
By Tim Bovee, Portland, Oregon, Dec. 2, 2016
by Cathy O'Neil |
Thursday, December 1, 2016
Friday's Prospects
Screening of the Thursday, Dec. 1 markets identified two prospective high options volatility trades.
I shall make final trading decisions on Friday, Dec. 2.
Seven prospects in the pool have sufficiently high implied volatility to qualify for further analysis:
Out of them, I shall analyze XLU as a potential trade.
I already hold positions in EWZ, TLT and FXE. TBT and GDXJ are close enough to holdings to be disqualified. COST publishes earnings Dec. 12 and I shall wait until closer to that event to consider it.
I'll consider IYR for a potential trade. ORCL publishes earnings on Dec. 15 and I shall defer consideration until closer to the date.
I shall make final trading decisions on Friday, Dec. 2.
Seven prospects in the pool have sufficiently high implied volatility to qualify for further analysis:
| COST |
| EWZ |
| TBT |
| TLT |
| XLU |
| FXE |
| GDXJ |
Out of them, I shall analyze XLU as a potential trade.
I already hold positions in EWZ, TLT and FXE. TBT and GDXJ are close enough to holdings to be disqualified. COST publishes earnings Dec. 12 and I shall wait until closer to that event to consider it.
Two are close to having sufficiently high volatility to qualify.
| ORCL |
| IYR |
I'll consider IYR for a potential trade. ORCL publishes earnings on Dec. 15 and I shall defer consideration until closer to the date.
I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
-- Tim Bovee, Portland, Oregon, Dec. 1, 2016
by William Mougayar |
Thursday's Outcomes
GLD Analysis
SPDR Gold Trust (GLD)
The idea for this position came from trader Nick Batista at Dough. The structure produces a higher risk/reward ratio in return for wide wings on the iron condor and also has a lower implied volatility percentile than my guidelines allow.
The position, although hedged on both sides, has a long bias.
Like Nick, I shall use the JAN series of options, which trades for the last time 50 days hence, on Jan. 20.
Implied volatility stands at 19%, which stands in the 35th percentile of its annual range. The price used for analysis was $111.73.
Iron condor, short the $117 calls and long the $127 calls,
short the $110 puts and long the $100 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
The premium is $2.38, which is 24% of the width of the position’s wings.
The risk/reward ratio is 3.2:1.
Decision for My Account
I've entered a position on GLD as described above. The stock at the time of entry was priced at $111.75.
References
Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.
Elliott wave analysis tracks patterns in price movements. StockCharts has a good explainer. The principal practioner of Elliott wave analysis is Robert Prechter at Elliott Wave International. His book, Elliott Wave Principle, is a must-read for people interested in this form of analysis, as is his most recent publication, Visual Guide to Elliott Wave Trading.
Alerts
Disclaimer
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.
The idea for this position came from trader Nick Batista at Dough. The structure produces a higher risk/reward ratio in return for wide wings on the iron condor and also has a lower implied volatility percentile than my guidelines allow.
The position, although hedged on both sides, has a long bias.
Like Nick, I shall use the JAN series of options, which trades for the last time 50 days hence, on Jan. 20.
Implied volatility stands at 19%, which stands in the 35th percentile of its annual range. The price used for analysis was $111.73.
short the $110 puts and long the $100 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
| JAN | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 117 | 78.1% | 24 |
| Lower | 110 | 59.1% | 38 |
The risk/reward ratio is 3.2:1.
Decision for My Account
I've entered a position on GLD as described above. The stock at the time of entry was priced at $111.75.
-- Tim Bovee, Portland, Oregon, Dec. 1, 2016
References
Tradecraft: Playing the odds to build winning stock market trades from options, a description of how I trade, can be read here.
Elliott wave analysis tracks patterns in price movements. StockCharts has a good explainer. The principal practioner of Elliott wave analysis is Robert Prechter at Elliott Wave International. His book, Elliott Wave Principle, is a must-read for people interested in this form of analysis, as is his most recent publication, Visual Guide to Elliott Wave Trading.
Alerts
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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.
Earns Prospects 12/5-12/9
Out of 97 earnings announcements by companies on U.S. exchanges from Dec. 5 through Dec. 9, six have sufficient liquidity to warrant further analysis and possibly a trade next week.
| action | sym | earns date | am/mid/pm |
| 12/5 | TOL | 12/6 | am |
| 12/7 | CIEN | 12/8 | am |
| 12/7 | COST | 12/7 | pm |
| 12/7 | HRB | 12/7 | pm |
| 12/8 | AVGO | 12/8 | pm |
| 12/8 | FNSR | 12/8 | pm |
Three symbols presently have implied volatility in the upper half of their one-year ranges: CIEN, HRB and FNSR. Another symbol, COST, is within easy reach of that level.
by Anna Coulling |
Thursday's Agenda
I have no entries on my desk based on my own analysis. See Thursday's Prospects.
I shall be following Dough during the the day as part of my education project and shall mimic their trades that I find interesting.
We're less than three weeks out from the expiration of the DEC options series. Time to exit the losers. I'll be working on that today.
Also, it's time for the weekly search for earnings announcements. Expect a post on that later in the day.
I shall be following Dough during the the day as part of my education project and shall mimic their trades that I find interesting.
We're less than three weeks out from the expiration of the DEC options series. Time to exit the losers. I'll be working on that today.
Also, it's time for the weekly search for earnings announcements. Expect a post on that later in the day.
By Tim Bovee, Portland, Oregon, Dec. 1, 2016
by Emanuel Derman and Michael B. Miller |
Wednesday, November 30, 2016
Thursday's Prospects
Screening of the Wednesday, Nov. 30 markets identified seven prospective high options volatility trades.
I would normally make final trading decisions on Thursday, Dec. 1. However, I've previously passed or presently hold all of them.
Six prospects have sufficiently high implied volatility to qualify for further analysis:
I hold position on TLT and FXE and have passed on the rest.
I previously passed on both.
I would normally make final trading decisions on Thursday, Dec. 1. However, I've previously passed or presently hold all of them.
Six prospects have sufficiently high implied volatility to qualify for further analysis:
| TBT |
| TLT |
| XLU |
| FXE |
| GDXJ |
I hold position on TLT and FXE and have passed on the rest.
Two are close to having sufficiently high volatility to qualify.
| COST |
| UNG |
I previously passed on both.
I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
-- Tim Bovee, Portland, Oregon, Nov. 30, 2016
by Edward Conrad |
Wednesday's Outcomes
SPX Analysis
S&P 500 Index (SPX)
This iron condor trading idea and structure come from trader Fauzia at Dough.
My normal practice centers the iron condor on the present price. Her trade sets the high end of the profit zone near the current price, and the low end below it. Fauzia made no comment on her trade, but clearly the structure anticipates a trading zone stretching $100 below today's level. a decline in the S&P 500.
And that's a reasonable expectation. The Trump bump in the markets has brought SPX up from 2084 to 2214. Fauzia's trade presumes a pullback that remains above resistance.
The high delta at the upper boundary increases the chance that the position will fail if the price rises, and yet also increases the credit I get for the trade. It's the classic risk/reward ratio embodied in the folk wisdom, "Risk is the mother of profit." This position is a big shout-out to Mom.
Like Fauzia, I shall use the JAN series of options, which trades for the last time 50 days hence, on Jan. 20.
Implied volatility stands at 14%, which stands in the 15th percentile of its annual range. The price used for analysis was $2,203.62.
Iron condor, short the $2,200 calls and long the $2,220 calls,
short the $2,100 puts and long the $2,080 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
The premium is $13.80, which is 69% of the width of the position’s wings.
The risk/reward ratio is 0.45:1.
Decision for My Account
I have entered a position on SPX as described above. The stock at the time of entry was priced at $2,202.77.
This iron condor trading idea and structure come from trader Fauzia at Dough.
My normal practice centers the iron condor on the present price. Her trade sets the high end of the profit zone near the current price, and the low end below it. Fauzia made no comment on her trade, but clearly the structure anticipates a trading zone stretching $100 below today's level. a decline in the S&P 500.
And that's a reasonable expectation. The Trump bump in the markets has brought SPX up from 2084 to 2214. Fauzia's trade presumes a pullback that remains above resistance.
The high delta at the upper boundary increases the chance that the position will fail if the price rises, and yet also increases the credit I get for the trade. It's the classic risk/reward ratio embodied in the folk wisdom, "Risk is the mother of profit." This position is a big shout-out to Mom.
Like Fauzia, I shall use the JAN series of options, which trades for the last time 50 days hence, on Jan. 20.
Implied volatility stands at 14%, which stands in the 15th percentile of its annual range. The price used for analysis was $2,203.62.
short the $2,100 puts and long the $2,080 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
| JAN | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 2200 | 48.3% | 53 |
| Lower | 2100 | 79.5% | 19 |
The premium is $13.80, which is 69% of the width of the position’s wings.
The risk/reward ratio is 0.45:1.
Decision for My Account
I have entered a position on SPX as described above. The stock at the time of entry was priced at $2,202.77.
-- Tim Bovee, Portland, Oregon, Nov. 30, 2016
by Spencer Jakab |
Wednesday's Agenda
I have no plans to enter new positions based on my own screening.
I'll keep an eye on trades posted on Dough and shall analyze those that I find interesting as part of my learning project . None have been posted so far today (as of 10:40 a.m. New York time).
See Wednesday's Prospects for a discussion of qualifying trades I'm rejecting without further analysis.
I'll keep an eye on trades posted on Dough and shall analyze those that I find interesting as part of my learning project . None have been posted so far today (as of 10:40 a.m. New York time).
See Wednesday's Prospects for a discussion of qualifying trades I'm rejecting without further analysis.
By Tim Bovee, Portland, Oregon, Nov. 30, 2016
by Paolo Sironi |
Tuesday, November 29, 2016
Wednesday's Prospects
Screening of the Tuesday, Nov. 29 markets identified six prospective high options volatility trades.
I shall make final trading decisions on Wednesday, Nov. 30.
Two prospects have sufficiently high implied volatility to qualify for further analysis:
I hold a position on FXE.
I hold a position on TLT.
I have previously rejected COST because of approaching earnings, GDXJ and UNG because of political influences on the underlying commodities and TBT as conflicting with another holding.
I shall make final trading decisions on Wednesday, Nov. 30.
Two prospects have sufficiently high implied volatility to qualify for further analysis:
| FXE |
| GDXJ |
I hold a position on FXE.
Four are close to having sufficiently high volatility to qualify.
| COST |
| TBT |
| TLT |
| UNG |
I hold a position on TLT.
I have previously rejected COST because of approaching earnings, GDXJ and UNG because of political influences on the underlying commodities and TBT as conflicting with another holding.
I shall also consider trades posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
-- Tim Bovee, Portland, Oregon, Nov. 29, 2016
by Richard D. Wolff |
Tuesday's Agenda
My most interesting prospect of the day, an options volatility play on COST, will have to wait. Volatility is not quite high enough, but it's getting there. Moreover, the company publishes earnings on Dec. 7, and I prefer to wait until closer to the announcement before entering a position.
The other prospects are the same old gang: Interest rates (TLT and TBT), fossil fuels (UNG) and gold (GDXJ). I already have exposure on TLT, and am waiting on fossil fuels until the major producing countries figure out what they want to do on production levels.
I've lost interest in GDXJ on technical grounds -- a very wide bid/ask spread. I'll revisit it if I can find a way to make it work, but I'm staying out for now.
I'll be keeping an eye on trading ideas posted today on Dough and shall follow through on those that interest me as part of my learning project.
The other prospects are the same old gang: Interest rates (TLT and TBT), fossil fuels (UNG) and gold (GDXJ). I already have exposure on TLT, and am waiting on fossil fuels until the major producing countries figure out what they want to do on production levels.
I've lost interest in GDXJ on technical grounds -- a very wide bid/ask spread. I'll revisit it if I can find a way to make it work, but I'm staying out for now.
I'll be keeping an eye on trading ideas posted today on Dough and shall follow through on those that interest me as part of my learning project.
By Tim Bovee, Portland, Oregon, Nov. 29, 2016
by Robert J. Gordon |
Monday, November 28, 2016
Tuesday's Prospects
Screening of the Monday, Nov. 28 markets identified six prospective high options volatility trades.
I shall make final trading decisions on Tuesday, Nov. 29.
Four prospects have sufficiently high implied volatility to qualify for further analysis:
I hold a position on one of the four, FXE.
I hold a position on TLT.
I shall make final trading decisions on Tuesday, Nov. 29.
Four prospects have sufficiently high implied volatility to qualify for further analysis:
| FXE |
| GDXJ |
| TBT |
| UNG |
I hold a position on one of the four, FXE.
Two are close to having sufficiently high volatility to qualify.
| COST |
| TLT |
I hold a position on TLT.
I shall also consider trading posted on Dough as part of my current learning project.
I have suspended work on my small lots shares approach through December until I determine how to move forward, given the poor trading results of July through October. See Small Lots Approach: Analysis 7/2016 through 10/2016.
by Matt Hall |
-- Tim Bovee, Portland, Oregon, Nov. 28, 2016
TLT Analysis Updated
I have updated today's TLT Analysis post with an extended discussion of what the interesting trade structure is, how it makes money and when to use it.
by Georhe Pruitt |
Monday's Outcomes
I entered options volatility positions on FXE, EWZ and TLT all of which were trading ideas from Dough.
I exited a shares position on EVLV. It was an earnings bull play that gapped down sharply after the company missed earnings expectations. I held onto it a few days lower to take advantage of any immediate rebound. See Monday's Small Lots.
I exited a shares position on EVLV. It was an earnings bull play that gapped down sharply after the company missed earnings expectations. I held onto it a few days lower to take advantage of any immediate rebound. See Monday's Small Lots.
By Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Anja Manuel |
TLT Analysis
iShares Barclays 20+ Year Teasury Bond ETF (TLT)
The trading idea came from Fauzia at Dough. I've never seen an iron condor structured this way, with a identical shorts on both calls and puts, with extremely wide wings. It's basically a straddle with defined risk. Most iron condors are strangles with risk defined.
Implied volatility on Fauzia's trade is a bit below my minimum requirement of the 50th percentile or higher of the annual range.
I shall use the DEC30 series of options, which trades for the last time 32 days hence, on Dec. 30.
Implied volatility stands at 16%, which is in the 48th percentile of its annual range. The price used for analysis was $121.52.
Iron condor, short the $121 calls and long the $128.50 calls,
short the $121 puts and long the $114.50 puts,
sold for a credit and expiring Dec. 31.
Probability of expiring out-of-the-money
The premium is $3.69, which is 49% of the width of the position’s wings.
The risk/reward ratio is 1:1.
Decision for My Account
I've entered a position on TLT as described above. The stock at the time of entry was priced at $121.523.
Further analysis after the closing bell
After the closing bell I sat down and tried to understand Fauzia's interesting trade structure. She included no comment explaining her motivations or reasoning.
So let's take some back bearings. The big event looming before us all is the December meeting of the Federal Open Market Committee, a two day session with an announcement Wednesday, Dec. 14, on whether or not the money policy body will raise interest rates.
The market for TLT, a fund composed of government bonds, will be impacted by the decision. Market pricing suggests strong expectations that rates will be raised.
I infer from the calendar of events that Fauzia expects TLT to remain within a tight range between now and the FOMC announcement.
That explains the narrow spread between the short calls and short puts, the space that defines the zone of profit. Since both are a $121, Fauzia's trade structure has no zone of maximum profit except for one price point -- $121. So we must look elsewhere for the money-making potential of this trade.
The answer, of course, is time decay. The trade is structured so that the net short positions gains value with increasing magnitude each passing day It was only 32 days until expiration when the trade was placed. Expiration happens a bit more than two weeks after the FOMC announcement.
That being so, the profit will come from the high premium, $3.69 before fees, and the trader's expectation is that the value of the debit need to exit the trade will be less than $3.69. That difference -- $3.69 minus the exit debit -- is where the profit is.
Where does that happen? At the long wings, of course. And they are very wide, $7.50 in either direction. The trade can take a 6.2% move either way and still be profitable.
I feel quit confident that Fauzia's intent is to exit before the FOMC announcement.
The fact that the premium is 49% of the wings means that this is an extreme verson of an iron condor variation known as the chicken iron condor. See an 11 minute video explaining the trade here.
One oddity. The video suggests using chicken iron condors to play earnings announcements because they provide such a wide zone of profit. TLT as a bond ETF has no earnings announcements. But when I think it over, an FOMC interest range announcement is an close to earnings as we'll get with a fund like ETF.
The trading idea came from Fauzia at Dough. I've never seen an iron condor structured this way, with a identical shorts on both calls and puts, with extremely wide wings. It's basically a straddle with defined risk. Most iron condors are strangles with risk defined.
Implied volatility on Fauzia's trade is a bit below my minimum requirement of the 50th percentile or higher of the annual range.
I shall use the DEC30 series of options, which trades for the last time 32 days hence, on Dec. 30.
Implied volatility stands at 16%, which is in the 48th percentile of its annual range. The price used for analysis was $121.52.
short the $121 puts and long the $114.50 puts,
sold for a credit and expiring Dec. 31.
Probability of expiring out-of-the-money
| JAN | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 121 | 48.4% | 54 |
| Lower | 121 | 48.4% | 54 |
The risk/reward ratio is 1:1.
Decision for My Account
I've entered a position on TLT as described above. The stock at the time of entry was priced at $121.523.
Further analysis after the closing bell
After the closing bell I sat down and tried to understand Fauzia's interesting trade structure. She included no comment explaining her motivations or reasoning.
So let's take some back bearings. The big event looming before us all is the December meeting of the Federal Open Market Committee, a two day session with an announcement Wednesday, Dec. 14, on whether or not the money policy body will raise interest rates.
The market for TLT, a fund composed of government bonds, will be impacted by the decision. Market pricing suggests strong expectations that rates will be raised.
I infer from the calendar of events that Fauzia expects TLT to remain within a tight range between now and the FOMC announcement.
That explains the narrow spread between the short calls and short puts, the space that defines the zone of profit. Since both are a $121, Fauzia's trade structure has no zone of maximum profit except for one price point -- $121. So we must look elsewhere for the money-making potential of this trade.
The answer, of course, is time decay. The trade is structured so that the net short positions gains value with increasing magnitude each passing day It was only 32 days until expiration when the trade was placed. Expiration happens a bit more than two weeks after the FOMC announcement.
That being so, the profit will come from the high premium, $3.69 before fees, and the trader's expectation is that the value of the debit need to exit the trade will be less than $3.69. That difference -- $3.69 minus the exit debit -- is where the profit is.
Where does that happen? At the long wings, of course. And they are very wide, $7.50 in either direction. The trade can take a 6.2% move either way and still be profitable.
I feel quit confident that Fauzia's intent is to exit before the FOMC announcement.
The fact that the premium is 49% of the wings means that this is an extreme verson of an iron condor variation known as the chicken iron condor. See an 11 minute video explaining the trade here.
One oddity. The video suggests using chicken iron condors to play earnings announcements because they provide such a wide zone of profit. TLT as a bond ETF has no earnings announcements. But when I think it over, an FOMC interest range announcement is an close to earnings as we'll get with a fund like ETF.
-- Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Jerome E. Bressert |
EWZ Analysis
iShares MSCI Brazil Index (EWZ)
The trading idea comes of Ryan at Dough, who earned a 1.60 credit. The position diverges from my guidelines in that expiration is less than 30 days away. The implied volatility is also lower than my 50th percentile requirement. The width of iron condor is also narrower than what I usually allow. Let's see how it works.
I shall use the DEC series of options, which trades for the last time 18 days hence, on Dec. 17.
Implied volatility stands at 38%, which is in the 31st percentile of its annual range. The price used for analysis was $34.07.
Iron condor, short the $34 calls and long the $36.50 calls,
short the $34 puts and long the $31.50 puts,
sold for a credit and expiring Dec. 17.
Probability of expiring out-of-the-money
The premium is $1.61, which is 64% of the width of the position’s wings.
The risk/reward ratio is 0.6:1.
Decision for My Account
I have placed an order on EWZ as described above. The stock price at entry was $34.06,
The trading idea comes of Ryan at Dough, who earned a 1.60 credit. The position diverges from my guidelines in that expiration is less than 30 days away. The implied volatility is also lower than my 50th percentile requirement. The width of iron condor is also narrower than what I usually allow. Let's see how it works.
I shall use the DEC series of options, which trades for the last time 18 days hence, on Dec. 17.
Implied volatility stands at 38%, which is in the 31st percentile of its annual range. The price used for analysis was $34.07.
short the $34 puts and long the $31.50 puts,
sold for a credit and expiring Dec. 17.
Probability of expiring out-of-the-money
| DEC | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 34 | 77.8% | 52 |
| Lower | 31.5 | 82.6% | 25 |
The risk/reward ratio is 0.6:1.
Decision for My Account
I have placed an order on EWZ as described above. The stock price at entry was $34.06,
-- Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Cathy O'Neil |
Monday's Small Lots
I exited one shares position under my small lots approach.
| sym | shares | entry date | exit date | entry price per share | exit price per share | result $ | result % | annual rate | days held | total divs | tactic |
| EVLV | 10 | 11/21/2016 | 11/28/2016 | 2.10 | 1.74 | -0.36 | -20.69% | -1079% | 7 | earns |
By Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Dr. Howard B. Bandy |
FXE Analysis
Guggenheim CurrencyShares Euro Trust (FXE)
The source of the trading idea was Aaron on Dough, who entered the position on Friday. The stock differs from my normal guildelines in that it has average volume below 3 million shares per day.
I shall use the JAN series of options, which trades for the last time 53 days hence, on Jan. 20.
Implied volatility stands at 11%, which is in the 60th percentile of its annual range. The price used for analysis was $102.93.
Aaron's trade was short the $107 calls and long the $100 puts, a $6 wide covered call with $2 wings. He earned a $0.69 credit.
The stock price has fallen slightly since Aaron's trade. I would structure it this way, sacrificing a dollar in width and skewing slightly toward the downside, the direction of the trend.
Iron condor, short the $105 calls and long the $107 calls,
short the $100 puts and long the $98 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
The premium is $0.70, which is 35% of the width of the position’s wings.
The risk/reward ratio is 1.9:1.
Decision for My Account
I've entered a position on FXE as described above. The stock at the time of entry was priced at $102.99.
The source of the trading idea was Aaron on Dough, who entered the position on Friday. The stock differs from my normal guildelines in that it has average volume below 3 million shares per day.
I shall use the JAN series of options, which trades for the last time 53 days hence, on Jan. 20.
Implied volatility stands at 11%, which is in the 60th percentile of its annual range. The price used for analysis was $102.93.
Aaron's trade was short the $107 calls and long the $100 puts, a $6 wide covered call with $2 wings. He earned a $0.69 credit.
The stock price has fallen slightly since Aaron's trade. I would structure it this way, sacrificing a dollar in width and skewing slightly toward the downside, the direction of the trend.
short the $100 puts and long the $98 puts,
sold for a credit and expiring Jan. 21.
Probability of expiring out-of-the-money
| JAN | Strike | OTM | Δ |
|---|---|---|---|
| Upper | 106 | 70.2% | 31 |
| Lower | 100 | 76.0% | 23 |
The premium is $0.70, which is 35% of the width of the position’s wings.
The risk/reward ratio is 1.9:1.
Decision for My Account
I've entered a position on FXE as described above. The stock at the time of entry was priced at $102.99.
-- Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Jack D. Schwager |
Monday's Agenda
I shall be looking a FXE today as a potential volatility play.
I'm rejecting GDXJ, TBT and TLT as potential volatility plays because of the specialized nature of their underlyings: GDXJ is gold, and both TBT and TLT are long-term U.S. Treasuries, both of which are responding to political events in the wake of the U.S. elections. Stocks, by contrast, are a more complex arena.
All of my shares prospects pulled back today, disqualifying them from further consideration.
I noted C, along with FXE, as trades I would look at as a results of trades posted on the education site Dough, which I will be tracking as a learning project.
I'm rejecting C because the rationale for the trade was based on political events. I'm all about the calculable odds, something generally beyond the grasp of politics.
FXE, as I noted above, is still of interest, and I shall post a full analysis soon using a changed format.
I shall look at trades posted today on Dough and analyze them as warranted.
See Monday's Prospects for more.
I'm rejecting GDXJ, TBT and TLT as potential volatility plays because of the specialized nature of their underlyings: GDXJ is gold, and both TBT and TLT are long-term U.S. Treasuries, both of which are responding to political events in the wake of the U.S. elections. Stocks, by contrast, are a more complex arena.
All of my shares prospects pulled back today, disqualifying them from further consideration.
I noted C, along with FXE, as trades I would look at as a results of trades posted on the education site Dough, which I will be tracking as a learning project.
I'm rejecting C because the rationale for the trade was based on political events. I'm all about the calculable odds, something generally beyond the grasp of politics.
FXE, as I noted above, is still of interest, and I shall post a full analysis soon using a changed format.
I shall look at trades posted today on Dough and analyze them as warranted.
See Monday's Prospects for more.
By Tim Bovee, Portland, Oregon, Nov. 28, 2016
by Robert B. Reich |
Sunday, November 27, 2016
The Week Ahead: GDP, Jobs, Income and Manufacturing
Two potentially game-changing reports bookend the markets this week: GDP on Tuesday and jobs on Friday.
The first estimae of gross domestic product for the 3rd quarter will be published on Monday at 8:30 a.m. New York time.The employment report is out on Friday, also at 8:30 p.m.
Together they answer two questions: How's the economy doing and are those results translating into jobs for working Americans? The GDP report also includes the inflation measure most important to the Federal Open Market Committee in managing the nation's money.
The employment report gets preview on from the privately produced ADP employment report on Wednesday at 8:15 a.m.
Other important reports released during the week: Personal income and outlays on Wednesday at 8:30 a.m., the Institute of Supply Management manufacturing survey on Thursday at 10 a.m.
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.
Vendor performance, or the deliveries time index, from the ISM manufacturing survey.
The S&P 500 index, reported continually during market hours.
Average weekly initial claims for unemployment from the jobless claims report at 8:30 a.m. Thursday.
The first estimae of gross domestic product for the 3rd quarter will be published on Monday at 8:30 a.m. New York time.The employment report is out on Friday, also at 8:30 p.m.
Together they answer two questions: How's the economy doing and are those results translating into jobs for working Americans? The GDP report also includes the inflation measure most important to the Federal Open Market Committee in managing the nation's money.
The employment report gets preview on from the privately produced ADP employment report on Wednesday at 8:15 a.m.
Other important reports released during the week: Personal income and outlays on Wednesday at 8:30 a.m., the Institute of Supply Management manufacturing survey on Thursday at 10 a.m.
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.
Vendor performance, or the deliveries time index, from the ISM manufacturing survey.
The S&P 500 index, reported continually during market hours.
Average weekly initial claims for unemployment from the jobless claims report at 8:30 a.m. Thursday.
by Steve Nison |
Saturday, November 26, 2016
Monday's Prospects
Screening of the Friday, Nov. 25 markets identified eight prospective trades.
I use four strategies in my trading, in response to trading signals (such as breakouts above the 20-day price channel), high implied options volatility, and persistently rising trends on a charts signaled by the stochastic-relative strength index indicator, and in anticipation of events ( such as earnings announcements).
I shall make final trading decisions on Monday, Nov. 28.
Below are the candidates for analysis for each type of analysis.
I use four strategies in my trading, in response to trading signals (such as breakouts above the 20-day price channel), high implied options volatility, and persistently rising trends on a charts signaled by the stochastic-relative strength index indicator, and in anticipation of events ( such as earnings announcements).
| options | shares | |
|---|---|---|
| price channel | N/A | N/A |
| earnings | 0 | 0 |
| volatility | 3 | N/A |
| stochastic-rsi | N/A | 5 |
I shall make final trading decisions on Monday, Nov. 28.
by Dr. Howard B. Bandy |
Below are the candidates for analysis for each type of analysis.
Friday, November 25, 2016
Friday's Outcomes
I made no trades during this shortened post-holiday market session.
By Tim Bovee, Portland, Oregon, Nov. 25, 2016
by Daniel J. Levitin |
Friday's Agenda
Neither of the two prospects on my desk qualifies for trading.this morning. See Friday's Prospects.
By Tim Bovee, Portland, Oregon, Nov. 25, 2016
by Robert B. Reich |
Wednesday, November 23, 2016
Friday's Prospects
Screening of the Wednesday, Nov. 23 markets identified two prospective trades.
I use four strategies in my trading, in response to trading signals (such as breakouts above the 20-day price channel), high implied options volatility, and persistently rising trends on a charts signaled by the stochastic-relative strength index indicator, and in anticipation of events ( such as earnings announcements).
I shall make final trading decisions on Friday, Nov. 25.
Below are the candidates for analysis for each type of analysis.
I use four strategies in my trading, in response to trading signals (such as breakouts above the 20-day price channel), high implied options volatility, and persistently rising trends on a charts signaled by the stochastic-relative strength index indicator, and in anticipation of events ( such as earnings announcements).
| options | shares | |
|---|---|---|
| price channel | N/A | N/A |
| earnings | 0 | 0 |
| volatility | 0 | N/A |
| stochastic-rsi | N/A | 2 |
I shall make final trading decisions on Friday, Nov. 25.
by Phil Knight |
Below are the candidates for analysis for each type of analysis.
Wednesday's Small Lots and Outcomes
I exited two shares positions on Wednesday under my small lots approach.
Enjoy the holiday on Thursday. The markets will re-open on Friday for a shortened session, ending at 1 p.m. New York time.
| sym | shares | entry date | exit date | entry price per share | exit price per share | result $ | result % | annual rate | days held | total divs | tactic |
| LVS | 3 | 11/18/2016 | 11/23/2016 | 60.61 | 62.13 | 1.52 | 2.45% | 179% | 5 | rsi-80 | |
| MPEL | 11 | 11/18/2016 | 11/23/2016 | 18.90 | 19.12 | 0.22 | 1.15% | 84% | 5 | rsi-80 |
Enjoy the holiday on Thursday. The markets will re-open on Friday for a shortened session, ending at 1 p.m. New York time.
By Tim Bovee, Portland, Oregon, Nov. 22, 2016
by Richard H. Thaler |
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