Friday, May 13, 2016

Monday's Prospects

On Friday, May 13:

Of 479 large-cap stocks and exchange-traded funds in my analytical universe, 21 broke beyond their 20-day price channels, one to the upside and 20 to the downside.

Three symbols giving trading signals with high odds of success survived initial screening, all having broken out to the downside. High-odds symbols are candidates for directional trades.

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

There is one prospect for a trade coinciding with earnings announcements.

I shall do further analysis on Monday, May 16.

The present earnings season is trailing off and will conclude on May 20. The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Option Volatility and Pricing
by Sheldon Natenberg

Trading signal survivors





Potential trades keyed to events

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

Monday pm
Tuesday am


All five prospects have implied volatility that is too low to support a trade. I require volatility in the 60th percentile or higher of its most recent range. Volatility among the prospects ranges from the 10th to the 27th percentile.

It seems unlikely that any will improve sufficiently after the opening bell on Monday; if any do, then I shall proceed to a full analysis.


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

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

For symbols whose odds of success are in the top or bottom thirds, suggesting a directional or non-directional trade, respectively, I next screen for 1) suitability of the options grid, including open interest of three figures or greater on the strike prices I would need to use to build a position and 2) the absence of an earnings announcement within the lifespan of the like options series I would trade.

I defer until the day of a possible trade a final screen for implied volatility in the 60th percentile or greater of its most recent range.

-- Tim Bovee, Portland, Oregon, May 13, 2016


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

I can be reached via comments on Private Trader posts or by email at


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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.

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Based on a work at s ss'ss

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