Of 482 large-cap stocks and exchange-traded funds in my analytical universe, three had implied volatility at the 50th percentile or higher of the their annual ranges. Five more had volatility in the 40th up to just below the 50th percentile and so were within reach of meeting my criteria for further consideration.
There are no prospects for trades coinciding with earnings announcements.
I shall do further analysis on Wednesday, June 1.
The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.
by Robert J. Gordon
Symbols meeting or close to meeting criteria
IV not quite
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".
Of the six symbols under consideration, GDXJ, CCE and AEE have overly low open interest on their options grids. STZ, KR, NEM and ORCL will fully qualify for further analysis if their volatility rises to the 50th percentile or greater of their annual ranges.
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 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, 3) implied volatility in the 50th percentile or greater of its annual range, 4) average volume of 3 million shares a day or greater, and 5) a price of $30 or greater.
-- Tim Bovee, Portland, Oregon, May 31, 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 email@example.com.
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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.License
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