Friday's Prospects

On Thursday, June 30:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, none meet my criteria for further consideration.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Friday, July 1.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Day Trading and Swing Trading the Currency Market: Technical and Fundamental Strategies to Profit from Market Moves by Kathy Lien

Earnings Prospects 7/4-7/8

Out of 30 stocks publishing earnings next week, two qualify for further consideration. They are PEP and WBA.

I did a basic screening for a stock price of $20 and above and average volume of 3 million shares a day or greater. I shall do further screening for liquidity and implied volatility on action day, when I shall consider whether to do a full analysis and possibly a trade.

A table of the prospects:

action	sym	earns date	am/mid/pm
7/6	PEP	7/7	am
7/5	WBA	7/6	am

The U.S. markets will be closed for Independence Day on Monday. The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

-- Tim Bovee, Portland, Oregon, June 30, 2016

How Britain Will Leave Europe Denis McShane

Thursday's Prospects

On Wednesday, June 29:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, none meet my criteria for further consideration.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Thursday, June 30.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Wednesday's Prospects

On Tuesday, June 28:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, none meet my criteria for further consideration.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Wednesday, June 29.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

The Price of Prosperity: Why Rich Nations Fail and How to Renew Them Todd G. Buchholz

Tuesday's Outcomes

I opened a position in NKE timed to coincide with an earnings announcement.

-- Tim Bovee, Portland, Oregon, June 28, 2016

The Price of Prosperity: Why Rich Nations Fail and How to Renew Them Todd G. Buchholz

NKE Analysis

Update 8/8/2016: NKE moved slightly above the upper boundary of my iron condor and was on a three-day uptrend that showed no signs of abating. I exited for a loss within two weeks of expiration.

Shares rose by 6.9% over 41 days, or a +61% annual rate. The options position produced a 29.8% loss on debit for a -266% annual rate.

---

The designer and manufacturer of sports footwear and other apparel Nike Inc. (NKE), headquartered in Beaverton, Oregon, publishes earnings on Tuesday after the closing bell.

[NKE in Wikipedia]

NKE

I shall use the AUG series of options, which trades for the last time 52 days hence, on Aug. 19.

Ranges

Implied volatility stands at 35%, which is 1.8 times the VIX, a measure of volatility of the S&P 500 index. NKE’s volatility stands in the 60th percentile of its most recent range. The price used for analysis was $52.36.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	59.18	66.00	55.42
Lower	45.54	38.72	49.30
Gain/loss	±$6.82	±$13.64	±$3.06

Implied volatility 1 and 2 standard deviations; central tendency earns move

The Price of Prosperity: Why Rich Nations Fail and How to Renew Them Todd G. Buchholz

Tuesday's Agenda

Today's lone prospect, NKE, continues to qualify for further analysis as it approaches an earnings announcement after the closing bell. I shall post a full analysis shortly.

-- Tim Bovee, Portland, Oregon, June 28, 2016

The Price of Prosperity: Why Rich Nations Fail and How to Renew Them Todd G. Buchholz

Tuesday's Prospects

On Monday, June 27:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, three meet my criteria for further consideration. I already hold positions in all of them.

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

I shall do further analysis on Tuesday, June 28.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Visual Guide to Elliott Wave Trading by Wayne Gorman

Monday's Outcomes

I opened positions on IWM and LB.

-- Tim Bovee, Portland, Oregon, June 27, 2016

Visual Guide to Elliott Wave Trading by Wayne Gorman

LB Analysis

Update 8/8/2016: LB rose above the upper boundary of the iron condor position, and I exited for a loss two weeks prior to expiration.

Shares rose by 13.7% over 42 days, or a +119% annual rate. The options position produced a 65.4% loss son debit for a -568% annual rate.

---

L Brands Inc. (LB), headquartered in Columbus, Ohio and the parent company of intimate apparel retailer Victoria's Secret and the keep-clean-and-groomed retailer Bath & Body Works, closed Friday with sufficiently high implied volatility by my standards to qualify for a closer look.

[LB in Wikipedia]

LB

I shall use the AUG series of options, which trades for the last time 53 days hence, on Aug. 19.

Ranges

Implied volatility stands at 37%, which is 1.4 times the VIX, a measure of volatility of the S&P 500 index. LB’s volatility stands in the 87th percentile of its most recent range. The price used for analysis was 65.38.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	74.62	83.66	N/A
Lower	58.14	46.90	N/A
Gain/loss	±$9.24	±$18.48

Implied volatility 1 and 2 standard deviations; central tendency earns move

Visual Guide to Elliott Wave Trading by Wayne Gorman

IWM Analysis

Update 8/8/2016: I exited IWM for a loss as it pulled within two weeks of expiration. The rose above the upper boundary of the iron condor.

Shares rose by 13.1% over 42 days, or a +114% annual rate. The options position produced a 68.2% loss on debit for a -593% annual rate.

---

Update 6/27/2016: In order to get a fill after sharp movements of the underlying shares, I had to rework the trade. I've updated the ranges and trading figures.

---

The iShares Russell 2000 Index exchange-traded fund (IWM), which represents 2,000 small-cap stocks and is commonly used as a benchmark for that segment of the market, closed Friday with implied volatility high enough by my standards to qualify for a closer look

[Russell 2000 Index in Wikipedia]

IWM

I shall use the AUG series of options, which trades for the last time 53 days hence, on Aug. 19.

Ranges

Implied volatility stands at 30%, which is 1.2 times the VIX, a measure of volatility of the S&P 500 index. IWM’s volatility stands in the 78th percentile of its most recent range. The price used for analysis was $108.24.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	120.41	132.58	N/A
Lower	96.07	83.90	N/A
Gain/loss	±$12.17	±$24.34

Implied volatility 1 and 2 standard deviations; central tendency earns move

Visual Guide to Elliott Wave Trading by Wayne Gorman

Monday's Agenda

Both prospects for today, IWM and LB, continue to meet my criteria for further consideration. Their implied volatility is down a bit but remains above the 60th percentile of the most recent range.

I shall post full analyses of the two this morning.

-- Tim Bovee, Portland, Oregon, June 27, 2016

Visual Guide to Elliott Wave Trading by Wayne Gorman

The Week Ahead: GDP, income and outlays, international trade, Euro-Yellen

The third and final estimate of Gross Domestic Product for the 2nd quarter will be published on Tuesday at 8:30 a.m. New York time.

Other major reports out during the week: International trade in goods on Monday and personal income and outlays on Wednesday, each at 8:30 a.m., and the Institute of Supply Management manufacturing index on Friday at 10 a.m.

Fed Chair Janet Yellen participates in a timely post-Brexit policy panel at the European Central Bank Forum on Central Banking in Linho Sintra, Portugal, at 9:30 a.m. New York time.

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 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.

How Not to Be Wrong: The Power of Mathematical Thinking by Jordan Ellenberg

Monday's Prospects

On Friday, June 24:

Of 472 large-cap stocks and exchange-traded funds in my analytical universe, five meet my criteria for further consideration. I already hold positions in three of them.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Monday, June 27.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

How Not to Be Wrong: The Power of Mathematical Thinking by Jordan Ellenberg

Friday's Agenda: Brexit Shock

I don't normally post on the status of my positions until I've taken some sort of action, such as exiting or adding to the position or rolling it forward to a later expiration.

Given the market shock of the Brexit vote, however, I shall do a quick review of my positions this morning. With the U.K. leaving the European Union, do I need to leave any of my positions to avoid further loss?

I hold seven positions Here's how they're faring on the first day of the Brexit Era, about half an hour after the U.S. markets opened.

Volatility plays (options):

• EFA: Price $54.87, within the profit zone of $61-$52.
• FXE: $108.25, profit zone $112-$107
• GDXJ: $41.48, profit zone $33-$43
• TLT: $135.35, profit zone $128-$143

All remain with their profit zones are poised to continue to benefit from time decay as they approach expiration.

Dividend plays (shares)

• NRZ: $13.45, 5.5% above entry price
• STWD: $20.66, 5.1% above entry price

Zombie time spread (options):

• UNG: $7.98, which $1 above the yesterday's opening price. (The options have been unprofit for quite some time; that's why the position is a zombie, a long leg without a short leg.)

My positions have proven to be robust int he facd of the storm, and under present circumstances I plan to take no action today as a result of the vote for the U.K. to leave the EU

-- Tim Bovee, Portland, Oregon, June 24, 2016

How Britain Will Leave Europe Denis McShane

Friday's Prospects

On Thursday, June 23:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, none meets my criteria for further consideration.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Friday, June 24.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Volatility Trading by Euan Sinclair

Thursday's Outcomes

I placed no trades, neither entering nor exiting positions.

I did the earnings prospects screening for next week, coming up with one prospect: NKE.

-- Tim Bovee, Portland, Oregon, June 23, 2016

Volatility Trading by Euan Sinclair

Earnings Prospects 6/27-7/1

Out of 48 earnings announcements next week by companies traded on U.S. markets, one has met my criteria for further consideration.

action	sym	earns date	am/mid/pm
6/28	NKE	6/28	pm

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

-- Tim Bovee, Portland, Oregon, June 23, 2016

Volatility Trading by Euan Sinclair

Thursday's Prospects

On Wednesday, June 22:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, two meet my criteria for further consideration. I already hold positions in both.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Thursday, June 23.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

The FINTECH Book: The Financial Technology Handbook for Investors, Entrepreneus and Visionaries by Susanne Chishti

Wednesday's Prospects

On Tuesday, June 21:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, two meet my criteria for further consideration. I already hold positions in both.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Wednesday, June 23.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

Tuesday's Outcomes

I entered two positions intended to profit from a decline in implied volatility following the referendum on Thursday in the United Kingdom over whether to leave the European Union, known as Brexit.

They are FXE,which tracks the value of the Euro, and EFA, which tracks large-company stocks in the developed world, about half of them in the EU.

I considered EWG, which tracks German stocks, but declined to take the trade after the other two Brexit trades were filled.

I had analyzed an attempted trades on all three of those symbols on Monday but was unable to get fills.

I gave no further consideration to a fourth stock from the Monday group, the London banking company HSBC, because it's implied volatility declined below my minimum standard.

-- Tim Bovee, Portland, Oregon, June 21, 2016

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

EWG trade declined

I have decided not to pursue a trade on EWG today. I have successfully entered two Brexit-based positions and don't want to take on the additional exposure. See the Agenda post for a discussion.

-- Tim Bovee, Portland, Oregon, June 21, 2016

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

EFA Analysis updated

I have updated the EFA Analysis post with a trade.

-- Tim Bovee, Portland, Oregon, June 21, 2016

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

FXE Analysis updated

I have updated the FXE Analysis post with a successful trade.

-- Tim Bovee, Portland, Oregon, June 21, 2016

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

Tuesday's Agenda

Today is a near rerun of Monday, although, I hope, with a more productive ending.

I placed orders on four potential plays on Thursday's vote on whether the United Kingdom should leave the European Union, hoping to complete the trade on two. None were filled.

I'll try again today, updating the analyses posted on Monday and also posting brief notices when the updates occur.

Three of the four potential trades have sufficiently high implied volatility to proceed with a second try. They are EFA, EWG and FXE. Implied volatility on the other symbol, HSBC, has dropped too low for further consideration, and I'm striking it from the list.

-- Tim Bovee, Portland, Oregon, June 21, 2016

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

Tuesday's Prospects

On Monday, June 20:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe, five meet my criteria for further consideration. I already hold a position in one of them.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Tuesday, June 21.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Welcome to the Poisoned Chalice: The Destruction of Greece and the Future of Europe by James K. Galbraith

Monday's Outcomes, 1st Add

As expected, my orders on FXE and HSBC expired without being filled. See the Outcomes post for how other symbols fared and a discussion of what I'll do going forward.

-- Tim Bovee, Portland, Oregon, June 20, 2016

Welcome to the Poisoned Chalice: The Destruction of Greece and the Future of Europe by James K. Galbraith

Monday's Outcomes

None of the three orders I placed today has been filled. I exited one order, on EFA, and am stepping away from my desk with two other orders still active, on FXE and HSBC.

EFA was in the worst shape of the three orders, with the present bid running two cents below my asking price. I saw no hope of a fill today and so exited in order to avoid over-committing if it were filled in addition to both of the others.

The bid on FXE and HSBC was a cent or so above my ask, but not sufficiently high to prompt a fill.

If I don't get the fills I want today then I'll try again on Tuesday. I shall do an add to this Outcomes post with the outcomes on the two remaining orders.

I analyzed EWG but declined to take the trade.

-- Tim Bovee, Portland, Oregon, June 20, 2016

Welcome to the Poisoned Chalice: The Destruction of Greece and the Future of Europe by James K. Galbraith

FXE Analysis

Update 7/5/2016: I have exited FXE for a profit. After the vote for the United Kingdom to leave the European Union, FXE -- tracking the Euro -- fell sharply to just below the lower boundary of the position, and then recovered to within the profit zone.

Shares fell by 0.9% over 14 days, or a -24% annual rate. The options position produced an 18.7% yield on debit for a +2,770% annual rate.

---

Updated 6/21/2016 with a second attempt to get a fill.

The Guggenheim CurrencyShares Euro Trust (FXE), an exchange traded fund, tracks the price of the Euro currency. I'm looking at it as a possible play on Thursday's vote on whether the United Kingdom should exit the European Union.

[Economy of the European Union in Wikipedia]

FXE

FXE has AUG series option, my preference at this point, but they have no liquidity so I shall use the JUL series of options, which trades for the last time 25 days hence, on July 25.

Ranges

Implied volatility stands at 12%, which is 7/10ths of the VIX, a measure of volatility of the S&P 500 index. FXE’s volatility stands in the 65th percentile of its most recent range, The price used for analysis was $109.70.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	113.18	116.66	N/A
Lower	106.22	102.74	N/A
Gain/loss	±$3.48	±$6.96

Implied volatility 1 and 2 standard deviations; central tendency earns move

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

EWG Analysis

Implied volatility on the iShares MSCI Germany exchange-traded fund (EWG), which tracks German stocks, has shot sharply upward as the June 23 vote on the United Kingdom leaving the European Union approaches, known as Brexit. The fund's top five holdings by weight are BAYN, SAP, BAS, ALV and DTE. The expense ratio is 0.48%.

[Economy of Germany in Wikipedia]

EWG

I shall use the JUL series of options, which trades for the last time 25 days hence, on July 15.

Ranges

Implied volatility stands at 34 %, which is double the VIX, a measure of volatility of the S&P 500 index. EWG’s volatility stands in the 80th percentile of its most recent range. The price used for analysis was $25.65.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	27.91	30.17	N/A
Lower	23.39	21.13	N/A
Gain/loss	±$2.26	±$4.52

Implied volatility 1 and 2 standard deviations; central tendency earns move
The Trade

I'll go direction neutral in my strategy, given the wide variety of polls and predictons regarding the outcome of the Brexit vote.

The CBOE has added AUG series options to EWG but they lack liquidity, so I'll use the JUL series.

Iron condor, short the $27 calls and long the $28 calls,
short the $23 puts and long the $22 puts,
sold for a credit and expiring July 16.
Probability of expiring out-of-the-money

AUG	Strike	OTM
Upper	27	82.9%
Lower	23	79.5%

The premium is $0.22, which is 22% of the width of the position’s wings, lower than I prefer.

The risk/reward ratio is 3.5:1.

The zone of profit in the proposed trade covers a $2.00 move either way.

Decision for My Account

The nature of the options grid makes it impossible for me to get sufficient profit to make the risk worthwhile. I'm passing on EWG. No trade.

-- Tim Bovee, Portland, Oregon, June 20, 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

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.

HSBC Analysis

Implied volatility on banking and financial services company HSBC Holdings plc (HSBC), headquartered in London, has risen significantly as the June 23 vote on the United Kingdom leaving the European Union approaches, known as Brexit. London is the largest money center within the EU, and the U.K.'s exit from the confederation would have a profound impact on the financial business.

[HSBC in Wikipedia]

HSBC

I shall use the AUG series of options, which trades for the last time 60 days hence, on Aug. 19.

Ranges

Implied volatility stands at 37%, which is 2.1 times the VIX, a measure of volatility of the S&P 500 index. HSBC’s volatility stands in the 60th percentile of its most recent range. The price used for analysis was $33.24.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	38.16	43.08	N/A
Lower	28.31	23.39	N/A
Gain/loss	±$4.92	±$9.64	±$0

Implied volatility 1 and 2 standard deviations; central tendency earns move
The Trade

The events futures trading platform PredictIt gives the exit side only a 25% chance of winning the vote. Some public opinion polling gives stay a slight edge but essentially, by that measure, opinion is split pretty much evenly.

I shall take the cautious course and hedge my bet either way by using a direction-neutral strategy.

HSBC publishes earnings on Aug. 3, within the lifespan of the options, and so I shall need to decide at that point whether to go for a new position or hold this one through the earnings publication. The stock has been in a downtrend since May 2013

Iron condor, short the $35 calls and long the $36 calls,
short the $28 puts and long the $27 puts,
sold for a credit and expiring Aug. 20.
Probability of expiring out-of-the-money

AUG	Strike	OTM
Upper	35	81.3%
Lower	28	79.6%

The premium is $0.29, which is 29% of the width of the position’s wings. The stock at the time of the order was priced at $32.18.

The risk/reward ratio is 2.4:1.

The zone of profit in the proposed trade covers a $3.50 move either way.

Decision for My Account

The order expired without being filled.

-- Tim Bovee, Portland, Oregon, June 20, 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

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.

EFA Analysis

Update 7/8/2016: I exited EFA slightly below the optimal profit point into order to clear it out before the weekend. Being a news-based play, relying on the aftermath of the Brexit vote, I judge it to be particularly vulnerable to political risk. The exit point was at 46.7% of maximum profit; I normally trying for 50%.

Shares declined sharply after the U.K. voted to leave the European Union, yet stayed within my profit range of $61 to $52 and indeed was 6.3% above the lower boundary of profitability at the time that I exited. An excess of caution.

Shares declined by 5.1% over 17 days, or a -110% annual rate. The options position produced a 87.5% yield on debit for a +1,879% annual rate.

---

Updated 6/21/2016 with an attempt to get a fill.

---

Implied volatility on the iShares MSCI EAFE Index exchange-traded fund (EFA), which tracks global stocks, has moved higher at a rapid pace as the June 23 vote on the United Kingdom leaving the European Union approaches, known as Brexit.

Half of the fund's holdings are based in the EU. Japanese companies are the large single-country portion of the holdings, at 23%. The top holdings by weight are ROG (Switzlerland); BATS and GSK (U.K.), CBA (Australia) and SAN (Spain). The expense ratio is 0.33%.

[Economy of the European Union in Wikipedia]

EFA

I shall use the AUG series of options, which trades for the last time 60 days hence, on Aug. 19.

Ranges

Implied volatility stands at 27%, which is 1.5 times the VIX, a measure of volatility of the S&P 500 index. EFA’s volatility stands in the 77th percentile of its most recent range. The price used for analysis was $58.28.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	64.62	70.96	N/A
Lower	51.94	45.60	N/A
Gain/loss	±$6.34	±$12.68

Implied volatility 1 and 2 standard deviations; central tendency earns move

The Rise and Fall of Nations: Forces of Change in the Post-Crisis World by Ruchir Sharma

Monday's Agenda

This is Brexit Day on my trading calendar, the day I set up to see if there's any way to make money on Thursday's vote on whether the United Kingdom should divorce itself from the European Union.

And so many choices!

My criteria are price of $20 or higher, average volume of 3 million shares per day or more, open interest in three figures at strike prices I'm likely to need in building a trade and option in my current series, which expire in August, and implied volatility at the 60th percentile or greater of its most recent range.

Two symbols meet my criteria for a further look entirely:

• EFA is a developed-country stock fund that is a bit more than 50% center in the European Union.
• HSBC is a London-based bank whose business interests would be impacted in a major way by an exit vote.

One symbol passes all tests except for the options series:

• EWG tracks stocks in Germany, the largest national economy within the EU. It has no August options and so I would need to drop back to the July series.

One symbols fails two tests but it is, perhaps, the purest test of all:

• FXE tracks the price of the Euro currency. It has low average volute of 543,000 shares per day, and also lacks the August options; in this case as well, I would need to trade the July series. i should also note that the U.K. doesn't use the Euro,  but the biggest players in the EU economy do. The U.K. accounts for about 18% of the EU's GDP and is the second largest economy in the confederation, so the currency would be impacted.

Implied volatility on all of the symbols was down in early trading today. FXE dropped below my 60th percentile requirement. I shall keep an eye on FXE and give it a look if IV rises. If not, then maybe on Tuesday.

I don't want the exposure of four positions but I'm comfortable with two, as long as one of them is the single-company HSBC. Among the others, I shall look at EFA and EWG.

As always, no trade is mandatory, and I shall trade nothing if my analysis shows it to be the wisest course.

-- Tim Bovee, Portland, Oregon, June 20, 2016

Welcome to the Poisoned Chalice: The Destruction of Greece and the Future of Europe by James K. Galbraith

The Week Ahead: Brexit, Yellen, Homes, Durables

The biggest potential market-mover of the week is the Brexit vote on Thursday that will determine whether the United Kingdom will leave the European Union or remain part of the confederation. The polls close at 10 p.m. in the United Kingdom, or 6 p.m. New York time.

Prior to that vote, Fed Chair Janet Yellen gives her semi-annual testimony before each chamber of Congress in which she discusses the state of the economy and monetary policy. She appears before the Senate Committee on Banking, Housing and Urban Affairs on Tuesday and the House Committee on Financial Services on Wednesday, with each beginning at 10 a.m. New York time.

Otherwise, two major economic reports mark a week characterized by a lack of much in the way of data releases.

Existing home sales will be published on Wednesday and new home sales on Thursday, each at 10 a.m.

Durable goods orders will be released on Friday 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.

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 index of consumer expectations from the Reuters/University of Michigan consumer sentiment survey at 10 a.m. Friday.

Although the index of leading indicators is not in itself a leading indicator, it is a compilation of leaders and so provides a nice "You Are Here" overview of the business cycle. This is one place to look if the economy is turning toward recession. It will be published on Thursday at 10 a.m.

The First Crash: Lessons from the South Sea Bubble by Richard Dale

Saturday's Outcomes

For awhile as implied volatility market-wide sank to levels too low for trading with my short option spreads strategy, I used a long diagonal spreads strategy to fill the gap.

It did not turn out well in most cases. The attempts did, however, leave behind some zombie positions.

One such was a position in GM, which expired worthless. It was composed of long options left over from the a net short spread built from both long and short positions. Click on the symbol for full results covering the length of the position through its lifetime.

-- Tim Bovee, Portland, Oregon, June 18, 2016

The Rise and Fall of American Growth: The U.S. Standard of Living since the Civil War by Robert J. Gordon

Monday's Prospects

On Friday, June 17:

Of 461 large-cap stocks and exchange-traded funds in my analytical universe,  five meet my criteria for further consideration. I already hold positions in two of them.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Monday, June 20.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

The Rise and Fall of American Growth: The U.S. Standard of Living since the Civil War by Robert J. Gordon

Friday's Outcomes

I opened a position on TLT.

-- Tim Bovee, Portland, Oregon, June 17, 2016

Connectography: Mapping the Future of Global Civilization by Parag Khanna

TLT Analysis

Update 7/18/2016: I exited TLT below my benchmark 50% of maximum profit. I wanted to free up the funds to pursue opportunities during earnings season, and the value of the position was bouncing between profitable and not. Besides, I got out with quite a good profit, so what's not to like?

Shares rose by 2.2% over 31 days, or a +26% annual rate. The options position produced a 25.0% yield on debit for a +294% annual rate.

---

The iShares Barclays 20+ Year Treasury Bond exchange-traded fund (TLT)  has implied volatility high enough to meet my standards. The expense rate is 0.15%. The annual dividend yield is 2.35% at today's rates, paid monthly.

[U.S. Treasury security in Wikipedia]

TLT

I shall use the AUG series of options, which trades for the last time 63 days hence, on Aug. 19.

Ranges

Implied volatility stands at 17%, which is 0.9 times the VIX, a measure of volatility of the S&P 500 index. TLT’s volatility stands in the 69th percentile of its most recent range. The price used for analysis was $135.72.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	145.18	154.63	N/A
Lower	126.26	116.81	N/A
Gain/loss	±$9.46	±$18.91

Implied volatility 1 and 2 standard deviations; central tendency earns move

Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One) by Harry R. Markowitzh et al.

Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume Two) by Harry R. Markowitzh et al.

Friday's Agenda

My lone prospect for the day, TLT, continues to have sufficiently high implied volatility to qualify for further a further look. I shall most an analysis shortly, and possible do a trade.

-- Tim Bovee, Portland, Oregon, June 17, 2016

Connectography: Mapping the Future of Global Civilization by Parag Khanna

Friday's Prospects

On Thursday, June 16:

Of 482 large-cap stocks and exchange-traded funds in my analytical universe, four meet my criteria for further consideration. I already hold a position in one of them. Two others are on the calendar for deferred consideration.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Friday, June 17.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Option Volatility and Pricing by Sheldon Natenberg

Earnings Prospects: 6/20-6/24

Out of 38 earnings announcements the week of June 20 through June 24, none meet my criteria for further analysis. All have average volume that is too low to provide sufficient liquidity to support a trade.

-- Tim Bovee, Portland, Oregon, June 16, 2016

Option Volatility and Pricing by Sheldon Natenberg

Thursday's Prospects

On Wednesday, June 15:

Of 482 large-cap stocks and exchange-traded funds in my analytical universe, three meet my criteria for further consideration. Two are on the calendar for later consideration. I already hold a position in the other one.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Thursday, June 16.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Wednesday's Outcomes

I analyzed KR as a potential trade but it came up lacking and I passed on the opportunity.

-- Tim Bovee, Portland, Oregon, June 15, 2016

Grit: The Power of Passion and Perseverance by Angela Duckworth

KR Analysis

The Kroger Co. (KR), a grocery chain headquartered in Cincinnati, Ohio, publishes earnings on Thursday before the opening bell.

[KR in Wikipedia]

KR

I shall use the JUL series of options, which trades for the last time 30 days hence, on July 15.

Ranges

Implied volatility stands at 34%, which is 1.6 times the VIX, a measure of volatility of the S&P 500 index. KR’s volatility stands in the 77th percentile of its most recent range. The price used for analysis was $35.89.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	39.36	42.83	37.96
Lower	32.42	28.95	33.83
Gain/loss	±$3.47	±$6.94	±$2.07

Implied volatility 1 and 2 standard deviations; central tendency earns move

Grit: The Power of Passion and Perseverance by Angela Duckworth

Wednesday's Agenda

There are two prospects on my desk this morning, both of them earnings plays.

One, CTRP, has implied volatility that has dropped too low to meet my prospects any longer, and I am removing it from further consideration.

The other, KR, meets my criteria, and I shall do a full analysis today and possibly open a new position.

The Federal Open Market Committee publishes a statement on monetary policy at 2 p.m. New York time, and I shall delay the analysis and any trade until after the statement. I doubt that it will cause a prompt a major response from the market, but I want to see for sure before I commit funds to a position.

-- Tim Bovee, Portland, Oregon, June 15, 2016

Grit: The Power of Passion and Perseverance by Angela Duckworth

Wednesday's Prospects

CORRECTION: I've removed ORCL from Wednesday's action list. It is actionable on Thursday, June 16.

On Tuesday, June 14:

Of 482 large-cap stocks and exchange-traded funds in my analytical universe, three meet my criteria for further consideration. I already hold positions in one of them. The other two are on the calendar for deferred consideration.

There are three two prospects for trades coinciding with earnings announcements.

I shall do further analysis on Wednesday, June 15.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume One) by Harry R. Markowitzh et al.

Risk-Return Analysis: The Theory and Practice of Rational Investing (Volume Two) by Harry R. Markowitzh et al.

Tuesday's Prospects

On Monday, June 13:

Of 482 large-cap stocks and exchange-traded funds in my analytical universe, three meet my criteria for further consideration. I already hold a position in one of them. The other two are on the calendar for delayed consideration.

There are no prospects for trades coinciding with earnings announcements.

Lacking prospects, I shall do no further analysis on Tuesday, June 14.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

Odds On: The Making of an Evidence-Based Investor by Matt Hall

Monday's Agenda

My two prospects for the day -- EFA and EWG -- are Europe plays, subject to the uncertainties of the Brexit vote on June 23 that will determine whether the United Kingdom will remain part of the European union.

Uncertainty produces high volatility, and so it is with these two funds.

EFA is a wider play, with about half of its holding sin Europe and the rest in developed-world in other regions. EWG covers blue chip companies in Germany, continental Europe's most robust economy.

One possible problem with the two is wide bid/ask spreads on front-month at-the-money calls, my benchmark option for judging the spread.

EFA's bid/ask spread is 14.0%, and EWG's,  14.3%. I prefer single-digit spreads but I have on occasion allowed for higher.

Since this is an event play I would treat it like an earnings announcement, where I go in the last trading day before the event.

In this case that would be next week, on Wednesday June 22.

So I won't do a full analysis today but shall wait, making a note to put these two symbols on the Prospects list for June 22.

I plan no full analyses today and shall enter no new positions.

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

Odds On: The Making of an Evidence-Based Investor by Matt Hall

The Week Ahead: Money Policy Meeting

The much anticipated and thoroughly parsed Federal Open Market Committee meeting happens this week, a two-day affair ending on Wednesday with an announcement and fresh forecasts at 2 p.m., New York time and a news conference with Fed Chair Janet Yellen at 2:30 p.m.

It had initially been expected that the Fed would raise rates again in June, but the odds appeared to lessen after a sharp decline in the pact at which jobs are being added to the economy.

A report with a bearings on interest rate decisions, the consumer price index, will be poublished Thursday at 8:30 a.m.

Other important economic reports scheduled for the week: On Tuesday, retail sales on Tuesday at 8:30 a.m.; on Wednesday, producer prices at 8:30 a.m. and industrial production at 9:15 a.m.; on Thursday; and on Friday, housing starts 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.

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.

Building permits for new private homes from the housing starts survey at 8:30 a.m. Friday.

The First Crash: Lessons from the South Sea Bubble by Richard Dale

Monday's Prospects

On Friday, June 10:

Of 482 large-cap stocks and exchange-traded funds in my analytical universe, two meet my criteria for further consideration and another is very close to qualifying.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Monday, June 13.

The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.

The Third Wave: An Entrepreneur’s Vision of the Future by Steve Case