Of 482 large-cap stocks and exchange-traded funds in my analytical universe, four meet my criteria for further consideration. I already hold positions in !# of them.
There is one prospect for a trade coinciding with an earnings announcements.
I shall do further analysis on Thursday, June 2.
The next earnings season will begin on July 11 and last for six weeks, through Aug. 19.
by Richard D. Wolff |
Symbols meeting or close to meeting implied volatility criteria
IV qualifies
|
IV near- qualifying
|
Qualifies, In portfolio
|
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".
|
|
Assessment
The one potential earnings play, AVGO, has extreme low implied volatility measured as a percentile of its annual range. The three other symbols are slightly below my required level, defined as the 50th percentile or higher. If they reach that level on Thursday, then I shall proceed with further analysis.
A table of symbols and their implied volatility percentiles:
| sym | IV%ile |
| AVGO | 18.2 |
| YHOO | 47.9 |
| NOV | 42.0 |
| NEM | 41.0 |
Methodology
The stocks in my analytical universe all have analyst coverage through the stock-ranking company Zacks Investment Research. Not all of the exchange-traded funds are so covered.
I screen 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, June 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.
I can be reached via comments on Private Trader posts or by email at datnillc@gmail.com.
Alerts
- On Twitter: Follow Tim Bovee: https://twitter.com/TimBovee
- On Facebook, Like Private Trader: https://www.facebook.com/PrivateTrader
Tim Bovee, Private Trader tracks the analysis and trades of a private trader for his own accounts. Nothing in this blog constitutes a recommendation to buy or sell stocks, options or any other financial instrument. The only purpose of this blog is to provide education and entertainment.
No trader is ever 100 percent successful in his or her trades. Trading in the stock and option markets is risky and uncertain. Each trader must make trading decision decisions for his or her own account, and take responsibility for the consequences.License
All content on Tim Bovee, Private Trader by Timothy K. Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Based on a work at www.timbovee.com.Tss s ss'ss
No comments:
Post a Comment