Wednesday, June 1, 2016

Wednesday's Agenda

Of the four prospects on my desk this morning, two -- KR and ORCL -- moved into the earnings exclusion zone, eliminating them from further consideration. I decline to trade symbols within six weeks of earnings, unless I'm doing an earnings play the trading session immediately before the announcement.

The other two have low implied volatility. The symbols are STZ and NEM.

STZ is at the 43rd percentile of the most recent range and 53rd of the annual range. I used the annual for initial screening last night because I can pull it directly off of my trading software. However, for the more detailed final analysis the next day, I use the most recent range as having finer granularity and more significance.

NEM shows a great discrepancy between the two ways of assessing implied volatility. The annual percentile is the 56th, but the range-based percentile is the 26th.

In initial screening based on the annual range I require the 50th percentile or higher, a criterion both symbols met. For the final screening based on the most recent range I require the 60th percentile or higher. Both symols failed that test, NEM by a huge margin. It is unusual to see that great a discrepenacy -- 30 percentile points -- between results from the annual range and the most recent range.

At any rate, all the symbols have failed, and I intend no further analyses today and shall open no new positions.

-- Tim Bovee, Portland, Oregon, June 1, 2016

Capitalism’s Crisis Deepens: Essays on the Global Economic Meltdown
by Richard D. Wolff


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


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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 decisions for his or her own account, and take responsibility for the consequences.

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