Thursday's Agenda

I have a rich harvest of prospective trades today, four coinciding with earnings announcements and two as a result of trading signals. As has so commonly been the case of late, all but one has failed final screening because of low implied volatility.

Among the potential earnings plays, AMZN alone has volatility above the 60th percentile of its most recent range. It has the added benefit of also being above the 60th for its annual range, an important reinforcement. MSFT, CAT and MCD are below the 60th and so fail to make the grade.

The two trading signal prospects, MS and PNC, each has extremely low volatility and no serious chance of rising sufficiently during the day.

I shall post a full analysis of AMZN this morning.

I'll keep a watch on MSFT, CAT and MCD during the day and if any redeem themselves through rising volatility then I shall post full analyses.

MS and PNC are irredeemably low in volatility and I shall not give them another thought.

A chart of the symbols and their implied volaitlity:

sym	range %ile	year %ile
AMZN	66	67
MSFT	54	38
CAT	39	51
MCD	50	25
MS	4	23
PNC	10	15

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

A book from my library →

Thursday's Prospects

On Wednesday, April 20:

Of 480 large-cap stocks and exchange-traded funds in my analytical universe, 24 broke beyond their 20-day price channels, 12 in either direction.

One symbol giving a trading signal with high odds of success survived initial screening, as did one with low odds of success. Both broke out to the upside. High-odds symbols are candidates for directional trades, and low odds, for non-directional trades.

There are four prospects for trades coinciding with earnings announcements.

I shall do further analysis on Thursday, April 21.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Wednesday's Outcomes

I exited IBM for a loss.

Five prospects failed final screening and I rejected them without full analysis: MAT, QCOM, YUM UAL and MON. See today's Agenda post for a discussion.

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

A book from my library →

Wednesday's Agenda

None of the five prospective trades on my desk this morning has passed final screening. All crashed upon the rocks of low implied volatility.

Four were earnings plays: MAT, QCOM, YUM and UAL.

In addition, there was a bull signal on MON that triggered the screening process.

I judge implied volatility in relation to the most recent range. Implied volatility tends to move in an endless sideways trend -- "reverts to the mean" in the jargon -- and I'm treating the extremes at either side of that reversion as the range that defines volatility as high or low.

At minimum I want volatility to be in the 60th percentile of that range. In addition, I also look at where volatility stands in relation to its high and low for the past 12 months -- some call it the volatility index -- to get a sense where the present range stands in the broader sweep of market history.

Here are the five symbols and their volatility percentiles for the present range and for the past year.

sym	range %ile	year %ile
MAT	15	5
QCOM	39	34
YUM	34	46
UAL	10	4
MON	48	58

The ideal trade will have the year percentile at the 50th or above, and the range percentile at the 60th of higher. MON meets the less important year percentile test but not the range test that I use for my decision.

If the numbers for any of the five improve during the day then I'll swing into an analysis. Otherwise, I plan no new analyses or positions today.

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

A book from my library →

Wednesday's Prospects

On Tuesday, April 19:

Of 480 large-cap stocks and exchange-traded funds in my analytical universe, 33 broke beyond their 20-day price channels, 27 to the upside and six to the downside.

One symbol giving a trading signal having low odds of success survived initial screening, having broken out to the upside.Low-odds symbols are candidates for non-directional trades and time spreads.

There are four prospects for trades coinciding with earnings announcements.

I shall do further analysis on Wednesday, April 20.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Tuesday's Outcomes

I opened a position on INTC timed to correspond with an earnings announcement and closed a position on STX for a profit.

-- Tim Bovee, Portland, Oregon, May 19, 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.

INTC Analysis

Update 4/29/2016: INTC fell to 50% below its break-even point and I exited for a loss.

Share drifted sideways with a slight downward tilt after earnings were published but took a sharper decline to the downside this morning.

Shares declined by 2.4% over 10 days, or a -88% annual rate. The options position produced a 37.3% loss on debit for a -1,360% annual rate.

---

The semiconductor manufacturer Intel Corp. (INTC), headquartered in Santa Clara, California, publishes earnings on Tuesday after the closing bell.

[INTC in Wikipedia]

INTC

I shall use the MAY series of options, which trades for the last time 31 days hence, on May 20.

Ranges

Implied volatility stands at 31%, which is 2.3 times the VIX, a measure of volatility of the S&P 500 index. INTC’s volatility stands at the peak of its most recent range. The price used for analysis was $31.60.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	34.44	37.29	32.65
Lower	28.76	25.91	30.55
Gain/loss	±$2.84	±$5.89	±$0.77

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

A book from my library →

Tuesday's Agenda

I'm looking at one prospect on my desk this morning, an earnings play on INTC. It has passed initial screening, and I shall post a full analysis today.

-- Tim Bovee, Portland, Oregon, April 19, 2016

A book from my library →

Tuesday's Prospects

On Monday, April 18:

Of 480 large-cap stocks and exchange-traded funds in my analytical universe, five broke beyond their 20-day price channels, four to the upside and one to the downside. None survived initial screening.

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

I shall do further analysis on Tuesday, April 19.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Monday's Outcomes

I entered two positions, both of them earnings plays: HOG and IBM.

The short leg of my GM diagonal turned unprofitable and I exited for a loss.

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

<

A book from my library →

IBM Analysis

Update 4/20/2016: IBM gapped sharply to the downside after its earnings announcement. Earnings beat the Street estimate, but revenues were lower than expected.

Shares declined by 5.1% over two days, or a -935% annual rate. The options position produced a 54.3% loss on debit for a -9,907% annual rate.

---

The information technology company International Business Machines Corp. (IBM), headquartered in Armonk, New York, publishes earnings on Monday after the closing bell.

[IBM in Wikipedia]

IBM

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 20.

Ranges

Implied volatility stands at 28%, which is 2.1 times the VIX, a measure of volatility of the S&P 500 index. IBM’s volatility stands in the 68th percentile of its most recent range. The price used for analysis was $152.83.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	165.52	178.22	159.52
Lower	140.14	127.44	146.15
Gain/loss	±$12.69	±$25.39	±$6.69

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

A book from my library →

HOG Analysis

Update 4/27/2016: HOG moved sharply to the upside after earnings were published, putting my bear call spread on the wrong side of the market. I held on for seven trading days hoping for a pullback, which never materialized. I exited once the price moved 160% below its maximum profit point.

Shares rose by 5.2% over nine days, or a +210% annual rate. The options position produced a 37.4% loss on debit for a -1,517% annual rate

---

The motorcycle manufacturing and retail sales company Harley-Davidson Inc. (HOG), headquartered in Milwaukee, Wisconsin, publishes earnings on Monday after the closing bell.

[HOG, in Wikipedia]

HOG

I shall use the MAY series of options, which trades for the last time 32 days hence, on May 20.

Ranges

Implied volatility stands at 51%, which is 3.7 times the VIX, a measure of volatility of the S&P 500 index. HOG’s volatility stands at the peak of its most recent range. The price used for analysis was $47.06.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	54.21	61.36	51.71
ower	39.91	32.76	42.41
Gain/loss	±$7.15	±$14.30	±$4.65

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

A book from my library →

Monday's Agenda

I have prospects on my desk this morning: IBM, NFLX and HOG. All are potential earnings plays.

All three meet my requirements for options liquidity, having sufficiently high open interest on strike prices important to building a trade.

Additionally, HOG and IBM have implied volatility that meets my standard: The 60th percentile or higher of the most recent range.

NFLX, however, falls short, with implied volatility standing in the 20th percentile of its most recent range and in the 46th percentile for the past 12 months.

I shall post analyses of HOG and IBM rtoday but shall reject NFLX without further analysis.

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

<

A book from my library →

The Week Ahead: Housing

This week in top-tier economic reporting is all about real estate: Housing starts on Tuesday at 8:30 a.m. New York time and existing home sales on Wednesday at 10 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 report at 8:30 a.m. Tuesday.

A book from my library →

Monday's Prospects

On Friday, April 15:

Of 480 large-cap stocks and exchange-traded funds in my analytical universe, three broke beyond their 20-day price channels, two to the upside and one to the downside. None survived initial screening because of my rule that forbids chart-signal trading within six weeks of an earning announcement.

There are three prospects for trades coinciding with earnings announcements.

I shall do further analysis on Monday, April 18.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Friday's Outcomes

None of my three prospects -- HAS, PEP or RCL -- passed final screening because of low implied volatility. See the discussion in my Agenda post.

No trades today.

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

An Amazon Best Book →

Friday's Agenda

Half an hour into the trading day all three of my prospects fall short of passing final screening, all for the same reason: Low implied volatility relative to their most recent range.

HAS is at the 52nd percentile of its range, PEP the 8th percentile and RCL the 49th percentile.

Both HAS and RCL are close enough to my 60th percentile minimum that each could conceivably meet that standard before the trading day is over.

In addition, HAS has open interest that is lower than I like at strike prices important to building a trade.

If HAS or RCL meet the minimum standards during trading today then I'll do a full analysis. (PEP's implied volatility is so low that there is little hope that it will come up to snuff.)

Otherwise, I shall do no analysis and enter no new positions today.

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

A book from my library →

Friday's Prospects

On Thursday, April 14:

Of 470 large-cap stocks and exchange-traded funds in my analytical universe, nine broke beyond their 20-day price channels, all to the upside. None survived initial screening because of earnings announcements.

There are three prospects for trades coinciding with earnings announcements.

I shall do further analysis on Friday, April 15.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Thursday's Outcomes

I entered a position on STX after some difficulty in obtaining a fill.

I rejected C and RAI without full analysis. See the discussion in today's Agenda post.

-- Tim Bovee, Portland, Oregon, April 14, 2016

A book from my library →

Next week's earnings plays

I have selected for analysis 51 out of 593 symbols of companies publishing earnings next week.

As the pace of earnings season picks up, I have tightened the requirement for average volume to reduce the number of symbols to a manageable level. Volume must now be 2 million shares a day or higher.

Below are the symbols, sorted by action -- the day I shall do the final screening and analysis -- and then by symbol within the action day.

A book from my library →

STX Analysis

Update 4/19/2016: STX reached 51% of its potential and I exited for the profit.

Shares declined by 6.8% over five days, or a -497% annual rate. The options position produced a 103.1% yield on debit for a +7,528% annual rate.

---

The data-storage hardware maker Seagate Technology PLC (STX), with operations headquartered in Cupertino, California publishes earnings on Friday before the opening bell.

[STX in Wikipedia]

STX

I shall use the MAY series of options, which trades for the last time 36 days hence, on May 20.

Ranges

Implied volatility stands at 64%, which is 4.7 times the VIX, a measure of volatility of the S&P 500 index. STX’s volatility stands in the 85th percentile of its most recent range. The price used for analysis was $27.61.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	33.16	38.71	32.53
Lower	22.06	16.51	22.69
Gain/loss	±$5.55	±$11.10	±$0

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

A book from my library →

Thursday's Agenda

I have three prospects on my desk this morning, all of them potential earnings plays. They are C, RAI and STX.

At Wednesday's close all three had implied volatility below my minimum requirement, the 60th percentile or higher of its most recent range.

However, at the open this morning volatility on STX took an upward leap and now stands in the 87th percentile, making it tradable.

I shall post a full analysis of STX today, and reject the other two without a full analysis.

-- Tim Bovee, Portland, Oregon, April 14, 2016

A book from my library →

Thursday's Prospects

On Wednesday, April 13:

Of 470 large-cap stocks and exchange-traded funds in my analytical universe, 17 broke beyond their 20-day price channels, 13 to the upside and four to the downside. One survived initial screening, having broken out to the upside.

There are three prospects for trades coinciding with earnings announcements.

I shall do further analysis on Thursday, April 14.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks from that date.

A book from my library →

Wednesday's Outcomes

I did no analyses and placed no trades today.

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

A book from my library →

Wednesday's Prospects

On Tuesday, April 12:

Of 470 large-cap stocks and exchange-traded funds in my analytical universe, six broke beyond their 20-day price channels, five to the upside and one to the downside.

One symbol giving a trading signal with low odds of success survived initial screening, having broken out to the upside.

There are no prospects for trades coinciding with earnings announcements that I shall consider. I looked at five prospects for Wednesday early because of a scheduling conflict: DAL, PACW, PGR, PNC and WFC. All failed to meet my implied volatility standards and so were rejected for trading.

I shall do no further analysis on Wednesday, April 13 because of a scheduling conflict that will take me away from my desk.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks.

A book from my library →

Tuesday's Outcomes

I exited FAST for a quick profit after a sharp post-earnings decline in the share price.

I rejected seven prospective trades without a full analysis: JPM, DAL, PACW, PGR, PNC, WFC and NKE. See the discussion in today's Agenda post.

-- Tim Bovee, Portland, Oregon, April 12, 2016

A book from my library →

Tuesday's Agenda

I woke up this morning with anticipation. After a long drought of potential trades, I found myself with seven genuine prospects on my desk.

My hopes, as I had feared the night before, were dashed. All seven have preternaturally low implied volatility that, relative to recent trends, lies below my minimum standard.

A book from my library →

The standard is based on where volatility stands within its most recent range. Implied volatility, unlike stock prices, are always in a long-term sideways trade. It eternally fluctuates within its current range and rare rushes off in a significant directional movement.

I calculate the position of volatility within the most recent significant swing within its current range -- think of it as the most recent leg of its journey -- expressing it as  a percentile, where the 100th percentile is at the top of the range and the 50th percentile is at its middle. For a trade, I require that implied volatility be in the 60th percentile or higher.

Here is where my seven prospects stand this morning by that measure:

sym	imp vol %ile
PACW	43
NKE	37
WFC	31
DAL	30
PGR	27
PNC	23
JPM	22

So all fail final screening, and I shall do no full analyses today and anticipate entering no new positions.

The day hasn't hasn't been a complete waste. My position in FAST, which I entered on Monday, fell sharply after earnings were announced, and I've exited claiming 54% of potential profit. Expect full results, with an awesome annual rate for the yield, to be noted in the the Outcomes post near the market close.

-- Tim Bovee, Portland, Oregon, April 12, 2016

Tuesday's Prospects

On Monday, April 11:

Of 470 large-cap stocks and exchange-traded funds in my analytical universe, seven broke beyond their 20-day price channels, one to the upside and six to the downside.

No symbols giving trading signals with high odds of success survived initial screening.

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

There are six prospects for trades coinciding with earnings announcements. The earnings prospects cover earnings announcements that I would normally analyze on both Tuesday and Wednesday. However, due to a scheduling conflict I shall be away from my desk for most of the trading session.

I shall do further analysis on Tuesday, April 12.

Earnings season began April 11. The higher pace of announcements will continue for about four weeks.

A book from my library →

Monday's Outcomes

I opened a position on FAST timed to coincide with earnings.

-- Tim Bovee, Portland, Oregon, April 11, 2016

A book from my library →

FAST Analysis

Update 4/12/2015: I exited FAST for 54% of potential profit upon a sharp drop in the share price immediately after the earnings announcement.

Shares declined by 3.9% over one day, or a -1,422% annual rate. The options position produced a 118.8% yield on debit for a +43,344% annual rate.

---

The industrial and construction supplies company Fastenal Co. (FAST), headquartered in Winona, Minnesota, publishes earnings on Tuesday before the opening bell.

[FAST in Wikipedia]

FAST

I shall use the MAY series of options, which trades for the last time 39 days hence, on May 20.

Ranges

Implied volatility stands at 34%, which is 2.2 times the VIX, a measure of volatility of the S&P 500 index. FAST’s volatility stands in the 62nd percentile of its most recent range. The price used for analysis was $47.56.

Ranges implied by options and earnings

Week	SD1 68.2%	SD2 95%	Earns
Upper	52.82	58.09	50.57
Lower	42.30	37.03	44.55
Gain/loss	±$5.26	±$10.53	±$0

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

A book from my library →

Monday's Agenda

I have one earnings play on the table today. The symbol is FAST, and with sufficiently high implied volatility and a sufficiently liquid options grid, it meets my criteria for a full analysis.

I shall post an analysis today to assess whether I should enter a position.

-- Tim Bovee, Portland, Oregon, April 11, 2016

A book from my library →

The Week Ahead: Prices, retail, industry

Inflation takes the center of ballroom in the weekly dance of economic reporting, with the producer price index published on Wednesday and the consumer price index on Thursday, each at 8:30 a.m. New York time.

The Census Bureau will publish results of its retail sales survey on Wednesday at 8:30 a.m., and the Federal Reserve, its industrial production report on Friday at 9:15 a.m.

A book from my library →

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 University of Michigan consumer sentiment report, at 10 a.m. Friday.

Events arranged by day:

Tuesday: Import and export prices at 8:30 a.m. and the Treasury budget at 2 p.m.

Wednesday: Retail sales and producer prices at 8:30 a.m., business inventories at 10 a.m., petroleum inventories at 10:30 a.m. and the Federal Reserve Beige Book at 2 p.m.

Thursday:  Consumer prices and jobless claims at 8:30 a.m. and the M2 money supply at 4:30 p.m.

Friday: The Empire State manufacturing survey of conditions in New York at 8:30 a.m., industrial production at 9:15 a.m. and consumer sentiment at 10 a.m., Treasury's international capital at 4 p.m.

I also keep an eye on the Baltic Dry Index, updated daily, and the 5-year implied inflation rate based on U.S. Treasury yields, which presently stands at 1.57%, down 0.02% from a week earlier.

Treasury Debt

Bills

• 4-week: Announcement Monday 11 a.m., auction Tuesday 11:30 a.m., settlement Thursday.
• 3-month: Auction Monday 11:30 a.m., announcement Thursday 11 a.m., settlement Thursday.
• 6-month: Auction Monday 11:30 a.m., announcement Thursday 11 a.m., settlement Thursday.

Notes

• 3-year: Auction Tuesday 1 p.m.; settlement Friday.
• 10-year: Auction Wednesday 1 p.m.; settlement Friday.

Bonds

• 30-year: Auction Thursday 1 p.m.; settlement Friday.

TIPS

• 5-year: Announcement Thursday 11 a.m.

Fedsters

Fed. Gov. Jerome Powell, a member of the Federal Open Market Committee, testifies before the Senate Banking Subcommittee on Securities, Insurance and Investments and Economic Policy on Thursday at 10 a.m. His subject: Examining Current Trends and Changes in Fixed-Income Markets.

Four FOMC alternates will make appearances: Dallas Fed Pres. Robert Kaplan on Monday, Philadelphia Fed Pres. Patrick Harker and Richmond Fed Pres. Jeffrey Lacker on Tuesday and Chicago Fed Pres. Charles Evans on Friday.

A pair of other Fed glitterati will take the podium: San Francisco Fed Pres. John Williams on Tuesday and Atlanta Fed. Pres. Dennis Lockhart on Thursday.

Analytical universe

This week I shall be analyzing new trading signals from among 470 large-cap stocks and exchange-traded funds.

Good trading!

-- Tim Bovee, Portland, Oregon, April 10, 2016

References


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

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 Tim Bovee is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Based on a work at www.timbovee.com

Monday's Prospects

On Friday, April 8:

Of 470 large-cap stocks and exchange-traded funds in my analytical universe, three broke beyond their 20-day price channels, one to the upside and two to the downside. None survived initial screening, all because of pending earnings announcements.

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

I shall do further analysis on Monday, April 11.

Earnings season begins Monday. The higher pace of announcements will continue for about four weeks.

Friday's Outcomes

No trades. No analysis. Earnings season begins on Monday.

-- Tim Bovee, Portland, Oregon, April 8, 2016

Friday's Prospects

On Thursday, April 7:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 22 broke beyond their 20-day price channels, all to the downside. All failed initial screening because of pending earnings announcements.

There are no prospects for trades coinciding with earnings announcements. DAL had been expected to come up for trading on Friday, with earnings to be announced next Monday before the opening bell. However, the earnings announcement is now scheduled for Thursday of next week before the opening.

Without prospects, I shall do no further analysis on Friday, April 8.

Earnings season begins on Monday, April 11. The higher pace of announcements will continue for about four weeks.

Thursday's Outcomes

I placed no trades and did no analyses today.

I posted list of potential earnings plays that will be on my desk for consideration next week.

-- Tim Bovee, Portland, Oregon, April 7, 2016

Next week's earnings plays

Here's a list of symbols publishing earnings next week that are on my list for possible further analysis. They all meet my criteria for price ($30+ per share) and average volume (1 million shares per day and up).

action	sym	earns date	am/mid/pm
4/11/2016	FAST	4/12/2016	am
4/12/2016	JPM	4/13/2016	am
4/12/2016	DAL	4/14/2016	am
4/12/2016	PACW	4/14/2016	am
4/12/2016	PGR	4/14/2016	am
4/12/2016	PNC	4/14/2016	am
4/12/2016	WFC	4/14/2016	am
4/14/2016	C	4/15/2016	am
4/14/2016	RAI	4/15/2016	am
4/14/2016	STX	4/15/2016	am
4/15/2016	HAS	4/18/2016	am
4/15/2016	PEP	4/18/2016	am
4/15/2016	RCL	4/18/2016	am

Note that I have pushed my action date on announcements for Thursday, April 14, before the opening bell back to Tuesday, April 12. I have a scheduling conflict for Wednesday, April 13, when I would normally do such analysis, and so will be away from my desk.

-- Tim Bovee, Portland, Oregon, April 7, 2016

Thursday's Prospects

On Wednesday, April 6:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 12 broke beyond their 20-day price channels, 11 to the upside and one to the downside. None survived initial screening, all because of approaching earnings announcements.

There are no prospects for trades coinciding with earnings announcements.

I shall do further analysis on Thursday, April 7.

Earnings season begins April 11. The higher pace of announcements will continue for about four weeks.

Wednesday's Outcomes

I placed no trades today.

I rejected BBBY, CAG and KMX without full analysis, discussing my reasoning in this morning's Agenda post.

I posted Tale of the Chart: Implied Volatility, a discussion and chart of low implied volatility market wide.

-- Tim Bovee, Portland, Oregon, April 6, 2016

Tale of the Chart: Implied Volatility

As is abundantly clear from difficulties in finding trades so far this year, implied volatility has hit a dry spell, a period of drought worthy of the Sonoran Desert. And when IV is low, my strategy of selling implied volatility simply grinds to a halt.

How low?

Click on chart to enlarge.

VIX on April 6, 2016, 90 days 2-hour bars

Presently the VIX, which tracks the implied volatility of the S&P 500, stands at 14.61%.

A peak was reached on Jan. 20 at 32.09%. The low so far in the decline was recorded April 1, at 13.00%.

The present level stands at the 9th percentile the range from Jan. 20 to April 1. Under my guidelines, I won't sell volatility until it is at the 60th percentile, under the venerable short-seller maxim of Sell High, Buy Low.

Under my rules, the S&P 500 won't be tradable until its implied volatility hits 24.46%, more than 10 percentage points away.

I could, of course, compromise my standards, but that would mean selling low and buying, perhaps, higher, a certain recipe for loss. As a short-term trader with a long-term horizon, I am content to sit out the dry spell until the rains come again.

-- Tim Bovee, Portland, Oregon, April 6, 2016

Wednesday's Agenda

I have three prospects on my agenda this morning, all of them potential earnings plays. All are failing to pass through the final screening.

BBBY has implied volatility in the 53rd percentile of its most recent range, a point above yesterday's level but still below the 60th percentile minimum I require.

CAG and KMX have open interest lower than I like on key strike prices of its options grid.

So, all are disqualified, and I plan no further analysis today.

-- Tim Bovee, Portland, Oregon, April 6, 2016

Wednesday's Prospects

On Tuesday, April 5:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 16 broke beyond their 20-day price channels, one to the upside and 15 to the downside. None survived initial screening.

Thirteen failed because of earnings announcements coming soon and three for other reasons: BBL and BHP because their stock prices are below $30 and RDS.A because of implied volatility in the 27th percentile, far below my 60th percentile or higher guidelines. All three gave bear signals.

There are three prospects for trades coinciding with earnings announcements.

I shall do further analysis on Thursday, April 6.

Earnings season begins April 11. The higher pace of announcements will continue for about four weeks.

Tuesday's Outcomes

I rolled forward the short leg of my GM diagonal.

I rejected, without full analysis, trades on GPN, MON and STZ. See today's Agenda post for a discussion.

-- Tim Bovee, Portland, Oregon, April 5, 2016

Tuesday's Agenda

My three prospects for the day -- all of them earnings plays -- failed final screening, and I shall not do full analyses today or trade them.

MON's low implied volatility dropped even further, to the 1st percentile of its most recent rise. GPN and STZ continued to have low open interest at key strike prices on their option grids.

-- Tim Bovee, Portland, Oregon, April 5, 2016

Tuesday's Prospects

On Monday, April 4:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, 10 broke beyond their 20-day price channels, four to the upside and six to the downside. None survived initial screening because their earnings will be announced soon.

There are three prospects for trades coinciding with earnings announcements.

I shall do further analysis on Tuesday, April 5.

Earnings season begins April 11. The higher pace of announcements will continue for about four weeks.

Monday's Outcomes

No trades. No analysis.

-- Tim Bovee, Portland, Oregon, April 4, 2016

Monday's Agenda

Two prospects lie on my desk this morning, DRI and WBA. Neither has passed final analysis, and I shall toss them away and plan no further consideration of new positions today.

DRI failed because of a week options grid for my current trading series, the MAY options. Most strike prices have open interest in the single digits for calls and the double digits for puts. I require triple-digit open interest in order to ensure sufficient liquidity for a good fill
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WBA failed because of low implied volatility relative to its most recent range. Volatility stands in the 32nd percentile; I require 60th percentile or greater.

Low implied volatility has been endemic the past few months. Even with SPY, the exchange-traded fund that tracks the S&P 500, and also the most liquid symbol in the world, has implied volatility that today dropped below its prior low.

SPY's volatility now stands in the 8th percentile of its range.

This is a problem. It has brought my trading to a near standstill and calls into question the viability of my current strategy as a mainstay of my trading.

Trading strategies must always be questioned in the light of new events, and modified in light of new conditions. That need for questioning is the nature of the markets today.

-- Tim Bovee, Portland, Oregon, April 4, 2016

The Week Ahead: International trade, FOMC minutes

International trade figures will be published Tuesday at 8:30 a.m. New York time, the one major report of the week.

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.

Manufacturers' new orders for consumer goods and materials from the factory orders report, at 10 a.m. Monday.

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.

Manufacturers' new orders for non-defense capital goods from the factory orders report, at 10 a.m. Monday.

Monday's Prospects

On Friday, April 1:

Of 492 large-cap stocks and exchange-traded funds in my analytical universe, nine broke beyond their 20-day price channels, three to the upside and six to the downside. None survived initial screening. All were disqualified because of earnings announcements within the next six weeks.

There are two prospects for trades coinciding with earnings announcements.

I shall do further analysis on Monday, April 4.

Earnings season begins April 11. The higher pace of announcements will continue for about four weeks.

Friday's Outcomes

CRM's losses exceed 150% of the position's maximum potential profit and I exited for a loss.

I entered no new positions.

I reworked the design of the website so that it works better with a narrow browser that takes up less real estate on the screen, making it easier to look at the blog and view a chart simultaneously.

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