#fuzzy GILD 70/70 expires this…


GILD 70/70 expires this week rolled out 2 weeks for 0.48 credit. Cb now 8.95.

SPX 1-dte

#SPX1dte Sold to Open $SPX Feb 6th 2710/2690 put spreads for 1.10. Selling only a .12 delta put spread. no call spread for tomorrow. This is based on upside warning going into effect. It still carries higher risk, because while an Upside Warning is a pretty sure shot for a move higher, we could always take a dip or a drop first. But I think this is sufficiently OTM to withstand a pullback, if one comes tomorrow.


STO March 15, 59/64 calls spread at .27 cents against my 2021 leaps.

SNAP straddle

#Earnings Bought to Open $SNAP Feb 8th 7 #LongStraddle for 1.03 (partial fill so far, may need to go to 1.04).

Upside Warning coming

#VIXIndicator Here’s the version of the past results I posted back in May. The blue bars with numbers on top represent the percentage move UP from the close of an Upside Warning day to the eventual SPX high before another pullback. The numbers at the bottom of each bar are the percentage move DOWN of the preceding correction, and the date of the Upside Warning. Please ask any questions you have! (you can click on the chart to see it full screen).

As you can see, the Upside Warning is pretty reliable for at least a couple percentage points higher.

Screen Shot 2018-05-25 at 11.25.28 AM

CMI dbl cal

#Earnings Bought to Open $CMI Feb08/Feb15 149 #DoubleCalendar for .65. (filled at .63 on TOS)

CMI earnings analysis – dbl calendar candidate

#Earnings — This one is a good double calendar candidate because it is cheap to buy. Premium for this Friday is not much lower than premium for next Friday. That gives us a pretty good range of profit; a range almost as wide as the max moves.

$CMI reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.

Oct. 30, 2018 BO +2.29%
July 31, 2018 BO +4.08%
May 1, 2018 BO -4.11%
Feb. 6, 2018 BO -2.33%
Oct. 31, 2017 BO -1.92%
Aug. 1, 2017 BO -5.64% Biggest DOWN
May 2, 2017 BO +6.09%
Feb. 9, 2017 BO +3.06%
Nov. 1, 2016 BO -4.32%
Aug. 2, 2016 BO -0.62%
May 3, 2016 BO +1.77%
Feb. 4, 2016 BO +7.62% Biggest UP

Avg (+ or -) 3.65%
Bias 0.50%, slight positive bias on earnings.

With stock at 148.80 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 142.54 to 155.06
Based on AVERAGE move over last 12 quarters: 143.36 to 154.24
Based on MAXIMUM move over last 12 Q’s (7.6%): 137.46 to 160.14