#spycraft v 6.1 12/13 291/295…

#spycraft v 6.1 12/13 291/295 and 318/322 IC

Have not added any the last 2 weeks. I am trying a full cycle before adding additional spreads. But what I have so far has proven what almost always happens with these. They are challenged in 1 direction only, in this case the upside. I have a profit but negligible ($49 on a 5 lot vs. 315 at expiration). The short strike is 318 for the 12/13 expiration.

So this is the decision point. Do I close the short calls and leave the puts open? Do I back ratio? Do I butterfly and cap losses to the upside? Or do I just sit on my hands and see if we eventually stay in the range and close for near full profit.

Here is my thought process. We can certainly keep grinding higher but if I back ratio and it stalls or reverses I basically lock in a loss at that point. If I close I lose on the calls but still have the puts making a few extra $. If I butterfly same as the back ratio, basically lock in a loss to one side.

So since I have not breached the short strike I will let it sit and decay and hope for flat or a little pull back. Then might be able to close early for a small profit.

But additional rules to putting these on, I will start them only one sided, then add the other side only at a definitive reversal. In the indexes the credit is generally higher on the put side and father OTM as well. That is something that has been persistent since 1987 black Monday (or was it Friday?). So there is more room and time to adjust to the put side anyway. Plus the market goes down faster than up so at that point a back ratio would make sense and likely give you a nice directional pop to the account.

Also will probably be going shorter time frame, looks like 10-21 DTE may be ideal as opposed to 28-45 DTE. I know the TT research shows 45 DTE ideal and it seems to be for naked options. But with spreads the decay is soooooooo slow it gives the market too much time to move.

Will update if I do anything or if it expires. Then will try the ladder one sided and will post as I open/close.

Anyone else has any ideas feel free to share? I know these can work, the math and probabilities are there, just need to avoid the big losses or convert losing trades to winners or flat.

ULTA

#CoveredCalls – A couple more. One closed and one stopped out. Earnings next week…

Bought to Close ULTA NOV 29 2019 242.5 Call @ .15 (sold for 2.00)
Bought to Close ULTA NOV 29 2019 232.5 Call @ 2.00 (sold for 2.40)

NUGT closed

#ContangoETFs BTC $NUGT Jan 17th 40 call for .25. Sold for 2.10 on March 25th. Not sure if that long wait was worth it. Now flat in NUGT.

BBY dub cal

#Earnings Bought to Open $BBY Nov29/Dec06 74 #DoubleCalendar for .50. Partial fill so far, not raising my price.

FLT

STO January 290 put at 5.70,

This is an idea from SMM.

#earnings #doublecalendar BBY Sold a…

#earnings #doublecalendar BBY

Sold a Dec. 6/Dec. 13 73.50 double calendar for .44

ANF earnings analysis & trade

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

Aug. 29, 2019 BO -15.09%
May 29, 2019 BO -26.46% Biggest DOWN
March 6, 2019 BO +20.37%
Nov. 29, 2018 BO +20.91%
Aug. 30, 2018 BO -17.15%
June 1, 2018 BO -8.72%
March 7, 2018 BO +11.90%
Nov. 17, 2017 BO +23.90% Biggest UP
Aug. 24, 2017 BO +17.06%
May 25, 2017 BO +8.99%
March 2, 2017 BO +13.94%
Nov. 18, 2016 BO -13.76%

Avg (+ or -) 16.52%
Bias 2.99%, positive bias on earnings.

With stock at 16.10 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 13.95 to 18.25
Based on AVERAGE one-day move over last 12 quarters: 13.44 to 18.76
sed on MAXIMUM one-day move over last 12 Q’s (26.5%): 11.84 to 20.36
Based on UP max only (+23.9%): 19.95

Open to requests for other symbols.

BBY earnings analysis

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

Aug. 29, 2019 BO -7.98%
May 23, 2019 BO -4.84%
Feb. 27, 2019 BO +14.11%
Nov. 20, 2018 BO +2.13%
Aug. 28, 2018 BO -5.00%
May 24, 2018 BO -6.64%
March 1, 2018 BO +3.94%
Nov. 16, 2017 BO -3.57%
Aug. 29, 2017 BO -11.92% Biggest DOWN
May 25, 2017 BO +21.47% Biggest UP
March 1, 2017 BO -4.50%
Nov. 17, 2016 BO +13.69%

Avg (+ or -) 8.32%
Bias 0.91%, positive bias on earnings.

With stock at 74.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 68.87 to 79.13
Based on AVERAGE one-day move over last 12 quarters: 67.85 to 80.15
sed on MAXIMUM one-day move over last 12 Q’s (21.5%): 58.11 to 89.89
Based on DOWN max only (-11.9%): 65.18

Open to requests for other symbols.

PANW earnings analysis

#Earnings $PANW reports tonight. Below are details on earnings one-day moves over the last 12 quarters.

Sept. 4, 2019 AC +5.76%
May 29, 2019 AC -5.11%
Feb. 26, 2019 AC +8.20%
Nov. 29, 2018 AC -1.76%
Sept. 6, 2018 AC +3.28%
June 4, 2018 BO -0.52%
Feb. 26, 2018 AC +2.31%
Nov. 20, 2017 AC +4.82%
Aug. 31, 2017 AC +10.53%
May 31, 2017 AC +17.20% Biggest UP
Feb. 28, 2017 AC -24.15% Biggest DOWN
Nov. 21, 2016 AC -13.24%

Avg (+ or -) 8.07%
Bias 0.61%, slight positive bias on earnings.

With stock at 250.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 234.96 to 265.04
Based on AVERAGE one-day move over last 12 quarters: 229.82 to 270.18
sed on MAXIMUM one-day move over last 12 Q’s (24.2%): 189.63 to 310.38
Based on UP max only (+17.2%): 293.00

Open to requests for other symbols.

SPX stopped

#SPX1dte Bought to close $SPX Nov 25th 3130 calls for 1.85. Condors sold Friday for .85.

NOW

BTC $NOW 20-Dec 230/240 #BuPS @0.25. STO 8/15, with multiple adjustments. 5.53 loss.

CMG

BTC $CMG Nov 29 740/750 #BuPS @0.15. Was STO 11/22 @1.2.

Keeping an eye on Call side ($CMG Nov 29 795/805).

LABU

#CoveredCalls – Last 100 shares that I had been working with got called away early over the weekend at below my cost basis. Was hoping for a down move this morning to get back in but since nothing ever goes down anymore I’ll sell based on the breakout above the 200ma.

Stock called away at 35.50 (basis 46.50)

100 shares called away and selling two puts to possibly get the stock back. If not, keep selling the puts.

Sold LABU DEC 20 2019 47.5 Puts @ 2.20

ULTA

#CoveredCalls – This week’s double sales look safe so starting the earnings position a little early. I’ll adjust it down next week if needed.

Sold ULTA DEC 6 2019 240.0 Call @ 5.11

UVXY

#ShortPuts #ShortCalls #BearCallSpreads – Making some adjustments. Rolling short puts out and down and selling hard against them. If we get close to another reverse split I’ll roll ’em out to 2022 and sell against them for a couple years.

Shorter term:

Bought to Close UVXY NOV 29 2019 20.0 Calls @ .02 (sold for .70)
Sold UVXY DEC 13 2019 17.0 Calls @ .67

Longer term:

Rolled UVXY DEC 20 2019 25.0 Puts to MAR 20 2020 23.0 Puts @ .11 debit
Rolled UVXY DEC 20 2019 23.0 Puts to MAR 20 2020 21.0 Puts @ .12 credit

Sold UVXY MAR 20 2020 20.0/30.0 Bear Call Spreads @ 1.17 to finance the next big roll if needed.

Final VXX closed

#VXXgame Sold to close $VXX Jan 17th 20 puts for 4.00. Bought between Jan 22 and Aug 27 for avg price of 1.30. Sold four batches so far at 2.65, 3.00, 3.25, 3.50, and 4.00.

My research over the history of VXX and UVXY show that this trade usually works. Of course, the first year I had a robust position (last year), it failed as the market went straight down from September until Dec 24th. But glad it worked out this time.

On next pullback I will start buying VXX and UVXY 20 puts to sell next fall. A reverse split will really help this work better, but not sure if we’ll get low enough before a pullback comes.