VIX / SPX Correlation

The #VIX to SPX correlation is the highest it has been since we had the month-long decline in May. Today’s correlation is -.18. As a point of reference, the correlation hit the zero line a day or 2 before the onset of the May decline. Conversely, the correlation pretty much bounces between -.75 and the -1.00 floor during rallies. As with all indicators, it doesn’t have a perfect track record either. But I’m getting cautious and increasing my cash position.

EWZ

#ShortPuts – Starting to trim down a few…

Bought to Close EWZ DEC 20 2019 40.5 Puts @ .10 (sold for .93)
Bought to Close EWZ DEC 20 2019 40.0 Puts @ .07 (sold for .74)

Off Topic…

#Bored – Pretty boring week. I’m mostly positioned for Dec monthly expiration which will return my accounts to close to 95 percent cash into year end…hoping for some January profit taking.

Now that I’m semi-retired I’ve picked up a new hobby. If anyone else is really bored check it out. 🙂 🙂 🙂 Getting a pretty good collection on the channel.

AEO straddle

#Earnings Sold to Open $AEO Dec 11th 15 #LongStraddle for 1.35. Needs over an 11% move before losses; avg move has been 6.6%.

SPX 1-dte

#SPX1dte Sold to Open $SPX Dec 11th 3075/3095-3160/3180 condors for 1.05. IV: 10.67%, SPX 3136.

#earnings #ironbutterfly AEO Sold Dec….

#earnings #ironbutterfly AEO

Sold Dec. 20, 13.50/15.50/15.50/17.50 for 1.33

Thanks for the data Jeff

AEO earnings analysis

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

Sept. 4, 2019 BO -11.61%
June 5, 2019 BO +0.10%
March 6, 2019 AC -0.37%
Dec. 11, 2018 AC +2.94%
Aug. 29, 2018 BO -6.52%
May 31, 2018 BO -1.81%
March 8, 2018 BO -9.43%
Dec. 6, 2017 BO +2.42%
Aug. 23, 2017 BO +7.76% Biggest UP
May 17, 2017 BO -14.73% Biggest DOWN
March 1, 2017 BO -9.52%
Nov. 30, 2016 BO -12.42%

Avg (+ or -) 6.64%
Bias -4.43%, strongly negative bias on earnings.

With stock at 15.30 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 13.90 to 16.70
Based on AVERAGE one-day move over last 12 quarters: 14.28 to 16.32
sed on MAXIMUM one-day move over last 12 Q’s (14.7%): 13.05 to 17.55
Based on UP max only (+7.8%): 16.49

Open to requests for other symbols.

PLCE earnings analysis

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

Aug. 21, 2019 BO -2.44%
May 15, 2019 BO -6.90%
March 5, 2019 BO +5.70%
Dec. 6, 2018 BO -13.38% Biggest DOWN
Aug. 23, 2018 BO -1.27%
May 17, 2018 BO -7.94%
March 20, 2018 BO -7.91%
Nov. 15, 2017 BO +5.92%
Aug. 9, 2017 BO -4.57%
May 18, 2017 BO -0.44%
March 8, 2017 BO +18.26% Biggest UP
Nov. 17, 2016 BO +13.24%

Avg (+ or -) 7.33%
Bias -0.14%, no significant bias on earnings.

With stock at 69.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 61.31 to 77.69
Based on AVERAGE one-day move over last 12 quarters: 64.41 to 74.59
sed on MAXIMUM one-day move over last 12 Q’s (18.3%): 56.81 to 82.19
Based on DOWN max only (-13.4%): 60.20

Open to requests for other symbols.

Closing ULTA

Bought to close $ULTA 12/20 275/285 bear call spread @ .17. Sold for 1.75 on 12/6.

#butterfly AMZN #tastytradefollow sold Jan.17,…

#butterfly AMZN

#tastytradefollow sold Jan.17, 1640/1660/1660/1670 put butterfly for 1.50