Tale of two scales

Since last week has been called the worst week since 2008, I thought I would compare the charts from the two.

The first comparison is between the two weeks with the bars on each scaled to match SPX point moves (not percentage). 2008 is on the left, 2020 on the right:

Screen Shot 2020-03-02 at 3.19.43 PM

The second resizes the 2020 week so that the scales match on a percentage basis. 2020 is on the left, 2008 on the right:

Screen Shot 2020-03-02 at 3.16.41 PM

As you can see, the moves in 2008 were bigger on a percentage basis, while last week was bigger on a point basis.

In 2008, the first huge up day was nowhere near the bottom, which didn’t happen for another five months.

SPY

#CoveredCalls – One small roll still playing with the super short term expirations. Picking up 1.35 of upside for two more days.

Rolled SPY MAR 02 2020 290.0 Call to MAR 04 2020 291.0 Call @ .35 credit.

VIX down 21% today.

Can it last?

VIX is down 8, but…

VIX is down 8, but /VX is unchanged.
Is that because of the backwardation?

SPXpire

#SPX1dte Expiring: $SPX March 2nd 2600/2625-3100/3125 condors, sold Friday for 2.05.

#earnings #closing SQ Feb. 26,…

#earnings #closing SQ

Feb. 26, sold March 20, 65/95 strangle for 1.62, closed today for 1.07, feeling lucky on this one.

DRIP roll

With this thing now back out of the money but showing strength, I rolled 3/20 186 calls out to 4/17 200 calls @ 4.90 credit. Buys me some breathing room (another 14 points out of the money plus the premium) but the way this thing moves I think I’m going to need a multi-day rally in oil to get an acceptable score on the dismount.

TGT earnings analysis

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

Nov. 20, 2019 BO +14.05%
Aug. 21, 2019 BO +20.42% Biggest UP
May 22, 2019 BO +7.78%
March 5, 2019 BO +4.58%
Nov. 20, 2018 BO -11.26%
Aug. 22, 2018 BO +3.20%
May 23, 2018 BO -5.69%
March 6, 2018 BO -4.45%
Nov. 15, 2017 BO -9.86%
Aug. 16, 2017 BO +3.60%
May 17, 2017 BO +0.93%
Feb. 28, 2017 BO -12.16% Biggest DOWN

Avg (+ or -) 8.17%
Bias 0.93%, positive bias on earnings.

With stock at 107.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 99.01 to 115.99
Based on AVERAGE one-day move over last 12 quarters: 98.72 to 116.28
Based on MAXIMUM one-day move over last 12 Q’s (20.4%): 85.55 to 129.45
Based on DOWN max only (-12.2%): 94.43

NOTE: Five-day MAX moves are +21.00% and -13.39%

Open to requests for other symbols.

#earnings TGT Sold March 20…

#earnings TGT

Sold March 20 95/120 strangle for 2.51.

#shortputspread DIS Sold April 17,…

#shortputspread DIS

Sold April 17, 100/110 put spread for 1.57.