SPX trades

#SPX7dteLong Bought to Open $SPX July 29th 3240/3260-3270/3290 condors for 16.95, with SPX at 3268.

Expiring: July 22nd 3230/3250 call spreads for max credit of 20.00. Condors bought last Wednesday for 17.40.

#SPX1dte Expiring: July 22nd 3165/3185-3310/3330 condors, sold yesterday for 1.10.

VIX – worth a read

https://www.zerohedge.com/markets/volatility-more-number-its-everything

1-5_0

Textbook Volatility Defined
Volatility is a measure of the historical dispersion of returns around a mean. The greater the dispersion, the higher the volatility, and ultimately the range of potential outcomes.

Volatility is typically quoted as +/- 1 standard deviation. For instance, 14% annualized volatility means, with 68% certainty, we should expect annualized returns to be +/- 14%. The volatility formula describes a normal bell-shaped curve in which price changes should be contained.

Normal implies there are equal odds the market falls 1% or rises 1% versus the average change. The graph below depicts a bell-shaped curve. The diagram also highlights standard deviations and the percentage of data that falls within each deviation.

Normal Is Not Reality

The assumption of a normally distributed bell curve is at the heart of finance. Embedded in that assumption is the idea that market participants are rational and markets efficient. It drives risk management, option pricing, and many economic and market theories. The problem with such analysis is that the assumption is flat out wrong.

In a normal shaped curve, the S&P 500 should never move by more than five standard deviations up or down. By “never,” we mean once every 3.5 million trading days (approximately 14,000 years). Since 1970 there have been 34 such days. In March of 2020 alone, there were 7!

Summary
When investor confidence is high, liquidity is high, and volatility is typically low. Plenty of buyers and sellers willing to trade help assure orderly markets. However, when potential buyers become concerned about the risk of loss, liquidity fades. Buyers step away, sellers will take almost any price to protect against even steeper declines, and prices become more volatile. The suddenness of increased volatility and the false assumption of normally distributed prices leads to statistically impossible drawdowns.

Currently, volatility is two times pre-COVID levels. While sharply lower from March and April, liquidity remains problematic.

Volatility reminds us that the market structure is not stable. As a result, markets are more susceptible to sharp price changes. While most markets have been rising in recent months, the liquidity situation argues that bad news or a change in sentiment could result in substantial and nearly instantaneous losses.

Liquidity is poor, complacency is high, trade with caution.

T Earnings

#ShortPuts #Earnings – Might end up with some stock here. Got another position out in the monthlies slightly lower.

Sold T JUL 24 2020 30.5 Puts @ .75

LULU

Early this week, but the paint looked pretty dry.
BTC Jul-24-2020 $LULU 275/285 #BuPS @0.04 Was STO@1.05.
Holding Jul-31-2020 $LULU 275/285 Was STO @1.25, now @0.10 == I may close early.
STO Aug-7-2020 $LULU 290/300 #BuPS @1.22
STO Aug-14-2020 $LULU 285/295 #BuPS @1.25

MSFT earnings analysis

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

April 29, 2020 AC +1.00%
Jan. 29, 2020 AC +2.82%
Oct. 23, 2019 AC +1.96%
July 18, 2019 AC +0.14%
April 24, 2019 AC +3.31%
Jan. 30, 2019 AC -1.83% Biggest DOWN
Oct. 24, 2018 AC +5.84%
July 19, 2018 AC +1.79%
April 26, 2018 AC +1.65%
Jan. 31, 2018 AC -0.78%
Oct. 26, 2017 AC +6.41% Biggest UP
July 20, 2017 AC -0.57%

Avg (+ or -) 2.34%
Bias 1.81%, positive bias on earnings.

With stock at 211.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 201.16 to 220.84 (+/- 4.7%)
Based on AVERAGE one-day move over last 12 quarters: 206.06 to 215.94
Based on MAXIMUM one-day move over last 12 Q’s (6.4%): 197.47 to 224.53
Based on DOWN max only (-1.8%): 207.14

Open to requests for other symbols.

PFE Calls

#coveredcalls
$PFE STO 7/24 38.50 calls at .27

APT Calls / NUGT Calls Rolled / NFLX Put Closed

#coveredcalls
$APT STO 7/24 23 calls at .55
$NUGT BTC 8/21 90 calls and STO 8/21 95 calls for $3 debit. Stock at 98.12
$AAOI STO 7/24 14.50 calls at .40

#shortputs #earnings
$NFLX BTC 7/24 450 put at .40. STO at 4.94. Thank you @fuzzballl for trade and the caution.

TNA

#ShortPuts – After a few rolls finally got this one. Happily paying the dime here…

Bought to Close TNA JUL 24 2020 26.0 Puts @ .10 (sold for 3.10 total premium)

TSLA Earnings

#ShortPuts #Earnings – In a different account…going out to the monthlies and down near where my covered call is sitting.

Sold TSLA AUG 21 2020 600.0 Put @ 2.27

TSLA Earnings

#JadeLizards #Earnings – Doing this in a PM account so the margin hit isn’t horrible. Playing for a down move of 100 to 500 points. LOL. No upside risk. Need at least down 100 for a shot at decent profit. Anything less than that still makes 1.85.

Sold TSLA JUL 24 2020 1100.0/1500.0/1505.0 Jade Lizard @ 6.85

TSLA earnings analysis & trade

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

April 29, 2020 AC -2.32%
Jan. 29, 2020 AC +10.29%
Oct. 23, 2019 AC +17.66% Biggest UP
July 24, 2019 AC -13.61% Biggest DOWN
April 24, 2019 AC -4.26%
Jan. 30, 2019 AC -0.56%
Oct. 24, 2018 AC +9.13%
Aug. 1, 2018 AC +16.18%
May 2, 2018 AC -5.54%
Feb. 7, 2018 AC -8.62%
Nov. 1, 2017 AC -6.79%
Aug. 2, 2017 AC +6.50%

Avg (+ or -) 8.46%
Bias 1.51%, positive bias on earnings.

With stock at 1600.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 1363.21 to 1836.79 (+/- 14.8%)
Based on AVERAGE one-day move over last 12 quarters: 1464.72 to 1735.28
Based on MAXIMUM one-day move over last 12 Q’s (17.7%): 1317.44 to 1882.56
Based on DOWN max only (-13.6%): 1382.24

Open to requests for other symbols.

CMG earnings analysis

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

April 21, 2020 AC +12.14%
Feb. 4, 2020 AC -3.48%
Oct. 22, 2019 AC -5.15%
July 23, 2019 AC +5.18%
April 24, 2019 AC -4.46%
Feb. 6, 2019 AC +11.35%
Oct. 25, 2018 AC +3.42%
July 26, 2018 AC +5.71%
April 25, 2018 AC +24.44% Biggest UP
Feb. 6, 2018 AC -10.55%
Oct. 24, 2017 AC -14.58% Biggest DOWN
July 25, 2017 AC -2.30%

Avg (+ or -) 8.56%
Bias 1.81%, positive bias on earnings.

With stock at 1170.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 1091.56 to 1248.44 (+/- 6.7%)
Based on AVERAGE one-day move over last 12 quarters: 1069.81 to 1270.19
Based on MAXIMUM one-day move over last 12 Q’s (24.4%): 884.05 to 1455.95
Based on DOWN max only (-14.6%): 999.41

Open to requests for other symbols.