#SPX7dteLong Sold to Close $SPX May 18th 2920/2940-2950/2970 condors for 10.50. Bought for 16.80. This was the cheapest one I have purchased, and it’s simply hilarious that when I posted the trade last Monday I said that “probability of profit has dropped.” Sho’nuff!
Author Archives: Jeff
Earnings Update KSS
KSS is confirmed for tomorrow morning earnings report.
HD earnings analysis
#Earnings $HD reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 25, 2020 BO -0.96%
Nov. 19, 2019 BO -5.43% Biggest DOWN
Aug. 20, 2019 BO +4.39% Biggest UP
May 21, 2019 BO +0.26%
Feb. 26, 2019 BO -0.88%
Nov. 13, 2018 BO -0.23%
Aug. 14, 2018 BO -0.53%
May 15, 2018 BO -1.62%
Feb. 20, 2018 BO -0.13%
Nov. 14, 2017 BO +1.63%
Aug. 15, 2017 BO -2.65%
May 16, 2017 BO +0.59%
Avg (+ or -) 1.61%
Bias -0.46%, negative bias on earnings.
With stock at 247.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 232.83 to 261.17 (+/- 5.7%)
Based on AVERAGE one-day move over last 12 quarters: 243.03 to 250.97
Based on MAXIMUM one-day move over last 12 Q’s (5.4%): 233.59 to 260.41
Based on UP max only (+4.4%): 257.84
NOTE: 5-day historical maximums are +4.6 and -9.2%. So positive move is the same but it has moved to the downside further in 5 days versus one day.
Open to requests for other symbols.
SPX 1-dte stopped
#SPX1dte Bought to close $SPX May 18th 2930/2950 call spreads for 14.75. Condors sold for 1.25 on Friday.
Pretty sure this spread will end the day at 20.00, so I’m cutting losose now to avoid full loss. Looking to do the same with the 7dteLong because that one may end the day at 0.00.
SPX 7-dte
#SPX7dteLong One hour before open, sold to close $SPX May 20th 2810/2830 call spreads for 18.50. Will try to close put side today on any small push down. Condors sold for 18.30 last Wednesday.
My expirations today, both 7dte and 1dte, are in trouble at the moment. My best hope will be a close below 2920. Otherwise I will be mitigating losses.
SPX 1dte
#SPX1dte Sold to Open $SPX May 18th 2730/2750-2930/2950 condors for 1.25, IV 18.8%, SPX 2859, deltas -.04, +.06.
Expiring: May 15th 2730/2750-2930/2940 condors, sold yesterday for 1.00.
SPX 7-dte
#SPX7dteLong Bought to Open $SPX May 22nd 2830/2850-2860/2880 condors for 18.10, with SPX at 2854.
Expiring at max profit: May 15th 2920/2900 put spreads for 20.00. Condors bought last Friday for 17.05.
Econ Calendar for week of 5/18/20
#FOMC Jerome Powell speaks Thursday
Link to calendar: https://research.investors.com/economic-calendar/
Triple header
#VIXIndicator Since 1999, what happened this week has happened once previously: a Downside Warning going into effect after it had been canceled, with no Upside Warning in between… and then that happening AGAIN. It’s a “triple-header” of Downside Warnings (DW).
The Downside Warning was reinstated on Wednesday after being canceled Monday. The DW that preceded the big drop was on February 24th, and that was a double-header already, after the first DW on January 27.
Double-headers usually result in the SECOND drop being deeper than the first. That certainly happened this time, with the second drop being exceeded only by the 2008 financial crisis. The only triple header before now was in 2007, when the second warning didn’t go as low as the first, but the third went lowest of all.
So we don’t have enough data to build a historical model of what we are in now. But it’s interesting to see the history of these market double/triple dips.
Below is a chart of all occurrences of doubles/triples since 1999:
SPX 1-dte
#SPX1dte Sold to Open $SPX 2730/2750-2920/2940 condors for 1.00, IV 25.6%, SPX 2846, deltas -.05, +.05
AMAT earnings analysis
#Earnings $AMAT reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 12, 2020 AC +3.05%
Nov. 14, 2019 AC +8.95% Biggest UP
Aug. 15, 2019 AC -1.12%
May 16, 2019 AC +2.49%
Feb. 14, 2019 AC -3.95%
Nov. 15, 2018 AC +1.08%
Aug. 16, 2018 AC -7.71%
May 17, 2018 AC -8.24% Biggest DOWN
Feb. 14, 2018 AC +3.89%
Nov. 16, 2017 AC -2.33%
Aug. 17, 2017 AC +2.73%
May 18, 2017 AC +0.38%
Avg (+ or -) 3.83%
Bias -0.07%, no significant bias on earnings.
With stock at 52.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 49.22 to 54.78 (+/- 5.3%)
Based on AVERAGE one-day move over last 12 quarters: 50.01 to 53.99
Based on MAXIMUM one-day move over last 12 Q’s (9.0%): 47.35 to 56.65
Based on DOWN max only (-8.2%): 47.72
Open to requests for other symbols.
So much for that.
#VIXIndicator The Downside Warning was reinstated at the close Wednesday, as VIX closed over 25% higher than Monday’s close.
SPX 7-dte
#SPX7dteLong Bought to Open $SPX May 20th 2780/2800-2810/2830 condors for 18.30, with SPX at 2814.
SVXY
#VXXGame Sold to close $SVXY Jan 2021 35 calls for 4.40. Bought for 4.114 (avg price) on March 26 & 27. What a bust… this thing hardly moved. TQQQ much better choice to get long at lows.
SPX skip
#SPX1dte Pretty sharp move at day’s end, but IV on tomorrow’s expiry is only 22%. I’m skipping this as tomorrow could be a sharp bounce or a sharp drop.
#VIXIndicator would have fired an upside warning today if the close was calm. This is why it takes 3 consecutive days of VIX closes before it fires… too many head-fakes with only 1 or 2 days.
SPX closure
#SPX7dteLong In premarket, GTC order filled: Sold to close $SPX May 13th 2870/2890 call spreads for 18.60. Condors sold last Wednesday for 17.90. Will sell put side today.
SPX trades
#SPX7dteLong Bought to Open $SPX May 18th 2920/2940-2950/2970 condors for 16.80, with SPX at 2942. These are getting cheaper, which also means probability of profit has dropped.
#SPX1dte Expiring: May 11th 2825/2845-2990/3010 condors, sold Friday for .95
Downside Warning canceled
#VIXIndicator The VIX closed below the 78.6% retracement, so that cancels the DW. Crazy stuff on a day with jobs numbers like that. If we can close well Monday and Tuesday it will set up nicely for a further rally higher.
SPX 1-dte
#SPX1dte Sold to Open $SPX May 11th 2825/2845-2990/3010 condors for .95, IV 14.75%, SPX 2929, deltas -.06, +.05
Expiring: May 8th 2760/2780-2950/2970 condors, sold yesterday for 1.15.
SPX 7-dte
#SPX7dteLong Bought to Open $SPX May 15th 2900/2920-2930/2950 condors for 17.05, with SPX at 2922.
Expiring: May 8th 2840/2860 call spreads for maximum credit, 20.00. Condors bought last Friday for 18.40.
Econ calendar for week of 5/11/20
Link to calendar: https://research.investors.com/economic-calendar/
SPX 7-dte
#SPX7dteLong
In the pre-market, filled on GTC order, Sold $SPX May 11th 2840/2860 call spreads for 18.00. Condors bought for 18.20 on Monday. Will sell the put side today. Right now I’m asking 1.80, which I can get with a minor pullback.
April Jobs Report
#Jobs — biggest losses since WW2
Loss of 20,500,000 non-farm payroll jobs, vs. expected 21.5M loss
Unemployment at 14.7%, up by 10.3%, vs. expected 16%
U6 unemployment at 22.8%, up by 14.1%
Avg Hourly Earnings up 4.3%
Labor force participation 60.2%, down by 2.5, lowest in over a decade
March revised down from -701K to -870K
February revised up from +214K to +230K
SPX 1-dte
#SPX1dte Sold to Open $SPX May 8th 2760/2780-2950/2970 condors for 1.15, IV: 25.5%, SPX 2877, deltas -.05, +.05.
OLED earnings analysis
#Earnings $OLED reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 20, 2020 AC -2.46%
Oct. 30, 2019 AC +15.27%
Aug. 1, 2019 AC -1.64%
May 2, 2019 AC +8.76%
Feb. 21, 2019 AC +23.03%
Nov. 1, 2018 AC -20.50% Biggest DOWN
Aug. 9, 2018 AC +13.54%
May 3, 2018 AC +12.43%
Feb. 22, 2018 AC -15.81%
Nov. 2, 2017 AC +9.52%
Aug. 3, 2017 AC -1.30%
May 4, 2017 AC +23.87% Biggest UP
Avg (+ or -) 12.34%
Bias 5.39%, strong positive bias on earnings.
With stock at 150.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 135.19 to 164.81 (+/- 9.9%)
Based on AVERAGE one-day move over last 12 quarters: 131.48 to 168.52
Based on MAXIMUM one-day move over last 12 Q’s (23.9%): 114.20 to 185.81
Based on DOWN max only (-20.5%): 119.25
Open to requests for other symbols.
SPX trades
#SPX7dteLong Bought to open $SPX May 13th 2840/2860-2870/2890 condors for 17.90, with SPX at 2859.
#SPX1dte Expiring: May 6th 2770/2790-2940/2960 condors, sold yesterday for 1.20.
SQ earnings analysis
#Earnings $SQ reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 26, 2020 AC +3.55%
Nov. 6, 2019 AC +5.00%
Aug. 1, 2019 AC -14.05% Biggest DOWN
May 1, 2019 AC -7.98%
Feb. 27, 2019 AC +2.42%
Nov. 7, 2018 AC -9.02%
Aug. 1, 2018 AC +8.65%
May 2, 2018 AC +1.13%
Feb. 27, 2018 AC +0.30%
Nov. 8, 2017 AC +3.40%
Aug. 2, 2017 AC -4.68%
May 3, 2017 AC +8.86% Biggest UP
Avg (+ or -) 5.75%
Bias -0.20%, slight negative bias on earnings.
With stock at 69.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 63.23 to 74.77 (+/- 8.4%)
Based on AVERAGE one-day move over last 12 quarters: 65.03 to 72.97
Based on MAXIMUM one-day move over last 12 Q’s (14.1%): 59.31 to 78.69
Based on UP max only (+8.9%): 75.11
Open to requests for other symbols.
Record job losses
I don’t believe the market will keep shrugging this stuff off.
JUST IN: U.S. private payrolls fell by more than 20.2 million in April, the worst loss in the ADP survey’s history. https://t.co/E37a0IjOc5 pic.twitter.com/FRcGtXXVa6
— CNBC (@CNBC) May 6, 2020
SPX 1-dte
#SPX1dte Sold to Open $SPX May 6th 2770/2790-2940/2960 condors for 1.20, IV 23.15%, SPX 2869, deltas -.06, +.04.
SPX 7-dte
#SPX7dteLong Sold to close $SPX May 6th 2950/2970 call spreads for 1.50. Sold put side for 19.00 yesterday. Condors bought for 17.55 last Wednesday, so 2.95 profit overall.
DIS earnings analysis
#Earnings $DIS reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 4, 2020 AC -2.32%
Nov. 7, 2019 AC +3.76% Biggest UP
Aug. 6, 2019 AC -4.94% Biggest DOWN
May 8, 2019 AC -1.03%
Feb. 5, 2019 AC -1.10%
Nov. 8, 2018 AC +1.72%
Aug. 7, 2018 AC -2.21%
May 8, 2018 AC -1.78%
Feb. 6, 2018 AC -1.32%
Nov. 9, 2017 AC +2.04%
Aug. 8, 2017 AC -3.87%
May 9, 2017 AC -2.15%
Avg (+ or -) 2.35%
Bias -1.10%, negative bias on earnings.
With stock at 105.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 97.71 to 112.29 (+/- 6.9%)
Based on AVERAGE one-day move over last 12 quarters: 102.53 to 107.47
Based on MAXIMUM one-day move over last 12 Q’s (4.9%): 99.81 to 110.19
Based on UP max only (+3.8%): 108.95
NOTE: Expected move into Friday expiration is much higher than historical moves.
Open to requests for other symbols.
SPX 7-dte and 1-dte
#SPX7dteLong Bought to open $SPX May 11th 2810/2830-2840/2850 condors for 18.20, with SPX at 2840.
Expiring: May 4th 2880/2860 long put spreads at max profit: 20.00. Condors bought for 17.65 last Monday.
#SPX1dte expiring: May 4th 2690/2710-2930/2950 condors, sold Friday for 1.05.
SPX 7-dte
#SPX7dteLong In the pre-market, sold to close $SPX May 6th 2940/2920 put spreads for 19.00. Condors bought for 17.55 last Wednesday. Profit already made, but will try to sell the 2950/2970 call spreads for a bit extra on any push higher.
Looking for the May 4th 2880/2860 put spread to expire today at full profit, 20.00.
REGN earnings analysis
#Earnings $REGN reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 6, 2020 BO +4.75%
Nov. 5, 2019 BO +6.93%
Aug. 6, 2019 BO +0.23%
May 7, 2019 BO -6.34% Biggest DOWN
Feb. 6, 2019 BO -3.43%
Nov. 6, 2018 BO +0.75%
Aug. 2, 2018 BO +6.99% Biggest UP
May 3, 2018 BO -1.25%
Feb. 8, 2018 BO -3.58%
Nov. 8, 2017 BO +2.66%
Aug. 3, 2017 BO -2.03%
May 4, 2017 BO +6.70%
Avg (+ or -) 3.80%
Bias 1.03%, positive bias on earnings.
With stock at 540.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 509.48 to 570.52 (+/- 5.7%)
Based on AVERAGE one-day move over last 12 quarters: 519.46 to 560.54
Based on MAXIMUM one-day move over last 12 Q’s (7.0%): 502.25 to 577.75
Based on DOWN max only (-6.3%): 505.76
NOTE: 5-day max moves are -9.1% and +9.9%.
Open to requests for other symbols.
Episode 5 – I Can’t Stand It
Online Offerings Overload, Extraction, The Lighthouse, The Beastie Boys Story, Fiona Apple, New Music Picks, Essential Picks, Listener NitPick // Find more details, links and playlists at http://thepickcast.com
SPX 1dte
#SPX1dte Sold to Open $SPX May 4th 2695/2710-2930/2950 condors for 1.05, IV 22.5%, SPX 2833, deltas: -.04, +.04
SPX 7dte Long
#SPX7dteLong Bought to Open $SPX May 8th 2810/2830-2840/2850 condors for 18.40, w/SPX at 2829.
Econ Calendar for week 0f 5/4/20
#Jobs report for April is Friday… it’ll be a doozy!
SPX 1-dte stopped
AMZN loss
#Earnings Bought to close $AMZN 2325/2320 put spreads for 4.70. Sold for 1.50 yesterday.
Finally, the market seems to be doing what it should have been doing for weeks… dropping. Of course it was right after I decided to take bullish earnings trades! At least I got out of TSLA, but saving a few pennies by dumping out before expiration on this one. Not sure if I’m going to roll or just accept the loss. Gotta deal with my threatened SPX puts for now.
Slipped out the door just in time
$TSLA trade closed with profit before the drop…. $AMZN not gonna work…
$TSLA drops after CEO Elon Musk says stock price is "too high." https://t.co/wb2mDn0Q4F
— CNBC (@CNBC) May 1, 2020
TSLA closed
#Earnings Things looking a bit murky today, so closed $TSLA May 1st 720/715 put spreads for .30. Sold for 1.25 on Wednesday. Also have $AMZN put spread currently ATM.
SPX 1-dte
#SPX1dte Sold to Open $SPX May 1st 2800/2820-2990/3010 condors for 1.30. IV 25.6%, SPX 2906, deltas -.07, +.04
Expiring: Apr 30th 2830/2850-3015/3035 condors, sold yesterday for 1.00.
AMZN put spread
#Earnings
Sold to Open $AMZN May 1st 2325/2320 put spreads for 1.50. With stock at 2430, that’s 4.3% OTM.
AAPL earnings analysis
#Earnings $AAPL reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 28, 2020 AC +2.09%
Oct. 30, 2019 AC +2.26%
July 30, 2019 AC +2.04%
April 30, 2019 AC +4.90%
Jan. 29, 2019 AC +6.83% Biggest UP
Nov. 1, 2018 AC -6.63% Biggest DOWN
July 31, 2018 AC +5.89%
May 1, 2018 AC +4.41%
Feb. 1, 2018 AC -4.33%
Nov. 2, 2017 AC +2.61%
Aug. 1, 2017 AC +4.72%
May 2, 2017 AC -0.30%
Avg (+ or -) 3.92%
Bias 2.04%, strongly positive bias on earnings.
With stock at 292.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 279.77 to 305.23 (+/- 4.4%)
Based on AVERAGE one-day move over last 12 quarters: 281.04 to 303.96
Based on MAXIMUM one-day move over last 12 Q’s (6.8%): 272.52 to 312.48
Based on DOWN max only (-6.6%): 273.11
Open to requests for other symbols.
AMZN earnings analysis
#Earnings $AMZN reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 30, 2020 AC +7.37%
Oct. 24, 2019 AC -1.09%
July 25, 2019 AC -1.55%
April 25, 2019 AC +2.54%
Jan. 31, 2019 AC -5.38%
Oct. 25, 2018 AC -7.81% Biggest DOWN
July 26, 2018 AC +0.51%
April 26, 2018 AC +3.60%
Feb. 1, 2018 AC +2.87%
Oct. 26, 2017 AC +13.21% Biggest UP
July 27, 2017 AC -2.48%
April 27, 2017 AC +0.71%
Avg (+ or -) 4.09%
Bias 1.04%, positive bias on earnings.
With stock at 2430.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 2276.91 to 2583.09 (+/- 6.3%)
Based on AVERAGE one-day move over last 12 quarters: 2330.53 to 2529.47
Based on MAXIMUM one-day move over last 12 Q’s (13.2%): 2109.00 to 2751.00
Based on DOWN max only (-7.8%): 2240.22
Open to requests for other symbols.
SPX 7-dte closed
#SPX7dteLong Yesterday an hour before market close,
Sold to close $SPX May 1st 2840/2860 call spreads for 18.40.
This morning, half hour before the open,
Sold to close May 1st 2830/2810 put spreads for 1.20.
Condors bought last Friday for 18.05, sold this week for 19.60.
SPX 7-dte long
#SPX7dteLong Bought to Open $SPX May 6th 2920/2940-2950/2960 condors for 17.60. (SPX at 2945)
SPX 1dte
#SPX1dte Sold to Open $SPX Apr 30th 2830/2850-3015/3035 condors for 1.00, IV 23.5%, SPX 2842, deltas -.05, +.05.
SPX calls stopped
#SPX1dte Bought to close $SPX Apr 29th 2960/2980 call spreads for 2.00. Condors sold yesterday for 1.10.
TSLA put spread
#Earnings Sold to Open $TSLA May 1st 720/715 put spreads for 1.25, when stock is at 787.00. -8.5% OTM. Frankly, I’m too nervous to sell the call side. In October, it was up 17.7% after one day, but 28.8% after 3 days.
TSLA earnings analysis
#Earnings $TSLA reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
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%
May 3, 2017 AC -5.00%
Avg (+ or -) 8.68%
Bias 1.28%, positive bias on earnings.
With stock at 792.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 705.26 to 878.74 (+/- 11.0%)
Based on AVERAGE one-day move over last 12 quarters: 723.27 to 860.73
Based on MAXIMUM one-day move over last 12 Q’s (17.7%): 652.13 to 931.87
Based on DOWN max only (-13.6%): 684.21
Open to requests for other symbols.
FB earnings analysis
#Earnings $FB reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 29, 2020 AC -6.13%
Oct. 30, 2019 AC +1.80%
July 24, 2019 AC -1.93%
April 24, 2019 AC +5.84%
Jan. 30, 2019 AC +10.81% Biggest UP
Oct. 30, 2018 AC +3.80%
July 25, 2018 AC -18.96% Biggest DOWN
April 25, 2018 AC +9.06%
Jan. 31, 2018 AC +3.31%
Nov. 1, 2017 AC -2.04%
July 26, 2017 AC +2.91%
May 3, 2017 AC -0.62%
Avg (+ or -) 5.60%
Bias 0.65%, positive bias on earnings.
With stock at 194.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 181.69 to 206.31 (+/- 6.3%)
Based on AVERAGE one-day move over last 12 quarters: 183.13 to 204.87
Based on MAXIMUM one-day move over last 12 Q’s (19.0%): 157.22 to 230.78
Based on UP max only (+10.8%): 214.97
Open to requests for other symbols.
SPX 1-dte
#SPX1dte Sold to Open $SPX Apr 29th 2765/2785-2960/2980 condors for 1.10, IV 25%, SPX 2882, deltas -.05, +.05.
Extra expiration on Thursday (end-of-month) so this starts four straight days of 1-dte.
SPX 7-dte closed
#SPX7dteLong Sold to close $SPX Apr 29th 2810/2830 call spreads for 18.00, filled overnight (forgot order was in, otherwise would have increased bid)
Just now, sold to close Apr 29th 2800/2780 put spread for 1.15.
Condors sold for 18.35 last Wednesday, sold for 19.15 today.
AMD earnings analysis
#Earnings $AMD reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 28, 2020 AC -5.97%
Oct. 29, 2019 AC +0.30%
July 30, 2019 AC -10.09%
April 30, 2019 AC -2.96%
Jan. 29, 2019 AC +19.94% Biggest UP
Oct. 24, 2018 AC -15.44%
July 25, 2018 AC +14.33%
April 25, 2018 AC +13.69%
Jan. 30, 2018 AC +6.75%
Oct. 24, 2017 AC -13.47%
July 25, 2017 AC +4.60%
May 1, 2017 AC -24.22% Biggest DOWN
Avg (+ or -) 10.98%
Bias -1.05%, negative bias on earnings.
With stock at 56.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 50.97 to 61.03 (+/- 9.0%)
Based on AVERAGE one-day move over last 12 quarters: 49.85 to 62.15
Based on MAXIMUM one-day move over last 12 Q’s (24.2%): 42.44 to 69.56
Based on UP max only (+19.9%): 67.17
Open to requests for other symbols.
GOOGL earnings analysis
#Earnings $GOOGL reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 3, 2020 AC -2.50%
Oct. 28, 2019 AC -2.19%
July 25, 2019 AC +9.62% Biggest UP
April 29, 2019 AC -7.50% Biggest DOWN
Feb. 4, 2019 AC +0.91%
Oct. 25, 2018 AC -1.79%
July 23, 2018 AC +3.89%
April 23, 2018 AC -4.76%
Feb. 1, 2018 AC -5.28%
Oct. 26, 2017 AC +4.26%
July 24, 2017 AC -2.93%
April 27, 2017 AC +3.71%
Avg (+ or -) 4.11%
Bias -0.38%, slightly negative bias on earnings.
With stock at 1270.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 1199.46 to 1340.54 (+/- 5.6%)
Based on AVERAGE one-day move over last 12 quarters: 1217.78 to 1322.22
Based on MAXIMUM one-day move over last 12 Q’s (9.6%): 1147.83 to 1392.17
Based on DOWN max only (-7.5%): 1174.75
Open to requests for other symbols.
SPX 7-dte and 1-dte
#SPX7dteLong Earlier in the day, STC $SPX Apr 27th 2840/2860 call spreads for 19.30. Condors bought for 18.35 last Monday.
Bought to Open $SPX May 4th 2860/2880-2890/2910 condors for 17.65. First time I have gotten under 18.00, meaning volatility is dropping.
#SPX1dte Expiring: Apr 27th 2710/2730/2935/2955 condors, sold Friday for 1.05.
GOOGL is tomorrow, here is FFIV earnings analysis
#Earnings $FFIV reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 27, 2020 AC -5.04%
Oct. 23, 2019 AC +5.50%
July 24, 2019 AC -0.65%
April 24, 2019 AC -1.08%
Jan. 23, 2019 AC -2.22%
Oct. 24, 2018 AC +6.10% Biggest UP
July 25, 2018 AC +1.07%
April 25, 2018 AC +0.89%
Jan. 24, 2018 AC -5.05%
Oct. 25, 2017 AC +3.97%
July 26, 2017 AC -7.16%
April 26, 2017 AC -7.50% Biggest DOWN
Avg (+ or -) 3.85%
Bias -0.93%, negative bias on earnings.
With stock at 130.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 121.47 to 138.53 (+/- 6.6%)
Based on AVERAGE one-day move over last 12 quarters: 124.99 to 135.01
Based on MAXIMUM one-day move over last 12 Q’s (7.5%): 120.25 to 139.75
Based on UP max only (+6.1%): 137.93
NOTE: 5-day max moves are -7.97% and +4.33%, so slightly more bearish than the one-day.
Open to requests for other symbols.
Econ Calendar for week of 4/27/20
#FOMC Meeting Announcement on Wednesday
Link to calendar: https://research.investors.com/economic-calendar/
SPX 1-dte
#SPX1dte Sold $SPX Apr 27th 2710/2730-2935/2955 condors for 1.05, IV 20.4%, SPX 2840, deltas -.04,+.04
Expiring: 2675/2695-2880/2900 condors, sold yesterday for 1.00.
SPX 7-dte long
#SPX7dteLong. Bought to open $SPX May 1st 2810/2830-2840/2860 condors for 18.05.
Earlier, sold to close Apr 24th 2840/2820 put spreads for 15.20, and 2850/2870 calls spreads for .30. Bought last week for 18.30. Second loss on this strategy… still learning a bit as I go, but could have waited a bit later in the morning and gotten 17.00+ for put side.
The SPX has been consolidating around 2800 for over a week, making this strategy less palatable.
SPX 1-dte
SPX1dte Sold to Open, 4 minutes after the market closed:
$SPX Apr 24th 2675/2695-2880/2900 condors for 1.00, IV 27.75%, SPX 2797, deltas: -.04,+.04
SKX earnings analysis
#Earnings $SKX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 6, 2020 AC +4.05%
Oct. 22, 2019 AC -3.36%
July 18, 2019 AC +11.96%
April 18, 2019 BO -10.43%
Feb. 7, 2019 AC +15.19%
Oct. 18, 2018 AC +13.78%
July 19, 2018 AC -20.99%
April 19, 2018 AC -27.04% Biggest DOWN
Feb. 8, 2018 AC +7.54%
Oct. 19, 2017 AC +41.44% Biggest UP
July 20, 2017 AC +0.67%
April 20, 2017 AC -2.56%
Avg (+ or -) 13.25%
Bias 2.52%, positive bias on earnings.
With stock at 25.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 21.80 to 28.20 (+/- 12.8%)
Based on AVERAGE one-day move over last 12 quarters: 21.69 to 28.31
Based on MAXIMUM one-day move over last 12 Q’s (41.4%): 14.64 to 35.36
Based on DOWN max only (-27.0%): 18.24
Open to requests for other symbols.
SPXpire and new trade strategy
#SPX1dte Expired: $SPX Apr 22nd 2595/2615-2840/2860 condors, sold yesterday for 1.25.
Something I’ve been trying for a couple weeks but haven’t yet shared because it was in “test phase”… since volatility is here to stay for awhile, I have been buying one-week-out ATM condors with only 10-points between the shorts. The idea is that the market moves, and we most likely will be higher or lower a week from now.
So far it worked five times in a row… then the 6th one today was the first loss! But I’m going to stick with it as long as it continues to work and volatility is with us.
Today’s closing trade:
Last Wednesday, bought to Open $SPX Apr 22nd 2760/2780-2790/2810 condors for 18.35. (opening price has consistently been 18.25-18.40)
Today, sold to close the put side for 3.50 at 9:49am PT. Call side expired at 8.02. Total credit 11.52, so 6.80 loss.
All of the other ones I have done have either expired for 20.00, or closed a day or more early for 19.00+.
It is difficult to have much control over these trades unless you wish to go for pure speculation and leg out on ups and downs during the week. Otherwise you are at the mercy of the market on expiration day. Today was a bit nerve-wracking because SPX hovered in my dead zone for most of the morning. When it started trending upward, I took the profit on put side (first time I have legged out). Call side looked to be a 100% winner until the last 5 minutes, when it quickly turned from a 5.15 winner to a 6.80 loser. If I had exited before the drop i probably could have gotten 17.00 or so maximum, since the short 2810 call kept a lot of value until the last couple minutes of the day.
Bought to Open $SPX Apr 29th 2780/2800-2810/2830 condors for 18.40.
Also currently holding
Apr 24th 2820/2840-2850/2870
Apr 27th 2810/2830-2840/2860
LRCX earnings analysis
#Earnings $LRCX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 29, 2020 AC +4.26%
Oct. 23, 2019 AC +13.90%
July 31, 2019 AC -1.36%
April 24, 2019 AC +4.93%
Jan. 23, 2019 AC +15.69% Biggest UP
Oct. 16, 2018 AC +1.31%
July 26, 2018 AC +7.19%
April 17, 2018 AC -4.03%
Jan. 24, 2018 AC -4.99% Biggest DOWN
Oct. 17, 2017 AC +3.05%
July 26, 2017 AC -2.12%
April 18, 2017 AC +6.85%
Avg (+ or -) 5.81%
Bias 3.72%, strongly positive bias on earnings.
With stock at 260.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 234.20 to 285.80 (+/- 9.9%)
Based on AVERAGE one-day move over last 12 quarters: 244.90 to 275.10
Based on MAXIMUM one-day move over last 12 Q’s (15.7%): 219.21 to 300.79
Based on DOWN max only (-5.0%): 247.03
Open to requests for other symbols.
NFLX earnings analysis
#Earnings $NFLX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 21, 2020 AC -3.58%
Oct. 16, 2019 AC +2.46%
July 17, 2019 AC -10.27% Biggest DOWN
April 16, 2019 AC -1.31%
Jan. 17, 2019 AC -3.98%
Oct. 16, 2018 AC +5.28%
July 16, 2018 AC -5.24%
April 16, 2018 AC +9.18%
Jan. 22, 2018 AC +9.97%
Oct. 16, 2017 AC -1.57%
July 17, 2017 AC +13.54% Biggest UP
April 17, 2017 AC -2.64%
Avg (+ or -) 5.75%
Bias 0.99%, positive bias on earnings.
With stock at 435.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 385.03 to 484.97 (+/- 11.5%)
Based on AVERAGE one-day move over last 12 quarters: 409.98 to 460.02
Based on MAXIMUM one-day move over last 12 Q’s (13.5%): 376.10 to 493.90
Based on DOWN max only (-10.3%): 390.33
Open to requests for other symbols.
SPX 1-dte
#SPX1dte Sold to Open $SPX Apr 22nd 2596/2615-2840/2860 condors for 1.25, IV 36%, SPX 2736, delats -.05, +.05
TQQQ longs closed
STC $TQQQ Jan 2021 90 calls for 6.50. Bought for 2.50 on March 16th
STC $TQQQ Jan 2021 85 calls for 7.80. Bought for 1.90 on March 27th
I will enter these again when market drops further.
SPXpire
#SPX1dte The bullish slant didn’t come through but got to keep the credit.
$SPX April 20th long call spread and short put spread expired, put on Friday for .55 credit.
SPX 1-dte Risk Reversal
#SPX1dte. Given the clearly bullish fervor that has gripped Wall Street, however irrational, I’m selling a more aggressive put spread and buying a call spread, all for a net credit.
Sold $SPX Apr 20th 2775/2755 put spreads
Bought $SPX Apr 20th 2790/2900 call spreads
Total credit: 0.55
IV 24%, SPX 2872, deltas: -.10, +.05
Expiring today: Apr 20th 2655/2675-2895/2915 condors, sold yesterday for 1.20
Econ calendar for week of 4/20/20
Link to calendar: https://research.investors.com/economic-calendar/
SPY jumps 2% after hours
S&P 500 ETF jumps 2% after hours on report Gilead drug showing effectiveness treating coronavirus
https://www.cnbc.com/2020/04/16/sp-500-etf-jumps-2percent-after-hours-on-report-gilead-drug-showing-effectiveness-treating-coronavirus.html?__source=twitter%7Cmain
SPX 1-dte
#SPX1dte Sold to Open $SPX April 17th 2655/2675-2895/2915 condors for 1.20. IV: 33%, SPX 2795, deltas -.04, +.06
Earnings calendar update:
$PG announces tomorrow morning
Options Bistro 