#Earnings Closed final $SNAP calls for 3.25. #LongStraddle bought for 2.06 on Tuesday.
Author Archives: Jeff
EFX closed
#Earnings Sold to close $EFX Jul26/Aug02 140 #DoubleCalendar for .70-.74. Could have gotten more now that it has dropped sharply. Bought yesterday for .55.
SPXpire
#SPX1dte expiring today:
$SPX July 24th 2955/2975-3025/3045 condors, sold yesterday for .70
$SPX July 24th 2920/2945-3040/3065 condors, sold for 2.85 last Wednesday.
EFX analysis and trade
#Earnings $EFX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
May 10, 2019 BO +0.30%
Feb. 20, 2019 AC +2.18%
Oct. 24, 2018 AC -14.77% Biggest DOWN
July 25, 2018 AC -3.48%
April 25, 2018 AC -3.22%
March 1, 2018 AC +5.14% Biggest UP
Nov. 9, 2017 AC -0.19%
July 26, 2017 AC -2.41%
April 26, 2017 AC -1.83%
Feb. 8, 2017 AC +5.03%
Oct. 26, 2016 AC -4.30%
July 27, 2016 AC -1.39%
Avg (+ or -) 3.69%
Bias -1.58%%, negative bias on earnings.
With stock at 140.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 134.14 to 146.86
Based on AVERAGE one-day move over last 12 quarters: 135.32 to 145.68
Based on MAXIMUM one-day move over last 12 Q’s (14.8%): 119.75 to 161.25
Based on UP Max only (+5.1%): 147.72
Open to requests for other symbols.
NOW earnings analysis and trade
#Earnings $NOW reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
NOW has only moved UP on the last 13 earnings reports. Last time it had a down move was Jan 2016.
April 24, 2019 AC +7.41%
Jan. 30, 2019 AC +13.41% Biggest UP
Oct. 24, 2018 AC +1.42%
July 25, 2018 AC +4.60%
April 25, 2018 AC +4.53%
Jan. 31, 2018 AC +2.64%
Oct. 25, 2017 AC +1.21%
July 26, 2017 AC +0.74% Smallest UP
April 26, 2017 AC +3.75%
Jan. 25, 2017 AC +3.61%
Oct. 26, 2016 AC +7.68%
July 27, 2016 AC +4.65%
Avg (+ or -) 4.64%
Bias +4.64%, positive bias on earnings.
With stock at 292.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 273.15 to 310.85
Based on AVERAGE one-day move over last 12 quarters: 278.46 to 305.54
Based on MAXIMUM one-day move over last 12 Q’s (13.4%): 252.84 to 331.16
Based on smallest UP only (+0.7%): 294.16
Open to requests for other symbols.
FFIV dub cal
#Earnings Bought $FFIX Jul26/Aug02 147p/148c #DoubleCalendar for .82-.85. Not all filled yet.
SPX roll
SPX stopped
#SPX1dte BTC $SPX July 26th 3020/3045 call spreads for 3.65. My stop point of half the expected move was breached, so I’m out. This condor was sold Monday for 2.80.
FFIV earnings analysis
#Earnings $FFIV reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
April 24, 2019 AC -1.08%
Jan. 23, 2019 AC -2.22%
Oct. 24, 2018 AC +6.10%
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%
Jan. 25, 2017 AC -8.25% Biggest DOWN
Oct. 26, 2016 AC +9.57% Biggest UP
July 20, 2016 AC +0.32%
Avg (+ or -) 4.43%
Bias -0.78%, small negative bias on earnings.
With stock at 147.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 140.38 to 154.62
Based on AVERAGE one-day move over last 12 quarters: 140.96 to 154.04
Based on MAXIMUM one-day move over last 12 Q’s (9.6%): 133.38 to 161.62
Based on DOWN Max only (-8.3%): 135.33
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.
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%
Feb. 1, 2017 AC -1.79%
Nov. 2, 2016 AC -5.63%
July 27, 2016 AC +1.34%
Avg (+ or -) 5.51%
Bias 0.67%, small positive bias on earnings.
With stock at 200.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 187.08 to 212.92
Based on AVERAGE one-day move over last 12 quarters: 188.98 to 211.02
Based on MAXIMUM one-day move over last 12 Q’s (19.0%): 162.08 to 237.92
Based on UP Max only (+10.8%): 221.62
Open to requests for other symbols.
Earnings calendar updates:
$EFX reports tonight
$TMUS reports tomorrow morning
$RCL reports tomorrow morning
Closing SNAP
#Earnings Sold the first $SNAP long July 126th 14.5 calls for 2.25 and 2.50. #LongStraddle bought yesterday for 2.06.
SPX 1-dte
#SPX1dte Sold $SPX July 24th 2955/2975-3025/3045 condors for .70, IV 7.48%, SPX 3003.
E-dub dub cal
#Earnings Bought to Open $EW Jul26/Aug02 192.5 #DoubleCalendar for 1.25-1.32. Fills have been erratic but I got ‘er done.
SNAP earnings analysis
#Earnings $SNAP reports tonight. Below are details on earnings one-day moves over the last 9 quarters, representing its entire history.
April 23, 2019 AC -6.08%
Feb. 5, 2019 AC +22.01%
Oct. 25, 2018 AC -10.15%
Aug. 7, 2018 AC -6.78%
May 1, 2018 AC -21.93% Biggest DOWN
Feb. 6, 2018 AC +47.58% Biggest UP
Nov. 7, 2017 AC -14.61%
Aug. 10, 2017 AC -14.08%
May 10, 2017 AC -21.45%
Avg (+ or -) 18.30%
Bias -2.83%, negative bias on earnings.
With stock at 14.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 12.36 to 16.64
Based on AVERAGE one-day move over last 9 quarters: 11.85 to 17.15
Based on MAXIMUM one-day move over last 9 Q’s (47.6%): 7.60 to 21.40
Based on DOWN Max only (-21.9%): 11.32
Open to requests for other symbols.
VFC earnings analysis
#Earnings $VFC reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
May 22, 2019 BO -7.64%
Jan. 18, 2019 BO +12.39% Biggest UP
Oct. 19, 2018 BO -10.71%
July 20, 2018 BO +4.14%
May 4, 2018 BO -2.79%
Feb. 16, 2018 BO -11.07% Biggest DOWN
Oct. 23, 2017 BO +5.37%
July 24, 2017 BO +0.39%
April 28, 2017 BO -5.56%
Feb. 17, 2017 BO +4.58%
Oct. 24, 2016 BO -2.92%
July 22, 2016 BO -1.26%
Avg (+ or -) 5.74%
Bias -1.26%, negative bias on earnings.
With stock at 87.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 82.18 to 91.82
Based on AVERAGE one-day move over last 12 quarters: 82.01 to 91.99
Based on MAXIMUM one-day move over last 12 Q’s (12.4%): 76.22 to 97.78
Based on DOWN Max only (-11.1%): 77.37
Open to requests for other symbols.
EW earnings analysis
#Earnings $EW reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
April 23, 2019 AC -1.79%
Jan. 31, 2019 AC -1.00%
Oct. 23, 2018 AC -5.35%
July 26, 2018 AC -8.50%
April 24, 2018 AC -3.82%
Feb. 1, 2018 AC +3.81%
Oct. 24, 2017 AC -9.55%
July 26, 2017 AC +0.64%
April 25, 2017 AC +10.49% Biggest UP
Feb. 1, 2017 AC -8.45%
Oct. 25, 2016 AC -17.09% Biggest DOWN
July 26, 2016 AC +5.62%
Avg (+ or -) 6.34%
Bias -2.92%, negative bias on earnings.
With stock at 193.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 183.35 to 202.65
Based on AVERAGE one-day move over last 12 quarters: 180.76 to 205.24
Based on MAXIMUM one-day move over last 12 Q’s (17.1%): 160.02 to 225.98
Based on UP Max only (+10.5%): 213.25
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 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%
April 25, 2017 AC +2.38%
Feb. 2, 2017 AC -4.54%
Oct. 25, 2016 AC -9.28%
July 21, 2016 AC +5.83%
Avg (+ or -) 8.24%
Bias 0.62%, tiny positive bias on earnings.
With stock at 732.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 684.53 to 779.47
Based on AVERAGE one-day move over last 12 quarters: 671.71 to 792.29
Based on MAXIMUM one-day move over last 12 Q’s (24.4%): 553.10 to 910.90
Based on DOWN Max only (-14.6%): 625.27
Open to requests for other symbols.
SPX 4-dte
#SPX1dte Sold to Open $SPX July 26th 2905/2930-3020/3045 condors for 2.80.
SWK earnings analysis and trade
#Earnings $SWK reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 24, 2019 BO -1.00%
Jan. 22, 2019 BO -15.48% Biggest DOWN
Oct. 25, 2018 BO +1.57%
July 20, 2018 BO +3.27%
April 20, 2018 BO -6.70%
Jan. 24, 2018 BO -1.89%
Oct. 24, 2017 BO +4.77% Biggest UP
July 24, 2017 BO -2.10%
April 21, 2017 BO +3.65%
Jan. 26, 2017 BO -0.15%
Oct. 27, 2016 BO -1.49%
July 22, 2016 BO +4.80%
Avg (+ or -) 3.91%
Bias -0.90%, negative bias on earnings.
With stock at 142.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 134.94 to 149.06
Based on AVERAGE one-day move over last 12 quarters: 136.45 to 147.55
Based on MAXIMUM one-day move over last 12 Q’s (15.5%): 120.02 to 163.98
Based on UP Max only (+4.8%): 148.82
Open to requests for other symbols.
WHR earnings analysis
#Earnings $WHR reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
April 22, 2019 AC +0.40%
Jan. 28, 2019 AC +9.66% Biggest UP
Oct. 24, 2018 AC +6.78%
July 23, 2018 AC -14.52% Biggest DOWN
April 23, 2018 AC +3.75%
Jan. 24, 2018 AC +2.30%
Oct. 23, 2017 AC -10.54%
July 26, 2017 AC -6.28%
April 25, 2017 BO +3.51%
Jan. 26, 2017 BO -8.54%
Oct. 25, 2016 BO -10.77%
July 22, 2016 BO +2.67%
Avg (+ or -) 6.64%
Bias -1.80%, negative bias on earnings.
With stock at 148.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 139.70 to 157.30
Based on AVERAGE one-day move over last 12 quarters: 138.63 to 158.37
Based on MAXIMUM one-day move over last 12 Q’s (14.5%): 126.94 to 170.06
Based on UP Max only (+9.7%): 162.85
Open to requests for other symbols.
SKX out
#Earnings Never got another rally so out on the rest for small loss, 4.10.
SPX 1-dte
#SPX1dte Sold $SPX July 22nd 2920/2940-3010/3030 for .85, IV 7.53%, SPX 2984
Expiring today: July 19th 2940/2960-3015/3035 condors, sold yesterday for .85
HAL earnings analysis
#Earnings $HAL reports Monday morning. Below are details on earnings one-day moves over the last 12 quarters.
April 22, 2019 BO -0.12%
Jan. 22, 2019 BO -3.06%
Oct. 22, 2018 BO -3.03%
July 23, 2018 BO -8.09% Biggest DOWN
April 23, 2018 BO +0.17%
Jan. 22, 2018 BO +6.39% Biggest UP
Oct. 23, 2017 BO -2.51%
July 24, 2017 BO -4.21%
April 24, 2017 BO -0.65%
Jan. 23, 2017 BO -2.92%
Oct. 19, 2016 BO +4.24%
July 20, 2016 BO -1.57%
Avg (+ or -) 3.08%
Bias -1.28%, negative bias on earnings.
With stock at 21.75 the data suggests these ranges:
Based on current IV (expected move into NEXT Friday per TOS): 20.58 to 22.92
Based on AVERAGE one-day move over last 12 quarters: 21.08 to 22.42
Based on MAXIMUM on-day move over last 12 Q’s (8.1%): 19.99 to 23.51
Based on UP Max only (+6.4%): 23.14
Open to requests for other symbols.
Econ Calendar for week of 7/22/19
Link to calendar: https://us.econoday.com/byweek.asp?day=22&month=7&year=2019&cust=us&lid=0
NUGT rolls
#ContangoETFs I don’t want to get caught deeply OTM that really hammered me in 2016 with NUGT’s 100-point run higher. So I’m rolling strikes that get breached. For today, closed them on the pullback and will consider how to roll in coming days.
BTC $NUGT Sep 20th 35 calls for 5.00. Sold for 2.06 on Jan 31st.
BTC $NUGT Dec 20th 35 calls for 7.35. Sold for 2.95 on June 20th.
Earnings closing
#Earnings Sold to close first $SKX July 19th 35 long calls for 4.80 and 5.20. #LongStrangles bought yesterday for 4.38.
Sold more $CSX stock for 72.30. Cost basis 71.34.
CSX some stock sold
#Earnings #Assignment Sold some of my CSX stock at 71.50. That amounts to a .16 profit on a losing trade. Will hold the rest for further recovery.
SPX 1-dte
#SPX1dte Sold to open $SPX Jul 19th 2940/2960-3015/3035 condors for .85.
The short put is the same one I just closed earlier, on the longer term spread. Oh, well.
SPX trade close
#SPX1dte Bought to close $SPX July 19th 2960/2935 put spreads for .40. Sold for 5.50 on July 8th.
This sucker was up near 3.00 this morning. Got no reason to push my luck for one more day.
HON closed, for real
#Earnings Sold to Close $HON Jul19/Jul26 172.5 #DoubleCalendar for 1.38. Bought yesterday for .67.
SKX strangle
#Earnings Bought to Open $SKX July 19th 34.5/35 #LongStrangles for 4.38.
From current price at 34.75, I need a 13.6% move. Avg move on earnings has been 16.5%.
NUGT flying
#ContangoETFs Keeps notching new highs. No strikes breached yet but it could get ugly before it gets better.
Sold $NUGT Jan 2020 55 calls for 3.20. Highest available strike.
SKX earnings analysis
#Earnings $SKX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
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%
Feb. 9, 2017 AC +19.32%
Oct. 20, 2016 AC -17.26%
July 21, 2016 AC -22.34%
Avg (+ or -) 16.55%
Bias -0.22%, no significant directional bias on earnings, just a big-move bias.
With stock at 34.35 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 30.07 to 38.63
Based on AVERAGE move over last 12 quarters: 28.67 to 40.03
Based on MAXIMUM move over last 12 Q’s (41.4%): 20.12 to 48.58
Based on DOWN Max only (-27.0%): 25.06
Open to requests for other symbols.
HON mostly closed – NOT
#Earnings Sold to close $HON Jul19/Jul26 172.5 #DoubleCalendar for 1.65. Bought yesterday for .67.
Filled on most of my order. Still a few out there but should fill when price meanders back toward my strike.
MSFT earnings analysis
#Earnings $MSFT reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
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%
April 27, 2017 AC +0.27%
Jan. 26, 2017 AC +2.34%
Oct. 20, 2016 AC +4.20%
July 19, 2016 AC +5.31%
Avg (+ or -) 2.86%
Bias 2.33%, strong positive bias on earnings.
With stock at 136.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 131.13 to 140.87
Based on AVERAGE move over last 12 quarters: 132.11 to 139.89
Based on MAXIMUM move over last 12 Q’s (6.4%): 127.28 to 144.72
Based on DOWN Max only (-1.8%): 133.51
Open to requests for other symbols.
SPX 1-dte
#SPX1dte Expiring: $SPX 2965/2975-3025/3035 condors, double-sized position sold yesterday for .45.
I skipped monthly expiration 1-dte due to low premium, the volatility spike, and Friday morning settlement.
HON earnings analysis & trade
#Earnings Bought $HON Jul19/Jul26 172.5 #DoubleCalendar for .67.
$HON reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 18, 2019 BO +3.78% Biggest UP
Feb. 1, 2019 BO +0.75%
Oct. 19, 2018 BO -1.10%
July 20, 2018 BO +3.78%
April 20, 2018 BO +1.64%
Jan. 26, 2018 BO +1.94%
Oct. 20, 2017 BO +1.20%
July 21, 2017 BO +1.03%
April 21, 2017 BO +2.67%
Jan. 27, 2017 BO +0.38%
Oct. 21, 2016 BO +0.75%
July 22, 2016 BO -2.57% Biggest DOWN
Avg (+ or -) 1.80%
Bias 1.19%, positive bias on earnings.
With stock at 172.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 166.66 to 178.34
Based on AVERAGE move over last 12 quarters: 169.40 to 175.60
Based on MAXIMUM move over last 12 Q’s (3.8%): 165.98 to 179.02
Based on DOWN Max only (-2.6%): 168.07
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.
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%
April 17, 2017 AC -2.64%
Jan. 18, 2017 AC +3.86%
Oct. 17, 2016 AC +19.02% Biggest UP
July 18, 2016 AC -13.12% Biggest DOWN
Avg (+ or -) 7.39%
Bias 2.75%, positive bias on earnings.
With stock at 365.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 338.73 to 392.27
Based on AVERAGE move over last 12 quarters: 338.48 to 392.52
Based on MAXIMUM move over last 12 Q’s (19.0%): 295.98 to 435.02
Based on DOWN Max only (-13.1%): 317.55
Open to requests for other symbols.
SPX 7-dte
#SPX1dte Sold $SPX July 24 2920/2945-3040/3065 condors for 2.85.
SPX long closed
#SPX1dte STC $SPX July 19th 3025/3040 long call spreads for 1.30. Bought for 1.80 on the 9th. Small loss, but fortunately all the short spreads are killing it.
SPX 1-dte
#SPX1dte Premium is low so I went 10-wide, double size:
Sold $SPX 2965/2975-3025/3035 condors for .45, IV 7.57%, SPX 3005
SPX 1 dayer
#SPX1dte BTC $SPX July 18th (monthlies) 2935/2960-3040/3065 condors for .90. Sold yesterday for 2.45.
CSX earnings analysis & trade
#Earnings Bought $CSX Jul19/Jul26 79.5 #DoubleCalendar for .33 and .34.
$CSX reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
April 16, 2019 AC +4.01%
Jan. 16, 2019 AC -0.44%
Oct. 16, 2018 AC -2.06%
July 17, 2018 AC +7.07%
April 17, 2018 AC +7.84% Biggest UP
Jan. 16, 2018 AC -0.75%
Oct. 17, 2017 BO +2.63%
July 18, 2017 AC -5.06% Biggest DOWN
April 19, 2017 AC +5.60%
Jan. 17, 2017 AC -3.17%
Oct. 12, 2016 AC +3.11%
July 13, 2016 AC +2.97%
Avg (+ or -) 3.73%
Bias 1.81%, positive bias on earnings.
With stock at 79.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 76.63 to 82.37
Based on AVERAGE move over last 12 quarters: 76.54 to 82.46
Based on MAXIMUM move over last 12 Q’s (7.8%): 73.27 to 85.73
Based on DOWN Max only (-5.1%): 75.48
Open to requests for other symbols.
UAL earnings analysis
#Earnings $UAL reports tonight morning. Below are details on earnings one-day moves over the last 12 quarters.
April 16, 2019 AC +4.77%
Jan. 15, 2019 AC +6.35%
Oct. 16, 2018 AC +5.95%
July 17, 2018 AC +8.78% Biggest UP
April 17, 2018 AC +4.81%
Jan. 23, 2018 AC -11.44%
Oct. 18, 2017 AC -12.07% Biggest DOWN
July 18, 2017 AC -5.90%
April 17, 2017 AC -4.26%
Jan. 17, 2017 AC +0.35%
Oct. 17, 2016 BO -0.31%
July 19, 2016 BO +0.29%
Avg (+ or -) 5.44%
Bias -0.22%, no significant bias on earnings.
With stock at 93.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 88.53 to 97.47
Based on AVERAGE move over last 12 quarters: 87.94 to 98.06
Based on MAXIMUM move over last 12 Q’s (12.1%): 81.77 to 104.23
Based on UP Max only (+8.8%): 101.17
Open to requests for other symbols.
SPX expired
#SPX1dte Expiring today, $SPX July 15th 2960/2980/3030/3050, sold Friday for .85
SPX 3-dte
#SPX1dte Sold $SPX July 18th 2935/2960-3040/3065 condors for 2.45
JPM earnings analysis
#Earnings $JPM reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 12, 2019 BO +4.68% Biggest UP
Jan. 15, 2019 BO +0.73%
Oct. 12, 2018 BO -1.09%
July 13, 2018 BO -0.45%
April 13, 2018 BO -2.70% Biggest DOWN
Jan. 12, 2018 BO +1.65%
Oct. 12, 2017 BO -0.28%
July 14, 2017 BO -0.91%
April 13, 2017 BO -1.17%
Jan. 13, 2017 BO +0.53%
Oct. 14, 2016 BO -0.32%
July 14, 2016 BO +1.51%
Avg (+ or -) 1.34%
Bias 0.18%, no significant bias on earnings.
NOTE: 5-day results are not significantly different
With stock at 114.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 110.85 to 117.15
Based on AVERAGE move over last 12 quarters: 112.48 to 115.52
Based on MAXIMUM move over last 12 Q’s (4.7%): 108.66 to 119.34
Based on DOWN Max only (-2.7%): 110.92
Open to requests for other symbols.
GS earnings analysis
#Earnings $GS reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 15, 2019 BO -3.81%
Jan. 16, 2019 BO +9.54% Biggest UP
Oct. 16, 2018 BO +3.01%
July 17, 2018 BO -0.18%
April 17, 2018 BO -1.64%
Jan. 17, 2018 BO -1.86%
Oct. 17, 2017 BO -2.60%
July 18, 2017 BO -2.59%
April 18, 2017 BO -4.71% Biggest DOWN
Jan. 18, 2017 BO -0.61%
Oct. 18, 2016 BO +2.14%
July 19, 2016 BO -1.17%
Avg (+ or -) 2.82%
Bias -0.37%, tiny negative bias on earnings.
NOTE: 5-day results are more positive, with a MAX up move of +12%
With stock at 210.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 202.02 to 217.98
Based on AVERAGE move over last 12 quarters: 204.07 to 215.93
Based on MAXIMUM move over last 12 Q’s (9.5%): 189.97 to 230.03
Based on DOWN Max only (-4.7%): 200.11
Open to requests for other symbols.
SPX 1 dayer
#SPX1dte Bought to close $SPX July 24th 2990/2965 put spreads for 4.05. Sold yesterday for 7.70. Couldn’t let such a nice 1-day profit ride.
SPX 1-dte
#SPX1dte Sold $SPX July 15th 2960/2980-3030/3050 condors for .85, IV 5.72%, SPX 3008
Econ Calendar for week of 7/15/19
Link to calendar: https://us.econoday.com/byweek.asp?day=15&month=7&year=2019&cust=us&lid=0
Uber strangle
SPX 1-dte
#SPX1dte Isn’t enough premium in calls, so I only sold a put spread for tomorrow, and couldn’t get filled until after the bell, as it just kept moving higher after I sold the July 24th spread.
Sold $SPX July 12th 2980/2960 put spreads for .70. IV 7.98%, SPX close at 2999.
SPX 13-dte
#SPX1dte Sold $SPX July 24th 2990/2965 put spreads for 7.60. ATM aggressive spread to take advantage of the Upside Warning. Probably will close this with 50% of max. I honestly meant to sell NEXT Wednesday’s (17th), but mixed up the weeks. I’d rather an ATM spread have a shorter life.
Missed my chances to close my LONG July 12th 3025/3035 call spreads; yesterday’s highs would have been about breakeven (bought for 1.80). Still holding the 3025/3040 longs for July 19th, as well as two short puts spreads that are doing well.
DAL earnings analysis
#Earnings $DAL reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 10, 2019 BO +1.59%
Jan. 15, 2019 BO +0.16%
Oct. 11, 2018 BO +3.56%
July 12, 2018 BO +1.78%
April 12, 2018 BO +2.93%
Jan. 11, 2018 BO +4.76% Biggest UP
Oct. 11, 2017 BO +0.70%
July 13, 2017 BO -1.76% Biggest DOWN
April 12, 2017 BO -0.52%
Jan. 12, 2017 BO -1.06%
Oct. 13, 2016 BO +1.88%
July 14, 2016 BO +3.58%
Avg (+ or -) 2.02%
Bias 1.47%, positive bias on earnings.
With stock at 59.10 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 57.03 to 61.17
Based on AVERAGE move over last 12 quarters: 57.90 to 60.30
Based on MAXIMUM move over last 12 Q’s (4.8%): 56.29 to 61.91
Based on DOWN Max only (-1.8%): 58.06
Open to requests for other symbols.
SPX 1-dte stopped
#SPX1dte Stopped $SPX July 10th 3005/3020 call spreads for 3.05. Condors sold yesterday for .70. The weakness made me doubt the UpW warning again… shouldn’t have sold this call side with both the upside move threatening and Powell testimony today.
The VIX told us
Dow futures turn positive after Powell sets the stage for a rate cut in testimony to Congress https://t.co/xoGAh6oJmX
— CNBC Now (@CNBCnow) July 10, 2019
UBER strangle closed
SPX 1-dte
#SPX1dte Sold $SPX June 10th 2920/2940/3005/3020 condors for .70, IV 9.61%, SPX 2975.
Gotta be careful tomorrow during Powell’s testimony.
SPX expire
#SPX1dte Expired: $SPX July 8th 2935/2955-3010/3025 condors, sold Friday for .95
Econ Calendar for week of 7/8/19
Jerome Powell testifies before Congress on Wed & Thur.
Link to calendar: https://us.econoday.com/byweek.asp?day=8&month=7&year=2019&cust=us&lid=0
PEP earnings analysis
#Earnings $PEP reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
April 17, 2019 BO +3.75%
Feb. 15, 2019 BO +2.94%
Oct. 2, 2018 BO -1.79% Biggest DOWN
July 10, 2018 BO +4.76% Biggest UP
April 26, 2018 BO +2.08%
Feb. 13, 2018 BO -0.18%
Oct. 4, 2017 BO +0.19%
July 11, 2017 BO -0.46%
April 26, 2017 BO -0.72%
Feb. 15, 2017 BO -0.17%
Sept. 29, 2016 BO +0.35%
July 7, 2016 BO +1.48%
Avg (+ or -) 1.57%
Bias 1.02%, positive bias on earnings.
With stock at 132.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 128.62 to 135.38
Based on AVERAGE move over last 12 quarters: 129.92 to 134.08
Based on MAXIMUM move over last 12 Q’s (4.8%): 125.72 to 138.28
Based on DOWN Max only (-1.8%): 129.64
Open to requests for other symbols.
Upside Warning data
Here’s a new chart examining the data from all occurrences of the upside warning since 1/1/2000.
–Chart includes first 20 days of each day’s SPX HIGH, as a percentage above or below the CLOSING PRICE of the Upside Warning firing date (in the current case, it fired on Friday)
–Blue represent occurrences when the highest move was +1.0% or higher
–Yellow represents a highest move up of less than 1.0%
–Red represents no move higher before the warning is canceled
–Final columns on right are:
—-Number of days in the warning before it was canceled
—-Highest point of SPX during that UpW
—-Lowest SPX high BEFORE the highest point was reached
As you can see, several UpW’s start with a pullback, sometimes quite deep. But eventually, out of 42 warnings, the SPX moved higher 92% of the time, and moved at least 1% higher 83% of the time.
Click on the chart for larger view.
SPX longer
#SPXcampaign #SPX1dte
Taking advantage of more pullback to get longer.
Sold $SPX July 19th 2960/2935 put spreads for 5.50
Bought $SPX July 19th 3025/3040 call spreads for 1.80
I’m working on a chart of Upside Warning data… will post shortly.
Look out above
#VIXIndicator An Upside Warning went into effect at the close Friday. This signal has been over 90% effective since 2000, leading to at least a 1.5% short-term gain in the S&P. Expect new record highs over the next couple of weeks.
SPX 1-dte
#SPX1dte Sold $SPX July 8th 2935/2955-3010/3025 condors for .95. IV: 6.06%, SPX 2988.
June Jobs Report
#Jobs — big reversal from May’s disappointment
+224,000 non-farm payroll jobs, vs. 165K expected
Unemployment at 3.7%, up 0.1
U6 unemployment at 7.2%, up by 0.1
Wages up 0.2%, 3.1% year over year
Labor force participation 62.9%, up 0.1
May revised down from 75K to 72K
April revised down from 224K to 216K
SPX and away
#SPX1dte I think we’re on our way up, folks. Barring some major event, Upside Warning should fire on Friday, and should lead to a follow through to at least 3040 over the next week or two.
#RiskReversal
Sold $SPX July 12th 2970/2945 put spreads for 3.90.
Bought $SPX July 12th 3025/3035 LONG call spreads for 1.80
Risk too big
#SPX1dte Since the day ended with a spike higher, and the we have the first $VIX close below the 78.6 Fib line, we could see a “quiet” low volume rally tomorrow, and my double-sized condor is not worth the risk, being only 17 points away from today’s close.
Closed $SPX July 3rd 2990/3010 call spreads for .65. Condors sold for .45 an hour ago. I’ll keep the downside put risk on.
SPX 1-dte
#SPX1dte Sold to Open $SPX Jul 3rd 2910/2930-2990/3010 condors for .45. I meant to go for 10-wide, double size, but mistakenly went my normal 20-size, double size. So double the risk than usual, but looking for a quiet holiday anyway.
SPX 9-dte closed
#SPX1dte BTC $SPX July 5th 3000/3025 call spreads for .90. Sold condor for 3.90 last Wednesday. I’ll let the puts expire.
Also, expiring today: July 1st 2825/2845-3000/3025 condors, sold Friday for 1.35.
T closed
#PieTrades Bought to close $T July 19th 32 puts for .10. Sold for 1.48 on April 9th. Will sell again on next move down.
Low VIX
Good morning… looks like we’ll get the lowest VIX open since early May, when the Downside Warning hit. If it holds below 13.67 into the close we could be en route to an Upside Warning.
Econ Calendar for week of 7/1/19
#Jobs report on Friday
Link to calendar: https://us.econoday.com/byweek.asp?day=1&month=7&year=2019&cust=us&lid=0
Options Bistro 