#Earnings Sold to close $EW Apr26/May03 180 #DoubleCalendar for 2.25. Bought yesterday for 1.03. Third quarter in a row this was the best symbol for this strategy. Unfortunately I only got a partial fill yesterday.
Author Archives: Jeff
SPX 0-dte
#SPX1dte Since I plumb forgot to sell this yesterday, selling it this morning:
Sold $SPX Apr 24th 2890/2910-2945/2960 condors for .95. Expires today. (IV: 8.02%, SPX 2932)
Sometimes because volatility is higher in the morning, and because morning gaps can be accounted for, this sometimes can be a better approach that selling at the previous day’s close.
SNAPped shut
#Earnings Sold to close $SNAP Apr26 12 #LongStraddle for .75. Bought for 1.95 yesterday. If I don’t get the gap I try to sell quickly while volatility is still high, limiting the loss.
EW earnings analysis
#Earnings $EW reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Bought to Open $EW Apr26/May03 180 #DoubleCalendar for 1.03. This one has a good risk profile and has been a winner for me two quarters in a row.
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%
April 26, 2016 AC +0.08%
Avg (+ or -) 6.20%
Bias -2.76%, negative bias on earnings.
With stock at 182.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 172.02 to 191.98
Based on AVERAGE move over last 12 quarters: 170.72 to 193.28
Based on MAXIMUM move over last 12 Q’s (17.1%): 150.90 to 213.10
Based on UP max only (10.5%): 201.09
Open to requests for other symbols.
EBAY earnings analysis
#Earnings $EBAY reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 29, 2019 AC +1.15%
Oct. 30, 2018 AC +5.87%
July 18, 2018 AC -10.11%
April 25, 2018 AC -5.58%
Jan. 31, 2018 AC +13.82% Biggest UP
Oct. 18, 2017 AC -1.79%
July 20, 2017 AC -1.53%
April 19, 2017 AC -3.92%
Jan. 25, 2017 AC +4.99%
Oct. 19, 2016 AC -10.76% Biggest DOWN
July 20, 2016 AC +10.89%
April 26, 2016 AC +3.18%
Avg (+ or -) 6.13%
Bias 0.52%, slight positive bias on earnings.
With stock at 36.75 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 34.53 to 38.97
Based on AVERAGE move over last 12 quarters: 34.50 to 39.00
Based on MAXIMUM move over last 12 Q’s (13.8%): 31.67 to 41.83
Based on DOWN max only (-10.8%): 32.80
Open to requests for other symbols.
SNAP straddle
#Earnings Bought to Open $SNAP Apr 26th 12 #LongStraddle for 1.95. I need a 16.3% move to reach break-even points. Avg move on the stock has been 19.8%. Intraday Max Move on the day after earnings is an average of 23.3%.
War machine
#Earnings Yesterday Lockheed, today Northrup. Next trade will be in Stark Industries.
Bought to open $NOC Apr26/May03 295 #DoubleCalendar for 1.09.
NOC earnings analysis
#Earnings I found today’s trades: #DoubleCalender on NOC and #LongStraddle on $SNAP
$NOC reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 31, 2019 BO -1.87%
Oct. 24, 2018 BO -6.00%
July 25, 2018 BO -6.53% Biggest DOWN
April 25, 2018 BO -2.60%
Jan. 25, 2018 BO +3.68%
Oct. 25, 2017 BO +3.64%
July 26, 2017 BO -0.07%
April 26, 2017 BO -0.02%
Jan. 26, 2017 BO -1.68%
Oct. 26, 2016 BO +3.88% Biggest UP
July 27, 2016 BO -0.24%
April 27, 2016 BO +1.68%
Avg (+ or -) 2.66%
Bias -0.51%, slight negative bias on earnings.
With stock at 294.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 280.91 to 307.09
Based on AVERAGE move over last 12 quarters: 286.19 to 301.81
Based on MAXIMUM move over last 12 Q’s (6.5%): 274.80 to 313.20
Based on UP max only (+3.9%): 305.41
Open to requests for other symbols.
CAT earnings analysis
#Earnings $CAT reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 28, 2019 BO -9.12% Biggest DOWN
Oct. 23, 2018 BO -7.55%
July 30, 2018 BO -1.97%
April 24, 2018 BO -6.20%
Jan. 25, 2018 BO +0.61%
Oct. 24, 2017 BO +4.98%
July 25, 2017 BO +5.87%
April 25, 2017 BO +7.86% Biggest UP
Jan. 26, 2017 BO -0.94%
Oct. 25, 2016 BO -1.75%
July 26, 2016 BO +5.15%
April 22, 2016 BO -0.43%
Avg (+ or -) 4.37%
Bias -0.29%, no significant bias on earnings.
With stock at 142.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 135.17 to 149.83
Based on AVERAGE move over last 12 quarters: 136.27 to 148.73
Based on MAXIMUM move over last 12 Q’s (9.1%): 129.50 to 155.50
Based on UP max only (7.9%): 153.70
Open to requests for other symbols.
ANTM earnings analysis
#Earnings $ANTM reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 30, 2019 BO +9.11%
Oct. 31, 2018 BO +3.79%
July 25, 2018 BO +0.75%
April 25, 2018 BO +6.15%
Jan. 31, 2018 BO +1.81%
Oct. 25, 2017 BO +5.35%
July 26, 2017 BO -2.93%
April 26, 2017 BO +3.80%
Feb. 1, 2017 BO +4.31%
Nov. 2, 2016 BO +4.74%
July 27, 2016 BO -2.71%
April 27, 2016 BO -1.57%
Avg (+ or -) 3.92%
Bias 2.72%, strong positive bias on earnings.
With stock at 250.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 236.54 to 263.46
Based on AVERAGE move over last 12 quarters: 240.20 to 259.80
Based on MAXIMUM move over last 12 Q’s (9.1%): 227.23 to 272.78
Based on DOWN max only (-2.9%): 242.68
Open to requests for other symbols.
SNAP earnings analysis – straddle candidate
#Earnings #LongStraddle strategy has been working well lately. Worked on SNAP last quarter and I’ll probably try again.
$SNAP reports tonight. Below are details on earnings one-day moves over it entire history.
Feb. 5, 2019 AC +22.01% 22.01%
Oct. 25, 2018 AC -10.15% -10.15%
Aug. 7, 2018 AC -6.78% -6.78%
May 1, 2018 AC -21.93% -21.93% Biggest DOWN
Feb. 6, 2018 AC +47.58% 47.58% Biggest UP
Nov. 7, 2017 AC -14.61% -14.61%
Aug. 10, 2017 AC -14.08% -14.08%
May 10, 2017 AC -21.45% -21.45%
Avg (+ or -) 19.82%
Bias -2.43%, slight negative bias on earnings.
With stock at 12.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 10.08 to 13.92
Based on AVERAGE move over last 12 quarters: 9.62 to 14.38
Based on MAXIMUM move over last 12 Q’s (47.6%): 6.29 to 17.71
Based on DOWN max only (-21.9%): 9.37
Open to requests for other symbols.
SPX flying
#SPX1dte As soon as I give up on the move I’ve been waiting for, it happens. Now I’m stuck with a 2930 short expiring this Friday. I will be rolling it, but not sure how or when yet.
LMT and TWTR closing
#Earnings Closed $LMT Apr26/May03 315 #DoubleCalendar for .95 and 1.00. Bought for .765 yesterday. The gap up is a bit much for a calendar to handle, but these higher priced stocks mean higher priced options and more flexibility to close. I was probably too early, but I have been bitten before by waiting
Closed partial of $TWTR Apr 26th long 34 calls for 4.00, 4.40, and 4.50. #LongStraddle bought yesterday for 3.64. Looks like it’s doing its usual thing, gap and run, so I’ll wait to close the rest.
SPX 4-dte
#SPX1dte I am tempting the market to do something. I hope it doesn’t.
Sold $SPX Apr 26th 2850/2875/2930/2955 condors for 4.75.
Expiring today: Apr 22nd 2855/2875/2930/2945 condors, sold Thursday for .80
TWTR straddle
#Earnings Bought to Open $TWTR Apr 26th 34 #LongStraddle for 3.64.
Stock has an average move of 12.1%. I need a 10.7% move to hit breakeven points. Only 4 out of the last 12 moves were less than 10%.
LMT earnings trade & analysis
#Earnings Bought to Open $LMT Apr26/May03 315 #DoubleCalendar for .76 and .77
$LMT reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 29, 2019 BO +1.45%
Oct. 23, 2018 BO -1.66%
July 24, 2018 BO +1.33%
April 24, 2018 BO -6.16% Biggest DOWN
Jan. 29, 2018 BO +1.89%
Oct. 24, 2017 BO -2.36%
July 18, 2017 BO -0.58%
April 25, 2017 BO -2.24%
Jan. 24, 2017 BO -1.77%
Oct. 25, 2016 BO +7.36% Biggest UP
July 19, 2016 BO +1.04%
April 26, 2016 BO +2.58%
Avg (+ or -) 2.54%
Bias 0.07%, no significant bias on earnings.
With stock at 315.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 302.98 to 327.02
Based on AVERAGE move over last 12 quarters: 307.01 to 322.99
Based on MAXIMUM move over last 12 Q’s (7.4%): 291.82 to 338.18
Based on DOWN max only (-6.2%): 295.60
Open to requests for other symbols.
TWTR earnings analysis
#Earnings $TWTR reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
In all cases except the second to last date on the list below, TWTR kept advancing in the same direction after one day after earnings. So for the 5-day totals, add about 1-4% more than the one-day numbers below.
Feb. 7, 2019 BO -9.83%
Oct. 25, 2018 BO +15.46%
July 27, 2018 BO -20.54% Biggest DOWN
April 25, 2018 BO -2.36%
Feb. 8, 2018 BO +12.15%
Oct. 26, 2017 BO +18.49% Biggest UP
July 27, 2017 BO -14.12%
April 26, 2017 BO +7.91%
Feb. 9, 2017 BO -12.33%
Oct. 27, 2016 BO +0.63%
July 26, 2016 AC -14.52%
April 26, 2016 AC -16.28%
Avg (+ or -) 12.05%
Bias -2.95%, negative bias on earnings.
With stock at 34.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 30.56 to 37.44
Based on AVERAGE move over last 12 quarters: 29.90 to 38.10
Based on MAXIMUM move over last 12 Q’s (20.5%): 27.02 to 40.98
Based on UP max only (+18.5%): 40.29
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.
There is no significant difference between 1-day moves and 5-day moves.
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%
April 26, 2016 BO -3.55%
Avg (+ or -) 6.91%
Bias -2.13%, negative bias on earnings.
With stock at 140.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 129.58 to 150.42
Based on AVERAGE move over last 12 quarters: 130.33 to 149.67
Based on MAXIMUM move over last 12 Q’s (14.5%): 119.67 to 160.33
Based on UP max only (+9.7%): 153.52
Open to requests for other symbols.
Econ Calendar for week of 4/22/19
Link to calendar: https://us.econoday.com/byweek.asp?day=22&month=4&year=2019&cust=us&lid=0
AXP closed
#Earnings Sold to close $AXP Apr18/Apr26 112 #DoubleCalendar for .69, .73, and .90. Bought for .48 yesterday.
I got .90 for one at the open… then waiting lowered the profit for the rest as the stock rose.
Closed $IBM dub cal for .03. Bought for .407 on Tuesday.
SPX 1-dte
#SPX1dte Sold $SPX Apr 22nd 2855/2875-2930/2945 condors at .80 (IV: 5.49%, SPX: 2904)
HON closed
#Earnings Sold to close $HON Apr18/Apr26 162.5 #DoubleCalendar for .40. Bought yesterday for .55.
$AXP will be the profitable one… order in for 1.10, seeing if price can come to me, or I will lower my ask.
SPX 6-dte closed
#SPX1dte Bought to close $SPX Apr 24th 2900/2875 put spreads for 5.35. Sold for 6.95 on Monday. Index has not performed well for being under a (minor) upside warning, and this spread has bounced in and out of profit. Taking the profit while I can.
ISRG earnings analysis
#Earnings $ISRG reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 24, 2019 AC -3.93%
Oct. 18, 2018 AC -3.45%
July 19, 2018 AC -0.86%
April 17, 2018 AC +8.17% Biggest UP
Jan. 25, 2018 AC -2.12%
Oct. 19, 2017 AC +3.39%
July 20, 2017 AC -4.55%
April 18, 2017 AC +6.36%
Jan. 24, 2017 AC +5.09%
Oct. 18, 2016 AC -5.56% Biggest DOWN
July 19, 2016 AC +4.63%
April 19, 2016 AC +3.34%
Avg (+ or -) 4.29%
Bias 0.88%, slight positive bias on earnings.
With stock at 530.00 the data suggests these ranges:
Based on current IV (expected move into NEXT Friday per TOS): 497.67 to 562.33 (8 days, Friday)
Based on AVERAGE move over last 12 quarters: 507.28 to 552.72 (4 days, Monday)
Based on MAXIMUM move over last 12 Q’s (8.2%): 486.70 to 573.30 (4 days, Monday)
EIGHT-day max moves: UP: +9.8% (581.94), DOWN: -7.8% (488.66)
Open to requests for other symbols.
SKX partial closed
#Earnings Closed $SKX 35 long puts for 5.00. Only got a couple closed before the crash. Now price has recovered some, so I will wait to see if it falls again. Otherwise, i’ll be disputing this and asking for at least 4.90. (Strangles bought for 4.15 yesterday).
Order in to close $AXP for 1.30. I show mid price as .90 currently.
$HON too high to close now, may take loss
$IBM also out of range.
Nightmare
Total Interactive Brokers meltdown on both my computers. Unable to execute trades and missed closings on several trades. On the phone with them for over an hour now.
SPX 1-dte
#SPX1dte Sold to Open $SPX Apr 18th (weeklys) 2850/2870-2925/2945 condors for .90. (IV 9.42% SPX 2901)
I’m going to close the put side of my monthly spread to avoid gap risk. Hopefully for .10, but may be .15 or .20.
HON dub cal
#Earnings Bought to Open $HON Apr18/Apr26 162.5 #DoubleCalendar for .55.
SKX strangle
Earnings #LongStrangle
Was planning for a #LongStraddle but since price is between strikes and stock has bullish bias on earnings,
Bought $SKX 35/35.5 strangle for 4.15. Need a 12.5% move in either direction to breakeven. Avg move on stock has been 16.2%.
AXP dub cal
#Earnings Bought to Open $AXP Apr18/Apr26 112 #DoubleCalendar for .48.
Also looking at a Dub Cal for $HON and a #LongStraddle on $SKX
HON earnings analysis
#Earnings $HON reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Feb. 1, 2019 BO +0.75%
Oct. 19, 2018 BO -1.10%
July 20, 2018 BO +3.78% Biggest UP
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
April 22, 2016 BO -0.65%
Avg (+ or -) 1.54%
Bias 0.82%, positive bias on earnings.
With stock at 163.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 158.33 to 167.67
Based on AVERAGE move over last 12 quarters: 160.49 to 165.51
Based on MAXIMUM move over last 12 Q’s (3.8%): 156.84 to 169.16
Based on DOWN max only (-2.6%): 158.81
Open to requests for other symbols.
SKX earnings analysis
#Earnings $SKX reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
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%
April 21, 2016 AC +6.26%
Avg (+ or -) 16.20%
Bias 1.17%, slight positive bias on earnings.
With stock at 35.20 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 30.85 to 39.55
Based on AVERAGE move over last 12 quarters: 29.50 to 40.90
Based on MAXIMUM move over last 12 Q’s (41.4%): 20.61 to 49.79
Based on DOWN max only (-27.0%): 25.68
Open to requests for other symbols.
AXP earnings analysis
#Earnings $AXP reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 17, 2019 AC +0.99%
Oct. 18, 2018 AC +3.78%
July 18, 2018 AC -2.72% Biggest DOWN
April 18, 2018 AC +7.58%
Jan. 18, 2018 AC -1.83%
Oct. 18, 2017 AC -0.19%
July 19, 2017 AC -0.67%
April 19, 2017 AC +5.91%
Jan. 19, 2017 AC -0.63%
Oct. 19, 2016 AC +9.02% Biggest UP
July 20, 2016 AC -1.62%
April 20, 2016 AC +0.90%
Avg (+ or -) 2.99%
Bias 1.71%, positive bias on earnings.
With stock at 111.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 107.89 to 115.11
Based on AVERAGE move over last 12 quarters: 108.17 to 114.83
Based on MAXIMUM move over last 12 Q’s (9.0%): 101.44 to 121.56
Based on DOWN max only (-2.7%): 108.47
Open to requests for other symbols.
SPX 0-dte
#SPX1dte A little confusing with this being monthly expiration week but Friday a holiday. The monthly options stop trading today at the close and are settled at the open tomorrow. Then the weeklys, that normally settle at Friday’s close, will settle at Thursday’s close. So to get a piece of each series, I sold the monthlys now as a same-day trade, and I’ll sell the weeklys before the close today.
Sold to Open $SPX April 17th (monthlys) 2855/2875-2930/2950 condors for .75. I may look to close today to avoid gap risk. (IV 12.5%, SPX: 2907)
NFLX closed
#Earnings Bought to close $NFLX 345/355-365/375 #IronCondor for 4.15 and 4.16. Sold yesterday for 8.35. With price at dead center, taking profit and running as NFLX may still move big. Can’t Truss It.
SPX 1-dte
#SPX1dte Sold $SPX Apr 17th 2865/2885-2930/2950 condors for .80. (IV: 8.05%, SPX: 2908)
NFLX tight condor
#Earnings Sold to Open $NFLX Apr 18th 345/355-365/375 #IronCondor for 8.35.
Risking 1.65 to make 5.00-7.00. Max win is about 8.35 but that’s only if I wait for expiration on Thursday. I’ll look to close this when (and if) stock price gets close enough to my 10-point center range for a profit.
NFLX often gaps big, but then sometimes will fade for the rest of the day (or two days). This is a smaller position as probability is lower and I don’t want to lose the max on a large position.
IBM dub cal
#Earnings Bought to open $IBM Apr18/Apr26 145 #DoubleCalendar for .40. Surprised I was filled below mid price… partial fill, may have to raise bid to fulfill my full position.
This has a 5% average move… tomorrow’s breakevens are showing to be precisely at 5%. So this has an even chance of working, but also an additional day to fade any large move.
IBM earnings analysis
#Earnings $IBM reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 22, 2019 AC +8.46%
Oct. 16, 2018 AC -7.62% Biggest DOWN
July 18, 2018 AC +3.26%
April 17, 2018 AC -7.53%
Jan. 18, 2018 AC -3.99%
Oct. 17, 2017 AC +8.86% Biggest UP
July 18, 2017 AC -4.20%
April 18, 2017 AC -4.91%
Jan. 19, 2017 AC +2.24%
Oct. 17, 2016 AC -2.61%
July 18, 2016 AC -0.17%
April 18, 2016 AC -5.59%
Avg (+ or -) 4.95%
Bias -1.15%, negative bias on earnings.
With stock at 144.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 136.68 to 151.32
Based on AVERAGE move over last 12 quarters: 136.87 to 151.13
Based on MAXIMUM move over last 12 Q’s (8.9%): 131.24 to 156.76
Based on DOWN max only (-7.6%): 133.03
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. 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%
April 18, 2016 AC -12.97% Biggest DOWN
Avg (+ or -) 8.36%
Bias 1.78%, positive bias on earnings.
With stock at 354.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 328.02 to 379.98
Based on AVERAGE move over last 12 quarters: 324.39 to 383.61
Based on MAXIMUM move over last 12 Q’s (19.0%): 286.67 to 421.33
Based on DOWN max only (-13.1%): 307.56
Open to requests for other symbols.
SPX 15-dte
#SPX1dte Sold another roll: $SPX Apr 30th 2790/2810/2950/2970 condors for 3.80. (IV: 10.85% SPX: 2902)
SPX 1-dte
#SPX1dte BTC $SPX April 17th 2725/2750-2940/2965 condors for .50. Sold for 2.85 as a roll on April 1st.
UNH earnings analysis
#Earnings $UNH reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 15, 2019 BO +3.55%
Oct. 16, 2018 BO +4.73%
July 17, 2018 BO -2.60% Biggest DOWN
April 17, 2018 BO +3.57%
Jan. 16, 2018 BO +4.28%
Oct. 17, 2017 BO +5.53%
July 18, 2017 BO +0.26%
April 18, 2017 BO +0.84%
Jan. 17, 2017 BO -0.70%
Oct. 18, 2016 BO +6.90% Biggest UP
July 19, 2016 BO +1.30%
April 19, 2016 BO +2.10%
Avg (+ or -) 3.03%
Bias 2.48%, strongly positive bias on earnings.
With stock at 227.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 215.83 to 239.17
Based on AVERAGE move over last 12 quarters: 220.61 to 234.39
Based on MAXIMUM move over last 12 Q’s (6.9%): 211.80 to 243.20
Based on DOWN max only (-2.6%): 221.59
Open to requests for other symbols.
SPX 9-dte
#SPX1-dte Sold $SPX Apr 24th 2900/2875 put spreads for 6.95. Aggressive ATM position in response to minor upside warning that fired Friday. If index has not moved higher by Wednesday, I will consider rolling.
(IV 10%, SPX: 2903)
JNJ earnings analysis
#Earnings $JNJ reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 22, 2019 BO -1.44%
Oct. 16, 2018 BO +1.94%
July 17, 2018 BO +3.54%
April 17, 2018 BO -0.92%
Jan. 23, 2018 BO -4.25% Biggest DOWN
Oct. 17, 2017 BO +3.43% Biggest UP
July 18, 2017 BO +1.74%
April 18, 2017 BO -3.10%
Jan. 24, 2017 BO -1.88%
Oct. 18, 2016 BO -2.59%
July 19, 2016 BO +1.71%
April 19, 2016 BO +1.57%
Avg (+ or -) 2.34%
Bias -0.02%, no significant bias on earnings.
With stock at 136.25 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 131.62 to 140.88
Based on AVERAGE move over last 12 quarters: 133.06 to 139.44
Based on MAXIMUM move over last 12 Q’s (4.3%): 130.46 to 142.04
Based on DOWN max only (+3.5%): 141.07
Open to requests for other symbols.
SPX 0-dte
#SPX1dte Sold $SPX Apr 15th 2865/2885-2915/2925 condors for 1.00. Expire today (IV: 7.66%, SPX: 2904)
Minor Upside Warning
#VIXIndicator fired this at the close. Last one we got was on March 13th, and it was good for a 1.75% move up from that day’s close to intraday high 6 days later, before we stalled and pulled back a little.
PNC up and out
#Earnings I played this one exactly right… slightly bearish lean. Today’s +3.1% day is the highest one-day move up after earnings since January 2013. So, expiring with 3.00 exercise cost, $PNC #IronCondor, sold yesterday for 2.00.
SPX 1-dte
#SPX1dte Closed $SPX Apr 15th 2850/2830 put spreads and 2920 short calls for 1.40 total. Sold yesterday for 1.25. Leaving the 2940 long calls. Upside warning being reinstated today (VIX lowest since early October) and traded within expected move, so I’m out. May try to sell another same-day on Monday morning. The one from today is expiring:
SPX Apr 12th 2860/2880-2920/2935, sold for .80 this morning.
Econ Calendar for week of 4/15/19
Shortened week with Good Friday holiday.
Link to calendar: https://us.econoday.com/byweek.asp?day=15&month=4&year=2019&cust=us&lid=0
GS earnings analysis
#Earnings $GS reports Monday morning. Below are details on earnings one-day moves over the last 12 quarters.
Since expiration is not until next Friday, I checked 5-day moves and they are slightly bigger than the one-day moves, but not a huge difference.
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%
April 19, 2016 BO +2.28%
Avg (+ or -) 2.69%
Bias 0.13%, no significant bias on earnings.
With stock at 207.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 197.93 to 217.07
Based on AVERAGE move over last 12 quarters: 201.91 to 213.09
Based on MAXIMUM move over last 12 Q’s (9.5%): 187.70 to 227.30
Based on DOWN max only (-4.7%): 197.73
Open to requests for other symbols.
SPX 0-dte
#SPX1dte Since I sold Monday’s condor yesterday, selling today’s today.
Sold $SPX Apr 12th 2865/2885-2920/2935 condors for .80. Tight leash… if we get a face-blasting rally I’ll back out.
Upside Warning probably reaffirmed
#VIXIndicator With a $VIX close at 13.54 or lower today, a”minor” upside warning will fire, reaffirming market’s upside bias in the absence of any significant pullback materializing. Should mean another leg higher next week.
SPX 1-dte
#SPX1ste Sold $SPX Apr 15th 2830/2850-2920/2940 condor for 1.25 (IV 7.23%, SPX 2890)
With low IV and sideways market, placing today’s trade a bit earlier and more aggressively than usual.
PNC (slightly) bearish condor
#Earnings Sold $PNC Apr 12th 124/127-128/131 #IronCondor for 2.00.
Risking 1.00 to make 2.00. Sightly bearish due to its recent history.
Be wary of the banks?
https://www.wsj.com/articles/no-spring-thaw-in-store-for-banks-11554908159
PNC earnings analysis
#Earnings $PNC reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Comparing 1-point-wide, 3-point-wing #IronCondor trades, PNC comes out with a much better R/R than does $JPM. PNC has a slightly lower average move, but weighted toward downside.
Jan. 16, 2019 BO +0.07%
Oct. 12, 2018 BO -5.58% Biggest DOWN
July 13, 2018 BO +0.23%
April 13, 2018 BO -4.11%
Jan. 12, 2018 BO +0.23%
Oct. 13, 2017 BO -1.12%
July 14, 2017 BO -0.11%
April 13, 2017 BO -0.17%
Jan. 13, 2017 BO +0.72% Biggest UP
Oct. 14, 2016 BO +0.10%
July 15, 2016 BO -0.96%
April 14, 2016 BO -0.56%
Avg (+ or -) 1.16%
Bias -0.94%, negative bias on earnings.
With stock at 128.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 124.74 to 132.26
Based on AVERAGE move over last 12 quarters: 127.01 to 129.99
Based on MAXIMUM move over last 12 Q’s (5.6%): 121.33 to 135.67
Based on UP max only (+0.7%): 129.43
Open to requests for other symbols.
JPM earnings analysis
#Earnings $JPM reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
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%
April 13, 2016 BO +4.23% Biggest UP
Avg (+ or -) 1.30%
Bias 0.14%, no significant directional bias on earnings.
With stock at 106.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 104.08 to 108.92
Based on AVERAGE move over last 12 quarters: 105.12 to 107.88
Based on MAXIMUM move over last 12 Q’s (4.2%): 102.00 to 111.00
Based on DOWN max only (-2.7%): 103.62
Open to requests for other symbols.
SPX 1-dte call side closed
#SPX1dte BTC $SPX April 10th 2900 calls for .10. Closing before FOMC minutes released at 2p ET. Condor sold for .80 yesterday.
BBBY earnings analysis
#Earnings $BBBY reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
Jan. 9, 2019 AC +16.55% Biggest UP
Sept. 26, 2018 AC -20.99% Biggest DOWN
June 27, 2018 AC -3.81%
April 11, 2018 AC -19.95%
Dec. 20, 2017 AC -12.49%
Sept. 19, 2017 AC -15.87%
June 22, 2017 AC -12.12%
April 5, 2017 AC +3.38%
Dec. 21, 2016 AC -9.17%
Sept. 21, 2016 AC +0.74%
June 22, 2016 AC +1.50%
April 6, 2016 AC +0.32%
Avg (+ or -) 9.74%
Bias -5.99%, strong negative bias on earnings.
With stock at 18.90 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 16.52 to 21.28
Based on AVERAGE move over last 12 quarters: 17.06 to 20.74
Based on MAXIMUM move over last 12 Q’s (13.1%): 14.93 to 22.87
Based on UP max only (+16.6%): 22.03
Open to requests for other symbols.
SPX 1-dte
#SPX1dte Sold $SPX Apr 10th 2825/2845-2900/2925 condors for .80. (IV: 8.99%, SPX: 2877)
T puts
#ShortPuts #PieTrades Sold $T July 32 puts for 1.50.
DAL earnings analysis
#Earnings $DAL reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters.
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%
April 14, 2016 BO +0.93%
Avg (+ or -) 1.97%
Bias 1.41%, strong positive bias on earnings.
With stock at 57.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 54.79 to 59.21
Based on AVERAGE move over last 12 quarters: 55.88 to 58.12
Based on MAXIMUM move over last 12 Q’s (13.1%): 54.29 to 59.71
Based on DOWN max only (-1.8%): 56.00
Open to requests for other symbols.
SPX 9-dte
#SPX1dte Another roll: Sold $SPX Apr 17th (weekly) 2815/2840-2925/2950 condors for 4.95.(IV: 10.38%, SPX: 2893)
Also expiring today: Apr 8th 2835/2855-2915/2925 condors, sold Friday for .70.
SPX 1-dte
#SPX1dte Sold $SPX Apr 8th 2835/2855-2915/2925 condors for .70 (IV: 6.21%, SPX: 2889)
Everything is Awesome
$SPY – Initial Claims Suggest Significant New Highs For S&P 500 https://t.co/QPUL5fNze8
— Seeking Alpha (@SeekingAlpha) April 5, 2019
Econ calendar for week of 4/8/19
Jerome Powell gets yappy next week
Link to calendar: https://us.econoday.com/byweek.asp?day=8&month=4&year=2019&cust=us&lid=0
T puts closed
#ShortPuts #PieTrades BTC $T April 18th 31 puts for .15. Sold for 1.60 on Jan 22nd.
Replicated my Oct 24th-Jan 18th successful trade. This time it was Jan 22nd to April 18th.
Assignment would be fine on a high-div tock, becomes a PieTrade with covered calls.
I will look to sell July puts in the coming days.
March Jobs Report
#Jobs Improvement over February lows
+196,000 non-farm payroll jobs, vs. 175K expected
Unemployment at 3.8%, unchanged
U6 unemployment at 7.3%, unchanged
Wages up 0.1%, 3.2% year over year
Labor force participation 63.0%, down by 0.2
February revised up from 20K to 33K
January revised up from 311K to 312K
SPX 1-dte
#SPX1dte Sold $SPX Apr 5th 2825/2845-2910/2925 condors for .95 (IV: 10.36% SPX: 2877)
STZ out
#Earnings #DoubleCalendar Sold to close $STZ Apr5/Apr12 180 dbl cals for .51 (avg price). Bought yesterday for .785
As I commented below, today’s action is an indication that earnings released in the AM may tend to have more intraday movement than those that report the night before. This is because the conference call will start or continue into the trading hours. For reports in the afternoon, all of the info has been absorbed over night and that could mean less movement.
So, waiting this morning was not such a good idea, because with the perfect opening we need to grab the profit before the ongoing conference call affects the price.
SPX condor roll
#SPX1dte #VIXIndicator No upside warning today so I’m selling both sides:
Sold $SPX April 12th 2800/2825-2910/2935 condors for 6.30 (IV 11.82%, SPX 2875)
Double Calendar Webinar recording
#Webinars #Earnings #DoubleCalendar Please include any questions in the comments below!
STZ double calendar
#Earnings #DoubleCalendar Bought to Open $STZ Apr05/Apr12 180 dbl cal for .78 & .80.
Webinar on Double Calendars
Link for today’s webinar is below!
Topic: Double Calendars on Earnings
Time: Apr 3, 2019 11:00 AM Pacific Time (US and Canada)
Join Zoom Meeting
https://zoom.us/j/558920979
Options Bistro 