#LongCalls Sold $SPY Mar 8th 277.5 calls for 4.95. Bought for 1.72, avg price. Still holding more.
Author Archives: Jeff
SHAK earnings analysis
#Earnings — $SHAK reports tonight. Below are details on earnings one-day moves over the last 12 quarters. (5-day results had HIGHER extremes, meaning stock often continues in same direction after first day).
Nov. 1, 2018 AC -13.88% Biggest DOWN
Aug. 2, 2018 AC -11.88%
May 3, 2018 AC +18.01% Biggest UP
Feb. 15, 2018 AC -7.71%
Nov. 1, 2017 AC -3.36%
Aug. 3, 2017 AC -5.45%
May 4, 2017 AC +9.20%
March 1, 2017 AC -2.63%
Nov. 9, 2016 AC +10.67%
Aug. 10, 2016 AC -6.19%
May 12, 2016 AC +9.74%
March 7, 2016 AC -11.83%
Avg (+ or -) 9.21%
Bias -1.28%, negative bias on earnings.
With stock at 53.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 47.81 to 58.19
Based on AVERAGE move over last 12 quarters: 48.12 to 57.88
Based on MAXIMUM move over last 12 Q’s (18.0%): 43.45 to 62.55
Open to requests for other symbols.
M earnings analysis
#Earnings — $M reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters. (5-day results had roughly the same extremes).
Nov. 14, 2018 BO -7.18%
Aug. 15, 2018 BO -15.94%
May 16, 2018 BO +10.82%
Feb. 27, 2018 BO +3.46%
Nov. 9, 2017 BO +10.98%
Aug. 10, 2017 BO -10.24%
May 11, 2017 BO -17.00% Biggest DOWN
Feb. 21, 2017 BO -0.03%
Nov. 10, 2016 BO +5.60%
Aug. 11, 2016 BO +17.08% Biggest UP
May 11, 2016 BO -15.16%
Feb. 23, 2016 BO +3.04%
Avg (+ or -) 9.71%
Bias -1.21%, negative bias on earnings.
With stock at 24.70 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 22.22 to 27.18
Based on AVERAGE move over last 12 quarters: 22.30 to 27.10
Based on MAXIMUM move over last 12 Q’s (17.1%): 20.48 to 28.92
Open to requests for other symbols.
AZO trade
#Earnings Sold $AZO March 1st 855/860-940/945 condors for 2.30. Fairly close to 1:1 R/R, but only at the average historical move, so definitely risky.
AZO earnings analysis
#Earnings — $AZO reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters. (5-day results were actually less extreme, meaning extreme moves were faded after first day).
Dec. 4, 2018 BO +6.74% Biggest UP
Sept. 18, 2018 BO -1.97%
May 22, 2018 BO -9.48%
Feb. 27, 2018 BO -11.06%
Dec. 5, 2017 BO +0.42%
Sept. 19, 2017 BO -5.00%
May 23, 2017 BO -11.84% Biggest DOWN
Feb. 28, 2017 BO -0.58%
Dec. 6, 2016 BO +0.43%
Sept. 22, 2016 BO -0.42%
May 24, 2016 BO +2.47%
March 1, 2016 BO +2.06%
Avg (+ or -) 4.37%
Bias -2.35%, negative bias on earnings (1-day), but 5-day results show no bias… extreme negative moves were faded over the following days.
With stock at 900.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 853.07 to 946.93
Based on AVERAGE move over last 12 quarters: 860.65 to 939.35
Based on MAXIMUM move over last 12 Q’s (11.8%): 793.44 to 1,006.56
Open to requests for other symbols.
SPX 1-dte
#SPX1dte Sold to Open $SPX Feb 25th 2735/2755-2815/2830 condors for 1.05. (IV: 7.3%, SPX 2788)
Expiring today: Feb 22nd condor, sold yesterday for .90
Econ Calendar for week of 2/25/18
Jerome Powell speaks Tuesday and Wednesday
GDP report Thursday
#Jobs report will be released the following week, on Friday, March 8th
Link to calendar: https://us.econoday.com/byweek.asp?day=1&month=3&year=2019&cust=us&lid=0
HLF closed
#Earnings Sold to close $HLF Feb22/Mar01 57.5 #DoubleCalendar for .78. Bought for .45 on Tuesday. Price started fading from its highs so I don’t think we’re making it up to 57.50 today.
I’m waiting on $AAOI until the bitter end. Looks like we may get a 14.50 pin.
TQQQ calls
#LongLEAPs #SyntheticCoveredCalls
Sold to Open $TQQQ March 8th 50 calls for 2.15. Replacing the ones I closed yesterday.
SPY calls
#LongCalls Starting to sell $SPY March 8th 277.5 calls, bought for 1.73 avg price. Sold some for 3.30 today.
FLR closed
#Earnings Sold to close $FLR #DoubleCalendar for .77. Bought for .44 yesterday. Stock is starting to rally so closed before it got away from me.
STMPed out
Stamps .com @STMP gapped down 54% on earnings at the open this AM. Since 2001, just 11 other stocks have gapped down 50%+ on earnings out of ~150,000 reports. A 0.007% event. Here's the list from our Earnings Screener: https://t.co/vFFMKBVnKu pic.twitter.com/u8ZXsv9G3C
— Bespoke (@bespokeinvest) February 22, 2019
TQQQ calls
#LongLEAPs #SyntheticCoveredCalls
Bought to close $TQQQ Feb 22nd 48 calls for 1.70. Sold for 2.20 on Feb 12th. Will sell more tomorrow.
Dub Cals
Bought $AAOI Feb22/Mar01 14.5 dbl cals for .27
Bought $FLR Feb22/Mar01 38 dbl cals for .45
SPX 1-dte
#SPX1dte Sold to Open $SPX Feb 22nd 2725/2745-2805/2825 condors for .90. (IV: 10.17%, SPX 2774)
Z earnings analysis
#Earnings — $Z reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 6, 2018 AC -26.92% Biggest DOWN
Aug. 6, 2018 AC -14.77%
May 7, 2018 AC -1.44%
Feb. 8, 2018 AC -2.67%
Nov. 7, 2017 AC +2.67%
Aug. 8, 2017 AC -9.05%
May 4, 2017 AC +9.29%
Feb. 7, 2017 AC -6.37%
Nov. 1, 2016 AC +6.32%
Aug. 4, 2016 AC -4.73%
May 3, 2016 AC +12.05% Biggest UP
Feb. 11, 2016 AC -0.89%
Avg (+ or -) 8.10%
Bias -3.04%, negative bias on earnings.
With stock at 34.20 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 30.28 to 38.12
Based on AVERAGE move over last 12 quarters: 31.43 to 36.97
Based on MAXIMUM move over last 12 Q’s (26.9%): 24.99 to 43.41
Open to requests for other symbols.
ROKU earnings analysis
#Earnings — $ROKU reports tonight. Below are details on earnings one-day moves over its entire history.
Nov. 7, 2018 AC -22.29% Biggest DOWN
Aug. 8, 2018 AC +21.31%
May 9, 2018 AC -1.71%
Feb. 21, 2018 AC -17.71%
Nov. 8, 2017 AC +54.93% Biggest UP
Avg (+ or -) 23.59%
Bias 6.91%, positive bias on earnings.
With stock at 52.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 44.88 to 59.12
Based on AVERAGE move over last 12 quarters: 39.73 to 64.27
Based on MAXIMUM move over last 12 Q’s (54.9%): 23.44 to 80.56
Open to requests for other symbols.
BIDU earnings analysis
#Earnings — $BIDU reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Oct. 30, 2018 AC +3.64%
July 31, 2018 AC -7.73%
April 26, 2018 AC +5.54%
Feb. 13, 2018 AC +4.56%
Oct. 26, 2017 AC -8.15% Biggest DOWN
July 27, 2017 AC +9.45%
April 27, 2017 AC -4.06%
Feb. 23, 2017 AC -5.12%
Oct. 27, 2016 AC +2.56%
July 28, 2016 AC -3.64%
April 28, 2016 AC +4.45%
Feb. 25, 2016 AC +9.84% Biggest UP
Avg (+ or -) 5.73%
Bias 0.95%, positive bias on earnings.
With stock at 171.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 161.90 to 180.10
Based on AVERAGE move over last 12 quarters: 161.20 to 180.80
Based on MAXIMUM move over last 12 Q’s (9.8%): 154.17 to 187.83
Open to requests for other symbols.
OLED earnings analysis
#Earnings — $OLED reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
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
Feb. 23, 2017 AC +20.08%
Nov. 3, 2016 AC +2.98%
Aug. 4, 2016 AC -8.01%
May 5, 2016 AC -0.76%
Feb. 25, 2016 AC -11.45%
Avg (+ or -) 11.69%
Bias 2.05%, positive bias on earnings.
With stock at 117.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 105.41 to 129.59
Based on AVERAGE move over last 12 quarters: 103.77 to 131.23
Based on MAXIMUM move over last 12 Q’s (23.9%): 89.45 to 145.55
Open to requests for other symbols.
SPX 44-dte
#SPX1dte Selling a longer-term to make up for today’s loss and also for the helluvit.
Sold to Open $SPX April 5th 2525/2550/2925/2950 condors for 2.60. (IV 14.54%, SPX 2785)
SQ calls closed
#LongLEAPs #SyntheticCoveredCalls Bougt to close $SQ Feb 22nd 77 calls for .50. Sold for 2.05 last Wednesday
Exiting NTAP
#Earnings #LongStock #Assignment #DoubleCalendar
Sold half of my stock for 65.00 and 65.45. Assigned via 68 puts last week… cost basis 64.79. Looking to unload all of it; no interest in making this a longer term holding.
NTES earnings analysis
#Earnings — $NTES reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 14, 2018 AC +5.31%
Aug. 8, 2018 AC -10.96%
May 16, 2018 AC -7.45%
Feb. 7, 2018 AC -6.27%
Nov. 15, 2017 AC +7.85%
Aug. 9, 2017 AC -9.77%
May 10, 2017 AC -0.82%
Feb. 15, 2017 AC +14.08% Biggest UP
Nov. 9, 2016 AC -9.22%
Aug. 17, 2016 AC -2.67%
May 11, 2016 AC +0.43%
Feb. 24, 2016 AC -14.80% Biggest DOWN
Avg (+ or -) 7.47%
Bias -2.86%, negative bias on earnings.
With stock at 234.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 216.53 to 251.47
Based on AVERAGE move over last 12 quarters: 216.52 to 251.48
Based on MAXIMUM move over last 12 Q’s (14.8%): 199.37 to 268.63
Open to requests for other symbols.
FOMC minutes today
2pm ET
HLF dub cal
#Earnings Bought to Open $HLF Feb22/Mar01 57.5 #DoubleCalendar for .45. (Got it for .42 in a TOS account)
SPX 1-dte LONG
#SPX1dte Premium just too low to sell, so I chose long today.
Bought to Open $SPX Feb 20th 2735/2750-2815/2820 condors for .50. (IV 9.56%, SPX 2786)
15-wide on put side and only 5-wide on call side. Not too far OTM so any reasonable move toward these should give me at least a small profit… but not expecting much!
HLF earnings analysis
#Earnings — $HLF reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Tue 10/30/2018 AC -2.61%
Wed 08/01/2018 AC +13.03%
Thu 05/03/2018 AC +4.47%
Thu 02/22/2018 AC +3.00%
Thu 11/02/2017 AC -2.92%
Tue 08/01/2017 AC -1.95%
Thu 05/04/2017 AC +11.57%
Thu 02/23/2017 AC -4.51%
Tue 11/01/2016 AC -6.19% Biggest DOWN
Wed 08/03/2016 AC +0.74%
Thu 05/05/2016 AC +9.08%
Thu 02/25/2016 AC +20.52% Biggest UP
Avg (+ or -) 6.72%
Bias 3.69%, strong positive bias on earnings.
With stock at 99.30 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 53.81 to 61.19
Based on AVERAGE move over last 12 quarters: 53.64 to 61.36
Based on MAXIMUM move over last 12 Q’s (20.5%): 45.70 to 69.30
Open to requests for other symbols.
NUGT calls
#ContangoETFs $NUGT peeking above its recent highs. Sold June 30 calls for 1.35.
Final Trades and Expirations
#Earnings Sold to close $UAA Feb 15th 21 calls for .16. This was a sad one; bought the #LongStraddle for 2.50… the swings this week afforded opportunities to cut the loss to less than half, but my orders barely missed getting filled again and again. So although I did sell a few for 1.60, the stock ended the week right at my strike… not good for a long straddle!
#CoveredCalls #Assignment $PVTL stock called away via 18 and 19 calls. This was a September earnings trade, was assigned at 22.50 and through multiple rounds of covered calls I’m exiting at about break-even.
#DoubleCalendar Taking assignment of $NTAP stock, cost basis 64.79.
#IronCondor Closed $DECK short 145 calls for 1.30. Was able to exit some at .50 and .20, so overall this trade will be a small winner or a small loser across my accounts. Condor sold for .86 on Jan 31st.
Double Calendar performance
#Earnings #DoubleCalendar Here’s the performance this quarter of double calendars. It is performing better than last quarter, with over $1,700 in profit, using 5-lots.
NOTE: NTAP here is accounted as full loss, even though I will probably hold stock in to next week.
NOTE ALSO: INTC here is accounted as taking stock assignment and then closing all a week later. What I actually did was close only half, and converted the other half of stock into a #PieTrade.
AMAT closed
#Earnings Sold to close $AMAT Feb15/Feb22 #DoubleCalendar for .28. Bought yesterday for .52. Couldn’t get off its ass enough to make it a winner.
SPX 1-dte
#SPX1dte Expiring: $SPX Feb 15th condor, sold yesterday for .85
Sold to Open $SPX Feb 19th 2705/2725-2800/2820 condors for 1.05 (IV: 7.7%, SPX 2768)
SPX ATM put spread closed
#SPX1dte Bought to close $SPX Feb 20th 2725/2700 put spread for 1.30. Sold for 8.40 on Feb 5th. Sold this as Upside Warning was firing, and sat through an uncomfortable dip before it came through. I don’t know how much more steam this rally has, so I’m taking it off to avoid weekend risk.
Econ Calendar for week of 2/18/19
FOMC minutes at 2pm ET on Wednesday
Link to calendar: https://us.econoday.com/byweek.asp?day=18&month=2&year=2019&cust=us&lid=0
TAPped out
$Earnings Closed $TAP Feb15/Feb22 65 #DoubleCalendar. I needed to close the puts, tried to play the swings but then stock started rallying so took an additional .30 loss on the exit. Calendar bought for .34 on Monday.
WMT earnings analysis
#Earnings — $WMT reports Tuesday morning (after Monday holiday). Below are details on earnings one-day moves over the last 12 quarters.
Nov. 15, 2018 BO -1.96%
Aug. 16, 2018 BO +9.33%
May 17, 2018 BO -1.90%
Feb. 20, 2018 BO -10.17% Biggest DOWN
Nov. 16, 2017 BO +10.89% Biggest UP
Aug. 17, 2017 BO -1.58%
May 18, 2017 BO +3.22%
Feb. 21, 2017 BO +2.99%
Nov. 17, 2016 BO -3.08%
Aug. 18, 2016 BO +1.87%
May 19, 2016 BO +9.58%
Feb. 18, 2016 BO -3.01%
Avg (+ or -) 4.97%
Bias 1.35%, positive bias on earnings.
With stock at 99.30 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 95.03 to 103.57
Based on AVERAGE move over last 12 quarters: 94.37 to 104.23
Based on MAXIMUM move over last 12 Q’s (10.9%): 88.49 to 110.11
Open to requests for other symbols.
CSCO closed
#Earnings Sold to Close $CSCO Feb15/Feb22 47.5 #DoubleCalendar for .30. Bought for .18 on Wednesday. Stock came down enough for a small profit, but was too far from strike to make it a good one.
NTAP dub cal
#Earnings #DoubleCalendar Was assigned stock on over half of my position in $NTAP; Feb 15th 68 short puts. I just sold the Feb 22nd LONG puts for 3.60. I will now watch for some intraday strength in the stock to sell the stock, as well as cover the remaining short puts that were not assigned. If I can net a .39 difference (the price of the original double calendar), the trade will be breakeven. Higher and it will turn a profit.
Hall of Presidents
Back by popular demand, in observance of Presidents’ Day, it’s the Hall of Revolving Presidents. Click “Home/Refresh” or refresh your browser to change the featured President.
AMAT dub cal
#Earnings #DoubleCalendar Bought to open $AMAT Feb15/Feb22 41 dbl cals for .52
SPX 1-dte
#SPX1dte Closed $SPX monthly condor for .35. Sold yesterday for 1.00
Sold $SPX Feb 15th 2685/2705-2785/2805 condors for .85. (IV 13.2%, SPX 2751)
Also, bought to close $SPX Feb 22nd 2670/2650 put spreads for 1.00. Sold for 3.45 on Feb 4th. Still holding the Feb 20th 2725/2700 put spreads, sold ATM for 8.40.
UVXY calls
#VXXGame Bought to open $UVXY April 100 calls for .60. I have these for Feb and Mar. Since Feb expire tomorrow adding the April batch. Will be used to sell lower strikes against if we get a re-test.
AMAT earnings analysis
#Earnings — $AMAT reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
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%
Feb. 15, 2017 AC -0.87%
Nov. 17, 2016 AC +0.03%
Aug. 18, 2016 AC +7.08%
May 19, 2016 AC +13.81% Biggest UP
Feb. 18, 2016 AC +7.04%
Avg (+ or -) 4.60%
Bias 1.41%, positive bias on earnings.
With stock at 40.75 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 38.47 to 43.03
Based on AVERAGE move over last 12 quarters: 38.88 to 42.62
Based on MAXIMUM move over last 12 Q’s (13.8%): 35.12 to 46.38
NVDA earnings analysis
#Earnings — $NVDA reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 15, 2018 AC -18.75% Biggest DOWN
Aug. 16, 2018 AC -4.90%
May 10, 2018 AC -2.15%
Feb. 8, 2018 AC +6.69%
Nov. 9, 2017 AC +5.26%
Aug. 10, 2017 AC -5.32%
May 9, 2017 AC +17.82%
Feb. 9, 2017 AC -2.37%
Nov. 10, 2016 AC +29.80% Biggest UP
Aug. 11, 2016 AC +5.59%
May 12, 2016 AC +15.20%
Feb. 17, 2016 AC +8.60%
Avg (+ or -) 10.20%
Bias 4.62%, positive bias on earnings.
With stock at 153.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 142.59 to 163.41
Based on AVERAGE move over last 12 quarters: 137.39 to 168.61
Based on MAXIMUM move over last 12 Q’s (29.8%): 107.41 to 198.59
Futures drop
Futures have given up all of their earlier gains after a slew of weaker than expected economic data.https://t.co/Cq39KWZ7Rg pic.twitter.com/oceTxPSkTB
— Bespoke (@bespokeinvest) February 14, 2019
SHOP fully closed
#Earnings Sold the last batch of $SHOP Feb15/Feb22 #DoubleCalendar for 3.10. Bought for 1.60 on Monday.
SPX 1-dte
#SPX1dte Sold to Open $SPX Feb 14th (monthlys) 2690/2710-2790/2810 condors for 1.00. These are monthlys, so they stop trading at Thursday’s close but settle Friday morning. I will close the trade before tomorrow’s close to avoid gap risk.
Expiring: Feb 13th condor, sold yesterday for 1.00.
NTAP dub cal
#Earnings Bought to Open $NTAP Feb15/Feb22 68 #DoubleCalendar for .39.
CSCO dub cal
#Earnings Bought to Open $CSCO Feb15/Feb22 47.5 #DoubleCalendar for .18.
Price has gone up on NTAP so looking to buy now.
NTAP and CSCO for earnings
#Earnings #DoubleCalendar Both $NTAP and $CSCO make very cheap double calendars. Especially NTAP, which can probably be bought for around .20 and may offer profits as high as 2.00, if there is not a super large move. Even with a modest move, this should still turn a profit, but if not, it’s only .20. CSCO will go for a similar price but will offer a lower return.
FOSL earnings analysis
#Earnings — $FOSL reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 7, 2018 AC +5.75%
Aug. 7, 2018 AC -11.63%
May 8, 2018 AC +9.06%
Feb. 13, 2018 AC +87.72% Biggest UP
Nov. 7, 2017 AC -17.22%
Aug. 8, 2017 AC -25.08%
May 9, 2017 AC -20.44%
Feb. 14, 2017 AC -14.82%
Nov. 3, 2016 AC +3.52%
Aug. 9, 2016 AC +0.69%
May 10, 2016 AC -29.07% Biggest DOWN
Feb. 16, 2016 AC +28.55%
Avg (+ or -) 21.13%
Bias 1.42%, slight positive bias on earnings.
With stock at 16.20 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 13.28 to 19.12
Based on AVERAGE move over last 12 quarters: 12.78 to 19.62
Based on MAXIMUM move over last 12 Q’s (87.7%): 1.99 to 30.41
YELP earnings analysis
#Earnings — $YELP reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 8, 2018 AC -26.59% Biggest DOWN
Aug. 8, 2018 AC +26.65%
May 10, 2018 AC -7.81%
Feb. 7, 2018 AC -14.04%
Nov. 1, 2017 AC -0.10%
Aug. 3, 2017 AC +27.66% Biggest UP
May 9, 2017 AC -18.35%
Feb. 9, 2017 AC -13.64%
Nov. 2, 2016 BO +9.94%
Aug. 9, 2016 AC +12.83%
May 5, 2016 AC +23.71%
Feb. 8, 2016 AC -2.30%
Avg (+ or -) 15.30%
Bias 1.50%, slight positive bias on earnings.
With stock at 38.75 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 33.76 to 43.74
Based on AVERAGE move over last 12 quarters: 32.82 to 44.68
Based on MAXIMUM move over last 12 Q’s (27.7%): 28.03 to 49.47
SQ calls
#LongLEAPs #SyntheticCoveredCalls
Sold $SQ Feb 22nd 77 calls for 2.05. Earnings are the following week.
Closing more SHOP
#Earnings Funny story. I have two orders in to sell at 2.75, both 1-lots. And I had another order to sell 3 for 3.00. Guess which one filled?
Sold $SHOP #DoubleCalendar for 3.00. Bought for 1.60 on Monday.
TQQQ calls
#LongLEAPs #SyntheticCoveredCalls
Still licking the wounds of last few weeks of calls being blown through.
Sold $TQQQ Feb 22nd 48 calls for 2.20
Closing more
#Earnings Sold to close partial $UAA Feb 15th 21 calls for 1.25.
Sold to close partial $SHOP dbl cals for 2.55
SPX 1-dte
#SPX1dte Sold $SPX Feb 13th 2690/2710-2775/2795 condors for 1.00. Slightly more aggressive, with a .07 delta, because .06 or below was not enough premium. (IV: 11.0%, SPX 2747)
ATVI earnings analysis
#Earnings — $ATVI reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 8, 2018 AC -12.39% Biggest DOWN
Aug. 2, 2018 AC -3.69%
May 3, 2018 AC +4.51%
Feb. 8, 2018 AC +1.90%
Nov. 2, 2017 AC -3.43%
Aug. 3, 2017 AC -3.06%
May 4, 2017 AC +1.37%
Feb. 9, 2017 AC +18.87% Biggest UP
Nov. 3, 2016 AC -3.85%
Aug. 4, 2016 AC -0.66%
May 5, 2016 AC +8.47%
Feb. 11, 2016 AC -7.86%
Avg (+ or -) 5.84%
Bias 0.02%, no bias on earnings.
With stock at 41.20 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 37.23 to 45.17
Based on AVERAGE move over last 12 quarters: 38.79 to 43.61
Based on MAXIMUM move over last 12 Q’s (18.9%): 33.43 to 48.97
TRIP earnings analysis
#Earnings — $TAP reports tonight. Below are details on earnings one-day moves over the last 12 quarters.
Nov. 7, 2018 AC +15.25%
Aug. 1, 2018 AC -11.22%
May 8, 2018 AC +22.79% Biggest UP
Feb. 14, 2018 AC +4.12%
Nov. 6, 2017 AC -23.22% Biggest DOWN
Aug. 8, 2017 AC +2.50%
May 9, 2017 AC +2.28%
Feb. 15, 2017 AC -10.96%
Nov. 8, 2016 AC -16.59%
Aug. 3, 2016 AC -8.49%
May 4, 2016 AC -1.72%
Feb. 11, 2016 BO +12.36%
Avg (+ or -) 10.96%
Bias -1.08%, slight negative bias on earnings.
With stock at 60.30 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 53.58 to 67.02
Based on AVERAGE move over last 12 quarters: 53.69 to 66.91
Based on MAXIMUM move over last 12 Q’s (23.2%): 46.30 to 74.30
Earnings chart update
#Earnings All of the tentative symbols on the list for today are now being estimated for morning of 2/20: CRON, ICPT, SINA, and WB.
Closing SHOP
#Earnings Sold to close partial $SHOP Feb15/Feb22 175 #DoubleCalendar for 2.10. Bought yesterday for 1.60. Price moving toward strike so trying to close the rest for higher credit.
$TAP Dbl Cal is tapping out. Will need to see if a bounce comes into Friday. This was cheap (.34), so no biggie.
$UAA no gap but drifting higher so this may turn out well. #LongStraddle bought for 2.50.
Earnings trades today
Bought $UAA Feb 15th 21 #LongStraddle for 2.50. Need a 11.9% move. Average has been 16.1%.
Bought $TAP Feb15/Feb22 65 #DoubleCalendar for .34. Super cheap!
Looking at a calendar for $SHOP, also cheap.
UAA earnings analysis
#Earnings — $UAA reports tomorrow morning. Below are details on earnings FIVE-day moves over the last 12 quarters. NOTE: symbol UAA only lists history starting 1/31/17. The data before that date is for symbol $UA (below the line).
Tue 10/30/2018 BO +30.29% Biggest UP
Thu 07/26/2018 BO -4.60%
Tue 05/01/2018 BO -2.25%
Tue 02/13/2018 BO +22.00%
Tue 10/31/2017 BO -29.25% Biggest DOWN
Tue 08/01/2017 BO -8.14%
Thu 04/27/2017 BO +7.40%
Tue 01/31/2017 BO -28.47%
——————————
Tue 10/25/2016 BO -21.24%
Tue 07/26/2016 BO -9.47%
Thu 04/21/2016 BO +6.00%
Thu 01/28/2016 BO +24.13%
Avg (+ or -) 16.10%
Bias -1.13%, slight negative bias on earnings.
With stock at 21.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 18.26 to 23.74
Based on AVERAGE move over last 12 quarters: 17.62 to 24.38
Based on MAXIMUM move over last 12 Q’s (30.3%): 14.64 to 27.36
SPX 1-dte
#SPX1dte Closed $SPX Feb 11th 2730 calls for .20. Stop level breached earlier.
TAP earnings analysis
#Earnings — $TAP reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters. (5-day range was roughly the same)
Oct. 31, 2018 BO +9.94% Biggest UP
Aug. 1, 2018 BO +3.47%
May 2, 2018 BO -15.40% Biggest DOWN
Feb. 14, 2018 BO +6.26%
Nov. 1, 2017 BO +0.21%
Aug. 2, 2017 BO +2.95%
May 4, 2017 BO +0.92%
Feb. 14, 2017 BO +3.41%
Nov. 1, 2016 BO +1.44%
Aug. 2, 2016 BO -0.05%
May 3, 2016 BO +1.59%
Feb. 11, 2016 BO -0.65%
Avg (+ or -) 3.86%
Bias 1.17%, positive bias on earnings.
With stock at 65.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 60.77 to 69.23
Based on AVERAGE move over last 12 quarters: 62.49 to 67.51
Based on MAXIMUM move over last 12 Q’s (15.4%): 54.99 to 75.01
SHOP earnings analysis
#Earnings — $SHOP reports tomorrow morning. Below are details on earnings one-day moves over the last 12 quarters. (5-day moves were similar, with a smaller range, meaning extreme 1-day moves are typically faded over the following days)
Oct. 25, 2018 BO +12.03% Biggest UP
July 31, 2018 BO -6.66%
May 1, 2018 BO -4.45%
Feb. 15, 2018 BO +0.28%
Oct. 31, 2017 BO -9.02% Biggest DOWN
Aug. 1, 2017 BO +5.77%
May 2, 2017 BO +7.40%
Feb. 15, 2017 BO +8.13%
Nov. 2, 2016 BO +6.84%
Aug. 3, 2016 BO +9.72%
May 4, 2016 BO -3.67%
Feb. 17, 2016 BO +9.12%
Avg (+ or -) 6.92%
Bias 2.96%, strong positive bias on earnings.
With stock at 177.00 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 159.33 to 194.67
Based on AVERAGE move over last 12 quarters: 164.74 to 189.26
Based on MAXIMUM move over last 12 Q’s (12.0%): 155.71 to 198.29
Econ Calendar for week of 2/11/19
Link to calendar: https://us.econoday.com/byweek.asp?cust=us
Upside Warning pullbacks
#VIXIndicator Since we’re in this pullback I looked back at other times we had a signficant pullback (more than 1%) after an Upside Warning fires. The chart below shows all of the instances since 1999.
Two of them resulted in no new highs, and we dropped significantly before the Upside Warning was technically canceled (the two rows with red in the right-most column). The other times all eventually went higher after the dip.
The center columns show the move 1-day, 2-days, etc, after the UpW. The right-hand columns show the number of days from the UpW to the new SPX high, and the percentage move to get there.
Also note that other than one time last April, this hasn’t happened any other time since 2011.
For me, the $VIX seems pretty unmoved by this week’s volatility and I still think we have higher to go before any major pullback.
SPX 1 die
#SPX1dte Expiring today : $SPX Feb 8th 2630/2655-2730/2755 condors, sold yesterday for .90
Sold to Open $SPX Feb 11th 2635/2655-2730/2745 condors for .80. Yes, this is broken-wing as I had to make the call side narrower because the 2750 spike has insufficient volume. (IV: 8.33%, SPX: 2700)
SPX 1 die
#SPX1dte Sold to Open $SPX Feb 8th 2630/2655-2730/2755 condors for .90 (IV: 12.8%, SPX 2697)
MAT earnings analysis
#Earnings $MAT reports tonight. Below are details on earnings one-day moves over its entire history.
Oct. 25, 2018 AC -2.81%
July 25, 2018 AC -4.17%
April 26, 2018 AC +1.35%
Feb. 1, 2018 AC +7.89%
Oct. 26, 2017 AC -8.91%
July 27, 2017 AC -7.79%
April 20, 2017 AC -13.56%
Jan. 25, 2017 AC -17.64% Biggest DOWN
Oct. 19, 2016 AC +6.00%
July 20, 2016 AC -0.30%
April 20, 2016 AC -5.78%
Feb. 1, 2016 AC +13.82% Biggest UP
Avg (+ or -) 7.50%
Bias -2.66%, negative bias on earnings.
With stock at 12.30 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 11.04 to 13.56
Based on AVERAGE move over last 12 quarters: 11.38 to 13.22
Based on MAXIMUM move over last 12 Q’s (17.6%): 10.13 to 14.47
Open for requests on other symbols.
SKX earnings analysis
#Earnings $SKX reports tonight. Below are details on earnings one-day moves over its entire history.
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%
Feb. 10, 2016 AC +3.93%
Avg (+ or -) 15.26%
Bias 0.23%, no significant bias on earnings.
With stock at 27.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 23.69 to 31.31
Based on AVERAGE move over last 12 quarters: 23.30 to 31.70
Based on MAXIMUM move over last 12 Q’s (41.4%): 16.10 to 38.90
Open for requests on other symbols.
FEYE and MPC closed
#Earnings Sold to close final $FEYE puts for 2.27.
Sold to close $MPC Feb08/Feb15 #DoubleCalendar for .85. Bought yesterday for .65
EXPE earnings analysis
#Earnings $EXPE reports tonight. Below are details on earnings one-day moves over its entire history.
Oct. 25, 2018 AC +2.49%
July 26, 2018 AC +9.53%
April 26, 2018 AC +8.19%
Feb. 8, 2018 AC -15.46%
Oct. 26, 2017 AC -15.98% Biggest DOWN
July 27, 2017 AC +3.40%
April 27, 2017 AC -1.82%
Feb. 9, 2017 AC -0.48%
Oct. 27, 2016 AC +4.12%
July 28, 2016 AC -2.19%
April 28, 2016 AC +8.20%
Feb. 10, 2016 AC +9.56% Biggest UP
Avg (+ or -) 6.79%
Bias 0.80%, slight positive bias on earnings.
With stock at 127.50 the data suggests these ranges:
Based on current IV (expected move into Friday per TOS): 118.87 to 136.13
Based on AVERAGE move over last 12 quarters: 118.85 to 135.15
Based on MAXIMUM move over last 12 Q’s (16.0%): 107.13 to 147.87
Open for requests on other symbols.
Adding to SPY
Bought some more $SPY March 8th 277.5 calls for 1.44, adding to what started yesterday. This pullback makes me worry about Upside Warning coming through, but not throwing in the towel unless it is sustained. Pullbacks have been known to happen after the Warning fires… threw me off in Sept 2017, and then got my face ripped off to the upside.
