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  • #5,841
  • Nov 12, 2014 1:50am Nov 12, 2014 1:50am
looking at the EWZ sales for Tue, somebody did 300x the following put spread for $0.55 debit when EWZ was trading at $40.52. b/e is at $41.25, with max P=$116.80 around $45.00....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,842
  • Nov 12, 2014 1:59am Nov 12, 2014 1:59am
Quoting The Fool
looking at the EWZ sales for Tue, somebody did 300x the following put spread for $0.55 debit when EWZ was trading at $40.52. b/e is at $41.25, with max P=$116.80 around $45.00....
not sure why Feb was chosen for the long puts - you could do Dec $44 puts instead for a $0.05 credit, but it pushes the b/e out to $41.75
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,843
  • Nov 12, 2014 2:30am Nov 12, 2014 2:30am
lotsa options activity in GDX last few days, IVR is high
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,844
  • Edited 7:00am Nov 12, 2014 2:43am | Edited 7:00am
GDX Dec/Jan $20/$21 call diagonal is ~risk free to the downside, b/e at $21 upside, Max P=$0.35 between $19.50-$20.00 - at Dec expiry...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,845
  • Nov 12, 2014 5:45am Nov 12, 2014 5:45am
Quoting The Fool
https://www.tastytrade.com/tt/daily_...4?locale=en-US I am glad to see that they address this topic, because I have been thinking about POST-ER entries: post-ER, iv has crashed and sets up an entry for a 2-3 month calendar, options have gotten cheap and sets you up for cheap debit spread entries - fading a big move post-ER seems like it would work often, but let's...
Watching that right now...
Hope is dangerous in this game.
  • #5,846
  • Nov 12, 2014 5:54am Nov 12, 2014 5:54am
Quoting The Fool
lotsa options activity in GDX last few days, IVR is high {image}
double the volume on GDX so a large move on the way, Its at historic lows so the obvious assumption would be long but GOLD could go either way, may lokk for a long term strangle and once I know then may sell against bring my costs down
  • #5,847
  • Nov 12, 2014 6:06am Nov 12, 2014 6:06am
Quoting Cecil Gee
{quote} double the volume on GDX so a large move on the way, Its at historic lows so the obvious assumption would be long but GOLD could go either way, may lokk for a long term strangle and once I know then may sell against bring my costs down
Exactly.... it can hover around these levels also, for quite some time.

About post earnings moves
Logically in bull market an large up move after earnings will tend to continue. Lets look what will happen to FOSL. I have looked at it yesterday, and after seeing some extreme outlier moves on that stock (just check May 2012), decided to either do a 94/96 + 111/113 Iron Condor on it, or nothing. Stock traded for $103.xx and closed at $103.75. In AH it was up 16%, almost to the $120 level... estimated move was 7%.... Today in premarket, lots of that move evaporated, so now it is up like "only" 9%... Considering that - maybe it could be nice speculation to buy the dip here. Either by go long weekly calls after first hour when vol crush takes extra IV, OR by selling a put spread right on open. Bid/ask spread could be the problem.
Hope is dangerous in this game.
  • #5,848
  • Nov 12, 2014 6:22am Nov 12, 2014 6:22am
Quoting StrayDog
{quote} Exactly.... it can hover around these levels also, for quite some time. About post earnings moves Logically in bull market an large up move after earnings will tend to continue. Lets look what will happen to FOSL. I have looked at it yesterday, and after seeing some extreme outlier moves on that stock (just check May 2012), decided to either do a 94/96 + 111/113 Iron Condor on it, or nothing. Stock traded for $103.xx and closed at $103.75. In AH it was up 16%, almost to the $120 level... estimated move was 7%.... Today in premarket, lots...
i'll add that to my list to check out
  • #5,849
  • Nov 12, 2014 7:26am Nov 12, 2014 7:26am
Quoting The Fool
https://www.tastytrade.com/tt/daily_...4?locale=en-US I am glad to see that they address this topic, because I have been thinking about POST-ER entries.....
Hey TF! I am watching another video on the same topic, by Slim from tastytrade:

High Volume Earnings Gaps

Slim examines trading stocks after both upside and downside earnings gaps. Slim looks at 10 stocks : BWA, QCOM, SSYS, DDD, FB, PCLN, FSLR, CMG, PNRA and NFLX. Slim's study spanned 2 earnings cycles. His study found in the first cycle that 91% of the upward gaps continued, and that 100% continued in the 2nd cycle. Slim's study revealed a 68% continuation rate on downside gaps in the first cycle and 54% rate in the second cycle.
Hope is dangerous in this game.
  • #5,850
  • Nov 12, 2014 7:34am Nov 12, 2014 7:34am
Quoting Cecil Gee
{quote} double the volume on GDX so a large move on the way, Its at historic lows so the obvious assumption would be long but GOLD could go either way, may lokk for a long term strangle and once I know then may sell against bring my costs down
gold futures up a little, I will probably do the GDX call diagonal shown above, may try legging in to get into it for a small credit. Gold is going down further eventually imo, but I'd guess we may consolidate here for a while and GDX will bounce a bit. If I'm wrong, the downside risk will be negligible...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,851
  • Nov 12, 2014 7:46am Nov 12, 2014 7:46am
Quoting StrayDog
{quote} Hey TF! I am watching another video on the same topic, by Slim from tastytrade: High Volume Earnings Gaps Slim examines trading stocks after both upside and downside earnings gaps. Slim looks at 10 stocks : BWA, QCOM, SSYS, DDD, FB, PCLN, FSLR, CMG, PNRA and NFLX. Slim's study spanned 2 earnings cycles. His study found in the first cycle that 91% of the upward gaps continued, and that 100% continued in the 2nd cycle....
Well, on any given Sunday..(did you see that movie?) - I mean, anything can happen and I think you have to look at Slim's sample period to see if he was looking at those names during the epic bull run we are in (probably).

I have made money fading after earnings moves, lost money, too. I think I would look more now at getting into a 2-3 month calendar or diagonal spread after the ER - the options have cheapened because IVR has come way down, and if you're 2-3 months out you can catch the IVR ramp-up into the next earnings cycle...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,852
  • Edited 8:53am Nov 12, 2014 8:39am | Edited 8:53am
Quoting StrayDog
........ A few moments ago, CSIQ traded @ $31.26 - I did a 26/37 Nov short strangle for $1.00 credit, 11 DTE. .
Closed that strangle for $0.55... CSIQ was +9.4% in premarket, with EM of up to 11%, so I rushed to close position, because I am afraid it could rally today. Nice that almost 2/3 of premarket move was gone before open, BUT i don't want to risk a BTFD rally. So, 45% winner.

Add-on:
Note to myself: Pfff... I was looking to another strangle and just bitching to myself how could I close that... Yeah, probably could get better price, anyway.

Talking about a rally here - it is actually GOING DOWN NOW...

About IV crush
Those options that I did yesterday - 26 puts and 37 calls Nov monthlies - had IV of about 120%, with 11 DTE. A few moments ago, it was ~90%.

I posted picture with Robyn from dough traders on previous page, she did short strangle 1 strike closer than me, with weeklies - 27 puts and 36 calls - those options had IV of 160-170% with 3 DTE, which is now 102% and 130%
Hope is dangerous in this game.
  • #5,853
  • Nov 12, 2014 9:50am Nov 12, 2014 9:50am
Amazing price action on CSIQ... Roller coaster type. From +9.4% in premarket to -8.4%....

Attached Image


My apologies to author of this, for small changes
Hope is dangerous in this game.
  • #5,854
  • Nov 12, 2014 2:17pm Nov 12, 2014 2:17pm
Quoting The Fool
gold futures up a little, I will probably do the GDX call diagonal shown above, may try legging in to get into it for a small credit. Gold is going down further eventually imo, but I'd guess we may consolidate here for a while and GDX will bounce a bit. If I'm wrong, the downside risk will be negligible...
no to the GDX trade....USD strength continuing, wti looks headed for $75, fiber $1.21...remains to be seen what effect on US indices...could be negative the more oil drops & the stronger USD gets
"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,855
  • Edited 6:37pm Nov 12, 2014 6:05pm | Edited 6:37pm
YHOO indefatigabubble, I have been hearing YHOO fair value $56, but it is looking pretty teetery, maybe a DDD would work out well. One below is safe between $46.50 and $56.50......I might just skip the put side, the call side gets put on for a $0.03 debit, $50/contract margin, returns $0.33 if you hit it right at the Dec expiry, around $54.70, if YHOO drops you lose some chicken feed, I will look for better opps to benefit from a drop...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,856
  • Nov 12, 2014 7:33pm Nov 12, 2014 7:33pm
Quoting The Fool
{quote} no to the GDX trade....USD strength continuing, wti looks headed for $75, fiber $1.21...remains to be seen what effect on US indices...could be negative the more oil drops & the stronger USD gets
still snooping around gold & miners, if gold to drop more maybe a DD spread will work. The Dec/Jan $108/$106 puts below profits between $105.50 and $115.50, with max P=$0.96 at $108.60 at expiry. $0.15 debit puts it on for $200/contract....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,857
  • Nov 12, 2014 8:09pm Nov 12, 2014 8:09pm
right, so if you haven't noticed, the quest is for cheap debit spreads with good profit potential. Gotta be on the right side of the market, but if you're not, you just lose that small debit. However, I kinda like an AAPL call calendar....
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,858
  • Nov 13, 2014 1:31am Nov 13, 2014 1:31am
I use the ToS Spread Book utility to look at spreads that have been entered - you can search by type (calendar, diag, etc) and then sort by debit/credit size, etc. Noticed this one ( and similar) on EEM. With EEM trading at $41.21 today, this calendar is a bet that it will fall into the new year. The conventional wisdom is that em's will fall if/when the Fed begins raising rates....the latter will slow or turn back the US bull market also.

Best outcome below is EEM finishes Jan cycle just below $37 and the $0.25 risk returns $0.48 max. I saw $39's also...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,859
  • Nov 13, 2014 2:20am Nov 13, 2014 2:20am
/ES futures pointing to more upside Thurs. I would like to see some fat red candles.
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #5,860
  • Nov 13, 2014 2:34am Nov 13, 2014 2:34am
which do you think has a better chance over the next month?
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