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  • #6,121
  • Dec 4, 2014 12:53am Dec 4, 2014 12:53am
verde te quiero verde...what's set Shanghai on fire?
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,122
  • Dec 4, 2014 1:12am Dec 4, 2014 1:12am
Quoting The Fool
{quote} So Q4 earnings get going week of Jan 12, runs into the Jan monthly expiry, 38dte from now, with AA, and several of the banks. I will look over the list and see which look good for an iv runup. Some things that catch my eye are: (an asterix before the name indicates favorable i.v. rush/crush)... JPM 1/14; MS 1/15bmo; *CREE 1/19; *NFLX 1/20; *SNDK 1/20; *EBAY 1/21; *MSFT 1/21; *XLNX 1/21; BMY 1/22; *SBUX 1/22; TBC later Really gets rolling week of 1/26, AAPL is on 1/26 - AAPL IVR popped up this week on the little crash, maybe we can see that...
Been looking at the front week of Q4 earnings season, thinking calendars: none of the banks (MS, GS, JPM, etc) work well (within basic criteria of front strike dte = 1/2 of back strike dte, buying roughly 1 strike otm, looking to pay no more for the calendar than the front strike ask) - I can see why Liz & Jenny say they usually skip these in favor of better prey.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,123
  • Dec 4, 2014 1:38am Dec 4, 2014 1:38am
Quoting The Fool
Been looking at the front week of Q4 earnings season, thinking calendars: ....
It's too early to enter for the candidates with ER's later in Jan. Besides, there's too much on the docket in the coming days anyway (ECB, NFP, FOMC)...I will let the fireworks smoke clear before I get into cycle calendars...
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,124
  • Dec 4, 2014 2:12am Dec 4, 2014 2:12am
LULU ER's in a week. IVR looks to have peaked within the last day or so
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,125
  • Dec 4, 2014 2:48am Dec 4, 2014 2:48am
Quoting The Fool
LULU ER's in a week. IVR looks to have peaked within the last day or so
I am looking at various trades to catch some profit off the LULU juice. Liz and Jenny talk about earnings calendars ("the rules are: there are no rules")

https://www.tastytrade.com/tt/shows/...4?locale=en-US
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,126
  • Edited 4:17am Dec 4, 2014 3:07am | Edited 4:17am
The mid for this $50 call calendar is $0.15, I will certainly try to get filled there or lower if I trade it. Did you ever notice how everyone at tt is using ToS, but they never use the tt P/L analyzer? Well, most are pro traders and they can do the P/L in their heads, but also, the analyzer will not model (project) changes in i.v., which is what these earnings trades are typically looking for. So, if the P/L shown is wrong, how do you estimate the options values and subsequent P/L? As Jenny does in the vid above, you have to look at the vega of each option, which will show the $value that comes off the option for each 1% drop in i.v.

So, the Dec2/Dec $50 call vegas are $0.02/$0.03. Looking back, I see that IVR drops at earnings have been 15-20%. Dec2/Dec i.v.'s are 76%/62%. If I get a 20% IVR drop, and a corresponding drop in those options, and the price of LULU stays the same, then just based on the i.v. crush, the Dec2 50 call will lose $0.40 and the Dec 50 call will lose $0.60. Of course, the share price will move also, complicating things further. But you need to look at what the vol crush will do to the value of your options in order to see if there is any chance of sufficient profit to make the trade.

Actually, I might do a $45 call calendar with the same expiries as above and hope for some i.v. crush to get going pre-ER - that has what has typically happened in the past. If that slide was enough and I got a bit of favorable share price move, I might buy back the front short call (pre-ER) and keep the back call on for small debit or near free...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,127
  • Dec 4, 2014 8:35am Dec 4, 2014 8:35am
Excellent post TF. I will just extract portions of it, and some of my thoughts:

Quoting The Fool
- the analyzer will not model (project) changes in i.v., which is what these earnings trades are typically looking for
- you have to look at the vega of each option, which will show the $value that comes off the option for each 1% drop in i.v.
- the share price will move also, complicating things further
- you need to look at what the vol crush will do to the value of your options in order to see if there is any chance of sufficient profit to make the trade.
Hard math... equation with several unknowns. That is why I will do it only if it is very very cheap. After all, calendars are cheap shots when you look at POP, and if that is the case, than I will not pay much for them. I think it is good to place GTC closing order sooner rather than later.

AND on top of that, what direction to chose? Do a double calendar - how far OTM? Do a bullish / bearish calendar - again the question is how far OTM?
Do it on edge of estimated move - you can't do that in advance... and so on...
Do a ATM calendar (there is a tt video where TP and Tony determined that ATM calendars works best, I think you posted that link recently, but that was not ER's calendars)... Many questions, and only dozens of calendar trades will give some answers.

Different approaches
I noticed that TT crew will generally use calendars on expensive stocks, and will buy lets say a $2.00 calendar and close it at $2.50... If I had to pay $2.00 for something, that would be debit spreads, OR maybe gamble with several cheap weekly puts when this market goes for correction ... While you (and I) would rather buy a $0.10 calendar and hope it will reach $0.30 or more...
Hope is dangerous in this game.
  • #6,128
  • Edited 9:06am Dec 4, 2014 8:38am | Edited 9:06am
Quoting StrayDog
... Maybe tomorrow nothing will happen and VIX glides under 12... or maybe it will rise, so I can reload some positions or find another ones. But I will not play a guessing game with open naked positions.
Nothing happened SO FAR.
Better safe than sorry, huh?


FROM CNBC
ECB President Mario Draghi sent markets lower, giving little detail about future stimulus measures, after opting to leave policy unchanged.


O yeah, PANIC... SPY is down 0.16% - CALL THE FIGHTING DRONES... VIX IS UP A WHOOPING 0.72%....
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Oh dear lord... what a excitement...
Hope is dangerous in this game.
  • #6,129
  • Dec 4, 2014 9:37am Dec 4, 2014 9:37am
Quoting The Fool
The mid for this $50 call calendar is $0.15,
With LULU sitting on $46 I did the above $50 calendar for $0.20, the mid then. Immediately kicked myself as I forgot to try to get filled at something lower. Like those emails you send where, right after your finger clicks send, your brain catches up and says, "I probably shouldn't have said that." Oops, too late now....

Anyway, I want LULU to move toward $50 and that will help the iv crush get rolling.
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,130
  • Dec 4, 2014 9:50am Dec 4, 2014 9:50am
Quoting StrayDog
OR maybe gamble with several cheap weekly puts when this market goes for correction ... ...
Draghi did not bring punch. Total punch drunk market sees punch bowl, punch maybe not up to brim of bowl, starts to go apeshit, now it's up to JY to bring punch. Keep bowl full to overflowing. Or...omg...maybe she takes our punchbowl away. Do you really think JY would do that right before Christmas?
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,131
  • Dec 4, 2014 10:02am Dec 4, 2014 10:02am
Quoting The Fool
{quote} Draghi did not bring punch. Total punch drunk market sees punch bowl, punch maybe not up to brim of bowl, starts to go apeshit, now it's up to JY to bring punch. Keep bowl full to overflowing. Or...omg...maybe she takes our punchbowl away. Do you really think JY would do that right before Christmas?


No way Jose!
Hope is dangerous in this game.
  • #6,132
  • Dec 4, 2014 10:11am Dec 4, 2014 10:11am
Quoting StrayDog
No way Jose!
lol, idk, maybe she's just the type of kindly old dame to administer the tough love. Anyway, look at those fat weekly candles for LULU earnings week - a $40 put calendar can be filled for <$0.10
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,133
  • Dec 4, 2014 10:17am Dec 4, 2014 10:17am
Just killing some time...

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About LULU - yeah, it tends to have a good follow trough after ER's.
Hope is dangerous in this game.
  • #6,134
  • Dec 4, 2014 10:51am Dec 4, 2014 10:51am
As Charles Bronson says, "Dis ain't ovah."

http://finance.yahoo.com/news/saudis...141135044.html
"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,135
  • Dec 4, 2014 10:58am Dec 4, 2014 10:58am
I am eyeing natgas, UNG made a new low...
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,136
  • Edited 12:12pm Dec 4, 2014 11:48am | Edited 12:12pm
ORCL ER's 12/17, nickel calendar:
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,137
  • Dec 4, 2014 12:40pm Dec 4, 2014 12:40pm
Quoting The Fool
I am eyeing natgas, UNG made a new low... {image}
I did a UNG $23 long call calendar, Jan/Apr, for $0.62 debit
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,138
  • Dec 4, 2014 1:09pm Dec 4, 2014 1:09pm
Quoting The Fool
ORCL ER's 12/17, nickel calendar: {image}
Interesting stuff.

This is ORCL double calendar - with 41 puts and 43 calls..Short Dec, Long Dec26...
Would like to see that on some other platform, but here how it looks on IB. Notice the P/L... and it obviously calculates it from ask price of combo, which is $0.14 currently, but whole double calendar can be bought for $0.10, maybe $0.09...

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Something is crazy with this math... Max return and P/L in that table are very different.
Hope is dangerous in this game.
  • #6,139
  • Edited 2:09pm Dec 4, 2014 1:36pm | Edited 2:09pm
The problem with these analyzers is they won't project and calculate an i.v. crush that we know is going to occur. That's something that you can model, though, and set up software to model, if you like, not that hard, sure...

Anyway, for ORCL I am looking at the 6/19 ER and I'd expect the iv crush to be something similar....there was a 5% IVR drop, so we might see at least that for the individual options - say 5-10% drop on ER day. The vega for the $41 put/$43 call is 0.04, so if you get a 10 pt drop on ER your back options will drop $0.40 of value. Plus there's some more theta loss that will come in. So if nothing else changes from now til post-ER, the share price freezes, then those options are going to crash I'd say $0.25-$0.40. Sooo, idk, if you blow $0.10 on the dc and the share price settles post ER near one of the calendar strikes, you might net back $0.20? There are a lot of variables coming in, but that's my best rough guesstimate.

http://screencast.com/t/2F6VANNRpHd
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"If The Fool persists in his Folly he will become wise." - William Blake
  • #6,140
  • Dec 4, 2014 2:14pm Dec 4, 2014 2:14pm
Quoting The Fool
The problem with these analyzers is
the other thing to note is, if you push down the high line on the expiry P/L, the curve shape stays the same, and that will bring in (narrower) the b/e cuts...
"If The Fool persists in his Folly he will become wise." - William Blake
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