November 14, 2017
November 14, 2017 Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest.
Stocks and ETFs over 50% IV Rank
What’s Moving in the S&P 500? Over the past week, Priceline (PCLN) has been hit 10%, and both General Electric (GE) and Time Warner (TWX) have decreased 6%. On the positive side, Walgreens (WBA) has increased 6% and Qualcomm (QCOM) has increased 5%.
CSCO Cisco Systems
Monday alone, GE fell 8% on news of a dividend cut. But if you are looking for high implied volatility, GE has IV of 35 — this is almost 3x that of the Dow Jones.
IV Earnings IV Rank Date 100 27
11-15
COST Costco
95 23
12-06
WMT Wal-Mart
90 24
11-16
LOW Lowe's
87 32
11-21
MMM 3M Company
86 19
10-24
TGT Target Corp.
86 37
11-15
GE
83 31
10-20
USB US Bancorp
81 25
10-18
HD Home Depot
74 23
11-14
74 22
10-24
MRK Merck & Co.
72 22
10-27
TWX Time Warner Inc.
72 37
10-26
INTC Intel Corporation
65 22
10-26
63 21
11-01
EWY iShares MSCI South Korea ETF
63 28
-
ORCL Oracle Corporation
63 23
12-21
WBA Walgreens Boots Alliance
63 29
01-04
FOX 21st Century Fox
60 32
11-08
QID ProShares UltraShort QQQ
59 31
-
PEP Pepsico Inc.
59 18
10-04
CELG Celgene Corp
58 32
10-26
DIA Dow Jones ETF
56 13
-
T
SO
Turning Japanese Check out the Japanese etf (EWJ) — markets are getting a bit tighter as the Nikkei makes some moves. Bonus — high IVR. Internship Available Are you interested in a Research internship for Summer 2018? Are you at least a Junior or Senior in college? Do you know how to program? Do you watch tastytrade? If you answered yes, please send an resume/email to [email protected].
General Electric Co.
AT&T Inc
Southern Company
We welcome comments/feedback. Best of luck in this week’s trading. Michael Rechenthin, PhD James Blakeway Kai Zeng [email protected]
The Cool Kids On The Desk Are Considering Trades In… Trade
What I’m Thinking
Statistics
Gold/Siliver Spread Trade Buy 1x /SI for17.05 Sell 1x /GC for 1279.00
The Gold-Silver ratio is trading near its yearly highs, meaning gold is expensive relative to the price of silver. Looking for this spread to drop slightly (silver to appreciate relative to gold).
My profit target on a Gold-Silver spread like this is somewhere between $500-$700.
DIS Iron Condor 1.83 Cr. Buy 1x 110 Call in DEC Sell 1x 105 Call in DEC Sell 1x 100 Put in DEC Buy 1x 97.5 Put in DEC
I love Disney and often lean long. Sorting the watchlist today, DIS was the first stock with a high implied volatility rank (55) and no earnings. With a 5 point wide call spread and 2.5 point wide put spread there is less risk to the downside.
Upside breakeven is 106.83, downside is 98.17. Max loss on the downside is $67 but $317 to the upside. With a max profit of $183, I am looking to take 50% ($91)
I'm placing a Poor Man's Covered Call in GE due to it's recent decline Poor Mans Covered Call in in value. I'm buying the DEC 16 call GE 2.08 Db. as my stock replacement because it Max profit on this spread is $92; I'm Sell 1x 19 Call in DEC has very little extrinsic value & looking to take 50%, so $45. Buy 1x 16 Call in DEC carries less risk than going out further in time. I'm selling the outof-the-money 19 call against it.
INTC Iron Fly for 1.95 Cr. Buy 1x 50 Call in DEC Sell 1x 46 Call in DEC Sell 1x 46 Put in DEC Buy 1x 41 Put in DEC
© tastytrade.com, 2017
Earnings are over and IV Rank is still high at 65. I’m really selling the 46 straddle, but to reduce buying power, I’m buying cheap wings. INTC has $1 wide strikes up to $50 then they become $5 wide which is why my trade is $4 wide on one side and $5 on the other.
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
The upside breakeven is 48.95, the downside is 44.05. Max loss on the upside is $205, but $305 on the downside. While the max profit is $195 I'll look to manage this trade for 25%
Page 2 of 10
Popular ETFs. • Japan’s Nikkei has been on a move. Check out EWJ. • Oil Production (XOP) is up nearly 8% over the past month — not unusual considering crude has also seem a dramatic rise. XOP, XLE, OIH all seem to be taking a pause… • The tech etf (XLK) has been on a tear as well — AAPL, MSFT, FB, and GOOG make up over 40% of the index. • Nasdaq (QQQ) has the highest combination of IV Rank within the equity indices — the Russell small capitalization etf (IWM) is not far behind. • If you are looking for something that has a low overall correlation with the S&P 500 (and other equities) set your sights on silver (SLV) and utilities (XLU). Remember a low correlation lets you increase the number of occurrences of premium selling while theoretically reducing your overall portfolio volatility. • Bonds (TLT) continues to have a slight negative correlation with the overall S&P 500 market of -0.35
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
DIA EEM EFA EWZ FEZ FXI GDX GDXJ GLD IWM KRE OIH QQQ SLV SPY TLT XBI XLB XLE XLF XLI XLK XLP XLU XME XOP XRT
Dow Emerging Index Fund MSCI EAFE Brazil Euro Stoxx 50 China Large Cap Gold Miners Junior Gold Miners Gold Russell 2000 ETF Regional Banking Oil Services Nasdaq 100 Silver S&P 500 20+ Year Treasury Bond ETF Biotech Materials Energy Select Sector Financial Industrial Tech Consumer Staples Utilities Metals and Mining Oil & Gas Exploration & Product Retail
Page 3 of 10
Upcoming Earnings Symbol
Description
Weekly In In S&P In Russell In tastytrade Options Dow? 500? 2000? Watchlist?
Expected Report Date Time of Day
TGT
Target
Wed Nov-15
Before Open
Yes
-
Yes
-
-
NTAP
NetApp
Wed Nov-15
After Close
Yes
-
Yes
-
-
CSCO
Cisco Systems
Wed Nov-15
After Close
Yes
Yes
Yes
-
-
BBY
Best Buy Co.
Thu Nov-16
Before Open
Yes
-
Yes
-
-
WMT
Wal-Mart Stores
Thu Nov-16
Before Open
Yes
Yes
Yes
-
-
Thu Nov-16
After Close
Yes
-
Yes
-
-
AMAT Applied Materials GPS
Gap
Thu Nov-16
After Close
Yes
-
Yes
-
-
ANF
Abercrombie & Fitch
Fri Nov-17
Before Open
Yes
-
-
Yes
-
A
Agilent Technologies
Mon Nov-20
After Close
-
-
Yes
-
-
LOW
Lowe's Companies
Tue Nov-21
Before Open
Yes
-
Yes
-
-
DLTR
Dollar Tree
Tue Nov-21
Before Open
Yes
-
Yes
-
-
CRM
Salesforce.com Inc
Tue Nov-21
After Close
Yes
-
Yes
-
-
HPE
Hewlett Packard Enterprise
Tue Nov-21
After Close
Yes
-
Yes
-
-
HPQ
HP
Tue Nov-21
After Close
Yes
-
Yes
-
Yes
Deere &
Wed Nov-22
Before Open
Yes
-
Yes
-
-
DE
* Hightlighted the stocks from our tastytrade watchlist
Historical Earnings Moves for Select Stocks It is often nice to examine historical moves in stocks around earnings. At the very least, it provides some context. Historical Price Move From Immediately Before Earnings to that Friday's Expiration 2nd Q 2017
1st Q 2017
4th Q 2016
3rd Q 2016
2nd Q 2016
1st Q 2016
4th Q 2015
3rd Q 2015
2nd Q 2015
1st Q 2015
A
3%
6%
2%
-1%
-2%
5%
1%
5%
-7%
-0%
BBY
-13%
17%
1%
11%
20%
-3%
3%
-3%
23%
-2%
CSCO
-6%
-8%
3%
-4%
-1%
5%
12%
-6%
4%
1%
HP
-6%
-7%
-10%
4%
-2%
0%
10%
-2%
-3%
1%
LOW
-3%
-2%
10%
0%
-4%
5%
2%
4%
-3%
-3%
TGT
2%
3%
-14%
7%
-7%
-7%
6%
-3%
-2%
2%
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 4 of 10
Stocks and ETFs with an upcoming dividend. In the money short call options are the only options at risk of additional early assignment due to the dividend. If the extrinsic value of the in the money short call is less than the dividend, the option is at (a greater than average) risk of being assigned.
Symbol
Description
Ex-Dividend Date
Dividend Per In Dow? Share
In S&P 500?
In Russell In tastytrade 2000? Watchlist?
SBUX
Starbucks
Wed, Nov 15
$0.30
-
Yes
-
Yes
EXPE
Expedia
Wed, Nov 15
$0.30
-
Yes
-
-
WYNN
Wynn Resorts, Limited
Wed, Nov 15
$0.50
-
Yes
-
-
MSFT
Microsoft
Wed, Nov 15
$0.42
Yes
Yes
-
Yes
EMR
Emerson Electric
Thu, Nov 16
$0.49
-
Yes
-
-
DAL
Delta Air Lines
Thu, Nov 16
$0.31
-
Yes
-
-
KHC
The Kraft Heinz
Thu, Nov 16
$0.63
-
Yes
-
-
COST
Costco Wholesale
Thu, Nov 16
$0.50
-
Yes
-
Yes
DUK
Duke Energy
Thu, Nov 16
$0.89
-
Yes
-
-
CVX
Chevron
Thu, Nov 16
$1.08
Yes
Yes
-
-
Visa
Thu, Nov 16
$0.20
Yes
Yes
-
-
UTX
United Technologies
Thu, Nov 16
$0.70
Yes
Yes
-
-
HON
Honeywell International
Thu, Nov 16
$0.75
-
Yes
-
-
DIA
Dow Jones ETF
Fri, Nov 17
VLO
Valero Energy
Mon, Nov 20
$0.70
-
Yes
-
-
NVDA
NVIDIA
Wed, Nov 22
$0.15
-
Yes
-
-
AMAT
Applied Materials
Wed, Nov 22
$0.10
-
Yes
-
-
V
* Hightlighted the stocks from our tastytrade watchlist
Reminder: DIA has a dividend of xXXX on Friday, November 17.
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 5 of 10
Some of the Highest Viewed Shows Include: Date
Title
Link
Mon, Nov 13 Market Measures
Defending Against Large Moves in Options
LINK
Mon, Nov 13
Options Jive
SKEW Impact on Position Management
LINK
Mon, Nov 13
Best Practices
Utilizing Bob the Trader
LINK
Fri, Nov 10
Market Measures
The Bitcoin Market
LINK
Fri, Nov 10
Resize & Analyze
Week of November 6th
LINK
Fri, Nov 10
Closing the Gap - Futures Edition
Large Cap vs. Small - Time for a Turn?
LINK
Thu, Nov 09
Market Measures
Delta and Rolling Volatility
LINK
Thu, Nov 09
Options Jive
Calculating Portfolio Leverage
LINK
Thu, Nov 09
Trades From the Research Team LIVE
Trades From the Research Team LIVE
LINK
Wed, Nov 08
tasty Extras
Trade the Headlines: DIS
LINK
Wed, Nov 08 Market Measures
Characteristics & Ideas for Low IV
LINK
Wed, Nov 08
Options Jive
How USO Works
LINK
Wed, Nov 08
tasty Extras
Thoughts on Wealth Creation & Retirement
LINK
Tue, Nov 07
Market Measures
Crude Oil, Oil Stocks & the S&P 500
LINK
Tue, Nov 07
Options Jive
Sizing Trades Efficiently
LINK
Tue, Nov 07
tasty BITES
How Market Moves Affect Buying Power
LINK
Mon, Nov 06 Market Measures
Optimal Risk: Reward in Strangles?
LINK
Mon, Nov 06
Options Jive
Diversifying an Options Portfolio
LINK
Mon, Nov 06
Best Practices
Delta & Direction
LINK
Fri, Nov 03
tasty Extras
Sosnoff Says | The 2018 Challenge
LINK
Fri, Nov 03
Market Measures
IV Rank Across Different Time Spans
LINK
Fri, Nov 03
Resize & Analyze
Week of October 30th
LINK
Fri, Nov 03
Closing the Gap - Futures Edition
Duration and Treasury Futures
LINK
Thu, Nov 02
tasty Extras
The 3rd Industrial Revolution | Politics
LINK
Thu, Nov 02
Market Measures
Short Premium and SKEW
LINK
Thu, Nov 02
Options Jive
Futures & ETF Equivalents
LINK
Thu, Nov 02
Trades From the Research Team LIVE
Trades From the Research Team LIVE
LINK
Wed, Nov 01
tasty Extras
Trade the Headlines
LINK
Wed, Nov 01 Market Measures
Rolling and Portfolio Volatility
LINK
Wed, Nov 01
Options Jive
Which Volatility is the Most Sensitive?
LINK
Wed, Nov 01
tasty BITES
Profits with Iron Condors
LINK
© tastytrade.com, 2017
Segment
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 6 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 7 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 8 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 9 of 10
Reading this Report Expected Range Cone. The following pages show stocks and ETFs that the tastytrade Research Team currently find have relatively high or low volatility. The colored cone represents a 30-day expected theoretical price range that is calculated from the options’ implied volatilities. If the implied volatility is relatively high, then the market is expecting a larger price change in the underlying stock or ETF. From this we can derive the market’s 1 standard deviation theoretical expectation of where prices might be in the future. In other words, the market is expecting, with a 68% theoretical probability, that prices will fall within the boundary of the cone at the end of 30 days. Cone Color. The color of the cone is significant. The darker the color, the more “extreme” the implied volatility (IV) which is represented by implied volatility rank (IV Rank). This information can help you decide on a trading strategy.
Glossary IV. Implied Volatility is the estimated volatility of a security’s price derived from its option price; the higher the IV, the more expensive the option and therefore the larger the expected price move. IV is an annualized number of volatility, e.g. a IV of 27 means the option’s market is pricing in an annualized price range, either plus or minus, of 27%. IV Rank. IV by itself doesn’t tell us if if the volatility is high or low - but IV Rank does. An IV Rank of 70 means that the IV is 70% between its low and high IV over the past year. The higher the IV Rank, the higher the security’s IV is compared to its past year. We provide six levels to make evaluating easier: • Extremely High: IV Rank between 90 and 100 • High: IV Rank between 75 and 90 • Moderately High: IV Rank between 50 and 75 • Moderately Low: IV Rank between 25 and 50 • Low: IV Rank between 10 and 25 • Extremely Low: IV Rank between 0 and 10 Option Liquidity. At tastytrade we have our own theoretical measure of option liquidity, Poor, Moderate, Good, or Great. It examines the options’ bid/ ask spread, open interest, and the number of strikes with non-zero bids. Correlation with S&P 500. Correlation is a statistical measure of how strong a relationship two securities have with one another. A correlation of -1 means the stocks are perfectly negatively correlated (they move in opposite directions), while a correlation of +1 means the stocks are perfectly positively correlated (they move in the same direction). A correlation of 0 means there exist little relationship. Earnings. The earnings date of the security. In practice we tend to see stocks have a larger amount of implied volatility (IV) nearer to earnings as the market is pricing in the fear of the upcoming earnings announcement. In parenthesis, is BTO or AMC; "Before the Open" or "After Market Closes", respectively. Upcoming earnings dates do sometimes change.
Disclosures Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options: https://www.theocc.com/components/docs/riskstoc.pdf tastytrade content is provided solely by tastytrade, Inc. and is for informational and educational purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, transaction or investment strategy is suitable for any person. Trading securities can involve high risk and the loss of any funds invested. tastytrade, through its content, financial programming or otherwise, does not provide investment or financial advice or make investment recommendations. Investment information provided may not be appropriate for all investors, and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. tastytrade is not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives. tastytrade is not a licensed financial advisor, registered investment advisor, or a registered broker-dealer. Please read Characteristics and Risks of Standardized Options before deciding to invest in options. Futures accounts are not protected by the Securities Investor Protection Corporation (SIPC). All customer futures accounts' positions and cash balances are segregated by Apex Clearing Corporation. Futures and futures options trading is speculative and is not suitable for all investors. Please read the Risk Disclosure for Futures and Options prior to trading futures products found in Disclosures under the Documents tab. © tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 10 of 10
Stocks and ETFs over 50% IV Rank
What’s Moving in the S&P 500? Over the past week, Priceline (PCLN) has been hit 10%, and both General Electric (GE) and Time Warner (TWX) have decreased 6%. On the positive side, Walgreens (WBA) has increased 6% and Qualcomm (QCOM) has increased 5%.
CSCO Cisco Systems
Monday alone, GE fell 8% on news of a dividend cut. But if you are looking for high implied volatility, GE has IV of 35 — this is almost 3x that of the Dow Jones.
IV Earnings IV Rank Date 100 27
11-15
COST Costco
95 23
12-06
WMT Wal-Mart
90 24
11-16
LOW Lowe's
87 32
11-21
MMM 3M Company
86 19
10-24
TGT Target Corp.
86 37
11-15
GE
83 31
10-20
USB US Bancorp
81 25
10-18
HD Home Depot
74 23
11-14
74 22
10-24
MRK Merck & Co.
72 22
10-27
TWX Time Warner Inc.
72 37
10-26
INTC Intel Corporation
65 22
10-26
63 21
11-01
EWY iShares MSCI South Korea ETF
63 28
-
ORCL Oracle Corporation
63 23
12-21
WBA Walgreens Boots Alliance
63 29
01-04
FOX 21st Century Fox
60 32
11-08
QID ProShares UltraShort QQQ
59 31
-
PEP Pepsico Inc.
59 18
10-04
CELG Celgene Corp
58 32
10-26
DIA Dow Jones ETF
56 13
-
T
SO
Turning Japanese Check out the Japanese etf (EWJ) — markets are getting a bit tighter as the Nikkei makes some moves. Bonus — high IVR. Internship Available Are you interested in a Research internship for Summer 2018? Are you at least a Junior or Senior in college? Do you know how to program? Do you watch tastytrade? If you answered yes, please send an resume/email to [email protected].
General Electric Co.
AT&T Inc
Southern Company
We welcome comments/feedback. Best of luck in this week’s trading. Michael Rechenthin, PhD James Blakeway Kai Zeng [email protected]
The Cool Kids On The Desk Are Considering Trades In… Trade
What I’m Thinking
Statistics
Gold/Siliver Spread Trade Buy 1x /SI for17.05 Sell 1x /GC for 1279.00
The Gold-Silver ratio is trading near its yearly highs, meaning gold is expensive relative to the price of silver. Looking for this spread to drop slightly (silver to appreciate relative to gold).
My profit target on a Gold-Silver spread like this is somewhere between $500-$700.
DIS Iron Condor 1.83 Cr. Buy 1x 110 Call in DEC Sell 1x 105 Call in DEC Sell 1x 100 Put in DEC Buy 1x 97.5 Put in DEC
I love Disney and often lean long. Sorting the watchlist today, DIS was the first stock with a high implied volatility rank (55) and no earnings. With a 5 point wide call spread and 2.5 point wide put spread there is less risk to the downside.
Upside breakeven is 106.83, downside is 98.17. Max loss on the downside is $67 but $317 to the upside. With a max profit of $183, I am looking to take 50% ($91)
I'm placing a Poor Man's Covered Call in GE due to it's recent decline Poor Mans Covered Call in in value. I'm buying the DEC 16 call GE 2.08 Db. as my stock replacement because it Max profit on this spread is $92; I'm Sell 1x 19 Call in DEC has very little extrinsic value & looking to take 50%, so $45. Buy 1x 16 Call in DEC carries less risk than going out further in time. I'm selling the outof-the-money 19 call against it.
INTC Iron Fly for 1.95 Cr. Buy 1x 50 Call in DEC Sell 1x 46 Call in DEC Sell 1x 46 Put in DEC Buy 1x 41 Put in DEC
© tastytrade.com, 2017
Earnings are over and IV Rank is still high at 65. I’m really selling the 46 straddle, but to reduce buying power, I’m buying cheap wings. INTC has $1 wide strikes up to $50 then they become $5 wide which is why my trade is $4 wide on one side and $5 on the other.
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
The upside breakeven is 48.95, the downside is 44.05. Max loss on the upside is $205, but $305 on the downside. While the max profit is $195 I'll look to manage this trade for 25%
Page 2 of 10
Popular ETFs. • Japan’s Nikkei has been on a move. Check out EWJ. • Oil Production (XOP) is up nearly 8% over the past month — not unusual considering crude has also seem a dramatic rise. XOP, XLE, OIH all seem to be taking a pause… • The tech etf (XLK) has been on a tear as well — AAPL, MSFT, FB, and GOOG make up over 40% of the index. • Nasdaq (QQQ) has the highest combination of IV Rank within the equity indices — the Russell small capitalization etf (IWM) is not far behind. • If you are looking for something that has a low overall correlation with the S&P 500 (and other equities) set your sights on silver (SLV) and utilities (XLU). Remember a low correlation lets you increase the number of occurrences of premium selling while theoretically reducing your overall portfolio volatility. • Bonds (TLT) continues to have a slight negative correlation with the overall S&P 500 market of -0.35
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
DIA EEM EFA EWZ FEZ FXI GDX GDXJ GLD IWM KRE OIH QQQ SLV SPY TLT XBI XLB XLE XLF XLI XLK XLP XLU XME XOP XRT
Dow Emerging Index Fund MSCI EAFE Brazil Euro Stoxx 50 China Large Cap Gold Miners Junior Gold Miners Gold Russell 2000 ETF Regional Banking Oil Services Nasdaq 100 Silver S&P 500 20+ Year Treasury Bond ETF Biotech Materials Energy Select Sector Financial Industrial Tech Consumer Staples Utilities Metals and Mining Oil & Gas Exploration & Product Retail
Page 3 of 10
Upcoming Earnings Symbol
Description
Weekly In In S&P In Russell In tastytrade Options Dow? 500? 2000? Watchlist?
Expected Report Date Time of Day
TGT
Target
Wed Nov-15
Before Open
Yes
-
Yes
-
-
NTAP
NetApp
Wed Nov-15
After Close
Yes
-
Yes
-
-
CSCO
Cisco Systems
Wed Nov-15
After Close
Yes
Yes
Yes
-
-
BBY
Best Buy Co.
Thu Nov-16
Before Open
Yes
-
Yes
-
-
WMT
Wal-Mart Stores
Thu Nov-16
Before Open
Yes
Yes
Yes
-
-
Thu Nov-16
After Close
Yes
-
Yes
-
-
AMAT Applied Materials GPS
Gap
Thu Nov-16
After Close
Yes
-
Yes
-
-
ANF
Abercrombie & Fitch
Fri Nov-17
Before Open
Yes
-
-
Yes
-
A
Agilent Technologies
Mon Nov-20
After Close
-
-
Yes
-
-
LOW
Lowe's Companies
Tue Nov-21
Before Open
Yes
-
Yes
-
-
DLTR
Dollar Tree
Tue Nov-21
Before Open
Yes
-
Yes
-
-
CRM
Salesforce.com Inc
Tue Nov-21
After Close
Yes
-
Yes
-
-
HPE
Hewlett Packard Enterprise
Tue Nov-21
After Close
Yes
-
Yes
-
-
HPQ
HP
Tue Nov-21
After Close
Yes
-
Yes
-
Yes
Deere &
Wed Nov-22
Before Open
Yes
-
Yes
-
-
DE
* Hightlighted the stocks from our tastytrade watchlist
Historical Earnings Moves for Select Stocks It is often nice to examine historical moves in stocks around earnings. At the very least, it provides some context. Historical Price Move From Immediately Before Earnings to that Friday's Expiration 2nd Q 2017
1st Q 2017
4th Q 2016
3rd Q 2016
2nd Q 2016
1st Q 2016
4th Q 2015
3rd Q 2015
2nd Q 2015
1st Q 2015
A
3%
6%
2%
-1%
-2%
5%
1%
5%
-7%
-0%
BBY
-13%
17%
1%
11%
20%
-3%
3%
-3%
23%
-2%
CSCO
-6%
-8%
3%
-4%
-1%
5%
12%
-6%
4%
1%
HP
-6%
-7%
-10%
4%
-2%
0%
10%
-2%
-3%
1%
LOW
-3%
-2%
10%
0%
-4%
5%
2%
4%
-3%
-3%
TGT
2%
3%
-14%
7%
-7%
-7%
6%
-3%
-2%
2%
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 4 of 10
Stocks and ETFs with an upcoming dividend. In the money short call options are the only options at risk of additional early assignment due to the dividend. If the extrinsic value of the in the money short call is less than the dividend, the option is at (a greater than average) risk of being assigned.
Symbol
Description
Ex-Dividend Date
Dividend Per In Dow? Share
In S&P 500?
In Russell In tastytrade 2000? Watchlist?
SBUX
Starbucks
Wed, Nov 15
$0.30
-
Yes
-
Yes
EXPE
Expedia
Wed, Nov 15
$0.30
-
Yes
-
-
WYNN
Wynn Resorts, Limited
Wed, Nov 15
$0.50
-
Yes
-
-
MSFT
Microsoft
Wed, Nov 15
$0.42
Yes
Yes
-
Yes
EMR
Emerson Electric
Thu, Nov 16
$0.49
-
Yes
-
-
DAL
Delta Air Lines
Thu, Nov 16
$0.31
-
Yes
-
-
KHC
The Kraft Heinz
Thu, Nov 16
$0.63
-
Yes
-
-
COST
Costco Wholesale
Thu, Nov 16
$0.50
-
Yes
-
Yes
DUK
Duke Energy
Thu, Nov 16
$0.89
-
Yes
-
-
CVX
Chevron
Thu, Nov 16
$1.08
Yes
Yes
-
-
Visa
Thu, Nov 16
$0.20
Yes
Yes
-
-
UTX
United Technologies
Thu, Nov 16
$0.70
Yes
Yes
-
-
HON
Honeywell International
Thu, Nov 16
$0.75
-
Yes
-
-
DIA
Dow Jones ETF
Fri, Nov 17
VLO
Valero Energy
Mon, Nov 20
$0.70
-
Yes
-
-
NVDA
NVIDIA
Wed, Nov 22
$0.15
-
Yes
-
-
AMAT
Applied Materials
Wed, Nov 22
$0.10
-
Yes
-
-
V
* Hightlighted the stocks from our tastytrade watchlist
Reminder: DIA has a dividend of xXXX on Friday, November 17.
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 5 of 10
Some of the Highest Viewed Shows Include: Date
Title
Link
Mon, Nov 13 Market Measures
Defending Against Large Moves in Options
LINK
Mon, Nov 13
Options Jive
SKEW Impact on Position Management
LINK
Mon, Nov 13
Best Practices
Utilizing Bob the Trader
LINK
Fri, Nov 10
Market Measures
The Bitcoin Market
LINK
Fri, Nov 10
Resize & Analyze
Week of November 6th
LINK
Fri, Nov 10
Closing the Gap - Futures Edition
Large Cap vs. Small - Time for a Turn?
LINK
Thu, Nov 09
Market Measures
Delta and Rolling Volatility
LINK
Thu, Nov 09
Options Jive
Calculating Portfolio Leverage
LINK
Thu, Nov 09
Trades From the Research Team LIVE
Trades From the Research Team LIVE
LINK
Wed, Nov 08
tasty Extras
Trade the Headlines: DIS
LINK
Wed, Nov 08 Market Measures
Characteristics & Ideas for Low IV
LINK
Wed, Nov 08
Options Jive
How USO Works
LINK
Wed, Nov 08
tasty Extras
Thoughts on Wealth Creation & Retirement
LINK
Tue, Nov 07
Market Measures
Crude Oil, Oil Stocks & the S&P 500
LINK
Tue, Nov 07
Options Jive
Sizing Trades Efficiently
LINK
Tue, Nov 07
tasty BITES
How Market Moves Affect Buying Power
LINK
Mon, Nov 06 Market Measures
Optimal Risk: Reward in Strangles?
LINK
Mon, Nov 06
Options Jive
Diversifying an Options Portfolio
LINK
Mon, Nov 06
Best Practices
Delta & Direction
LINK
Fri, Nov 03
tasty Extras
Sosnoff Says | The 2018 Challenge
LINK
Fri, Nov 03
Market Measures
IV Rank Across Different Time Spans
LINK
Fri, Nov 03
Resize & Analyze
Week of October 30th
LINK
Fri, Nov 03
Closing the Gap - Futures Edition
Duration and Treasury Futures
LINK
Thu, Nov 02
tasty Extras
The 3rd Industrial Revolution | Politics
LINK
Thu, Nov 02
Market Measures
Short Premium and SKEW
LINK
Thu, Nov 02
Options Jive
Futures & ETF Equivalents
LINK
Thu, Nov 02
Trades From the Research Team LIVE
Trades From the Research Team LIVE
LINK
Wed, Nov 01
tasty Extras
Trade the Headlines
LINK
Wed, Nov 01 Market Measures
Rolling and Portfolio Volatility
LINK
Wed, Nov 01
Options Jive
Which Volatility is the Most Sensitive?
LINK
Wed, Nov 01
tasty BITES
Profits with Iron Condors
LINK
© tastytrade.com, 2017
Segment
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 6 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 7 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 8 of 10
© tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 9 of 10
Reading this Report Expected Range Cone. The following pages show stocks and ETFs that the tastytrade Research Team currently find have relatively high or low volatility. The colored cone represents a 30-day expected theoretical price range that is calculated from the options’ implied volatilities. If the implied volatility is relatively high, then the market is expecting a larger price change in the underlying stock or ETF. From this we can derive the market’s 1 standard deviation theoretical expectation of where prices might be in the future. In other words, the market is expecting, with a 68% theoretical probability, that prices will fall within the boundary of the cone at the end of 30 days. Cone Color. The color of the cone is significant. The darker the color, the more “extreme” the implied volatility (IV) which is represented by implied volatility rank (IV Rank). This information can help you decide on a trading strategy.
Glossary IV. Implied Volatility is the estimated volatility of a security’s price derived from its option price; the higher the IV, the more expensive the option and therefore the larger the expected price move. IV is an annualized number of volatility, e.g. a IV of 27 means the option’s market is pricing in an annualized price range, either plus or minus, of 27%. IV Rank. IV by itself doesn’t tell us if if the volatility is high or low - but IV Rank does. An IV Rank of 70 means that the IV is 70% between its low and high IV over the past year. The higher the IV Rank, the higher the security’s IV is compared to its past year. We provide six levels to make evaluating easier: • Extremely High: IV Rank between 90 and 100 • High: IV Rank between 75 and 90 • Moderately High: IV Rank between 50 and 75 • Moderately Low: IV Rank between 25 and 50 • Low: IV Rank between 10 and 25 • Extremely Low: IV Rank between 0 and 10 Option Liquidity. At tastytrade we have our own theoretical measure of option liquidity, Poor, Moderate, Good, or Great. It examines the options’ bid/ ask spread, open interest, and the number of strikes with non-zero bids. Correlation with S&P 500. Correlation is a statistical measure of how strong a relationship two securities have with one another. A correlation of -1 means the stocks are perfectly negatively correlated (they move in opposite directions), while a correlation of +1 means the stocks are perfectly positively correlated (they move in the same direction). A correlation of 0 means there exist little relationship. Earnings. The earnings date of the security. In practice we tend to see stocks have a larger amount of implied volatility (IV) nearer to earnings as the market is pricing in the fear of the upcoming earnings announcement. In parenthesis, is BTO or AMC; "Before the Open" or "After Market Closes", respectively. Upcoming earnings dates do sometimes change.
Disclosures Options involve risk and are not suitable for all investors. Please read Characteristics and Risks of Standardized Options before deciding to invest in options: https://www.theocc.com/components/docs/riskstoc.pdf tastytrade content is provided solely by tastytrade, Inc. and is for informational and educational purposes only. It is not, nor is it intended to be, trading or investment advice or a recommendation that any security, futures contract, transaction or investment strategy is suitable for any person. Trading securities can involve high risk and the loss of any funds invested. tastytrade, through its content, financial programming or otherwise, does not provide investment or financial advice or make investment recommendations. Investment information provided may not be appropriate for all investors, and is provided without respect to individual investor financial sophistication, financial situation, investing time horizon or risk tolerance. tastytrade is not in the business of transacting securities trades, nor does it direct client commodity accounts or give commodity trading advice tailored to any particular client’s situation or investment objectives. tastytrade is not a licensed financial advisor, registered investment advisor, or a registered broker-dealer. Please read Characteristics and Risks of Standardized Options before deciding to invest in options. Futures accounts are not protected by the Securities Investor Protection Corporation (SIPC). All customer futures accounts' positions and cash balances are segregated by Apex Clearing Corporation. Futures and futures options trading is speculative and is not suitable for all investors. Please read the Risk Disclosure for Futures and Options prior to trading futures products found in Disclosures under the Documents tab. © tastytrade.com, 2017
Michael Rechenthin, PhD | James Blakeway | Kai Zeng
Page 10 of 10
