StockFetcher Forums · View by Author: (59 messages)  [ Display By: Date / Subject ]<< 1 ... 2 3 4 5 6 >> 
Filter Exchange · last 8 trading days playing earnings by doing a sell strangle play
medowz
msg #81684
10/24/2009 2:08:26 PM

So, you sold to open the strangles 2 days prior to options expiration as well as 20 minutes BEFORE the actual earnings reporting time. Can we assume theoretically that ALL positions were then bought back prior to the close Friday since it was October expiration Friday?

How are you calculating and/or screening for over/underpriced option with SF?

I'm looking at APPL at almost 204 on the close of Friday on TOS. The Nov 220call/190put strangle is going for 3.08-ish. My margin requirement PER contract is $2,688.05 should I sell to open this position today (which I can't since it's Saturday). Return on Margin is 308/2688.05 = 11.45%! Fantastic return, but risk exposure is huge.

I like this earnings strategy. Interesting, however should anyone carry even one loser through to expiration, you may need 10 winners to break even!

Looking forward to more plays.

General Discussion · Kevin: Did U sign up for that Options seminar?
medowz
msg #81534
10/22/2009 3:03:09 AM

Friends,

There's always two sides to the trading game as you may know, especially with options.

In Augen's book, The Volatility Edge in Options Trading, Augen tracks option volatility spikes in much the same manner as TheRumpledOne, tracks price action: statistically. That's his options angle according to his book, . He recommends a good understanding of the Greeks, especially Vega, before you start putting too much serious money into options. In short, if the VIX goes up, like it did today, then option prices in general go up, too. This is not to say that call prices won't decline. They will, but since volatility is a component of option pricing, it is factored into that decline. Obviously some options are not going to observe the rule, but in general they will. Just like in any market some stocks advance despite overall market conditions. The problem with LEAPS and long term options, according to Augen, is their exposure to Vega risk (VIX fluctuations). It's a matter of which side of the trading game you're on; options buyers or sellers. The idea of course as a buyer is to buy options that are cheap: maybe they sell on par with their historical vs their implied volatilities. If they're not cheap, in other words their implied volatilites are higher than their historical volatilities, then it is highly probable they will suffer from an ugly disease called "volatility crush" should one hold those options long term, the overall market rises and the VIX declines. As you may know the VIX is refered to as the "fear -greed index" by many. The VIX is generally inversely correlated to the S&P 500. If the S&P rises, the VIX delines: greed. If the S&P declines, the VIX rises: fear. Many people use options to manage risks, like insurance. Warren Buffet is one of the largest options players in the world because he uses them to manage risk. When the markets are advancing significantly, in theory greed runs rampant, the idea is that insurance is not that important and options offer a huge leverage. When the market is in decline, people are in fear of losing their gains and they want to protect those gains with insurance (puts). This is why it is quite possible to observe a particular stock price to increase moderately and it's option price to remain stable or decline slightly during market advances. Although time decay (theta) is an important factor in options pricing, Augen warns us not to ignore the important effects of volatility in option pricing. Augen wrote a very good options book and it may eventually become a classic. Most of his concepts are beyond the retail investor because, I think, few people have the tools and understanding to perform the statistical analysis involved in exploiting those concepts- me including.

FWIW.

Cheers,
mike



General Discussion · VIX Variance Signal
medowz
msg #81364
modified
10/19/2009 1:11:19 AM

BarTune1,

Excellent! Your variance signals tell you when the conditions are appropriate to put on a trade such a the SPY or QQQQ or some other ETF and the daily price action vs the 5 day moving average tell you when to exit. The exit triggers when price crosses the 5 day moving average. Sounds pretty straight forward. I assume it would take a few days for these trades to play out. Is that your experience?

I like your strategy for using those highly leveraged and correlated ETFs, too. I'd imagine you would have to watch them pretty close though.

Everything makes sense now. Looking forward to the posts.

All the best,
mike



Filter Exchange · BOLLINGER BAND TRADING STRATEGY
medowz
msg #81331
modified
10/18/2009 9:57:05 AM

Kevin,

I figured it out. It works as advertised now. The fix was so simple, I'm embarrassed to say. Let's say operator error. I wasn't inputting the the symbols properly.

Thanks again,
mike

General Discussion · VIX Variance Signal
medowz
msg #81329
10/18/2009 9:46:26 AM

BarTune1

I'm missing something.

Question 1. What are you actually trading here on this thread: the VIX, the SPY, or some ETF?

Question2. What is the 5 day moving average actually crossing, and on which chart?

All the best!
mike





Filter Exchange · BOLLINGER BAND TRADING STRATEGY
medowz
msg #81320
10/18/2009 1:19:15 AM

Kevin,

Thanks for the help!

Unfortuantely, I still don't get any hits! Maybe it has something to do with the way I setup my watchlists? I don't know. I tried both watchlist options:Portfolio and Advanced Filter Matching. No change. I then tried the filter on two different browzers: Firefox and Internet Explorer. Same results, nothing.

I wonder if it might have something to do with the fact that my subsciption is at the Standard level?

I don't get it. It's got to be something real simple. I'll fool around with it some more and try to get a hold of someone at StockFetcher.

I really appreciate your efforts.

Cheers,
mike



.

Filter Exchange · Options ideas anyone?
medowz
msg #81317
10/18/2009 12:00:06 AM

Karennma,

Thanks for the brokerage advice. I like ThinkorSwim a lot for their trade analytics. I'm still new to this forum. I'm impressed with the amount of statistical analysis going on here and the amount of sharing, too. I'm really liking the statistics exposure. Being pretty much a swing (and part time) trader, I'm just trying to feel out others with a penchant for options. I haven't stumbled on any options threads, yet. I get the impression that most people are using their data analysis to make directional trades, so there must be some pretty meaty ones out there. I just haven't found them. In the mean time, I shall continue with my forum familiariization.

I've been spending a good deal of time studying threads from TheRumpledOne and Kevin_in_GA. Who are your favorites?

Cheers,
mike

Filter Exchange · BOLLINGER BAND TRADING STRATEGY
medowz
msg #81298
10/17/2009 1:41:41 PM

Kevin,

I was playing around with the TOS back testing feature with some of the results you guys have been having. There's some interesting ratio spread possibilites. I'm trying to workout how to filter your watchlists for optionable stocks. It's got me going in circles. I keep getting zero results.

Here's my filter:

Close is above 5
and stock is optionable
and apply to watchlist (IBD1,IBD2,IBD3)
and draw RSI(2)

I'd appreciate help from anyone really.

All the best,
mike

Filter Exchange · Options ideas anyone?
medowz
msg #81284
10/17/2009 1:20:26 AM

I've been impressed with the amount of energy being expended on stock strategies. I'm overwhelmed. The statistics being generated is phenomenal. Is anyone applying this data to option strategies? Maybe I'm just missing that thread somewhere. Can anyone point me in that direction?

Thanks to everyone in advance. This is a fantastic forum!

Cheers,
medowz

StockFetcher Forums ·  · << 1 ... 2 3 4 5 6 >>

*** Disclaimer *** StockFetcher.com does not endorse or suggest any of the securities which are returned in any of the searches or filters. They are provided purely for informational and research purposes. StockFetcher.com does not recommend particular securities. StockFetcher.com, Vestyl Software, L.L.C. and involved content providers shall not be liable for any errors or delays in the content, or for any actions taken based on the content.


Copyright 2018 - Vestyl Software L.L.C.Terms of Service | License | Questions or comments? Contact Us
EOD Data sources: DDFPlus & CSI Data Quotes delayed during active market hours. Delay times are at least 15 mins for NASDAQ, 20 mins for NYSE and Amex. Delayed intraday data provided by DDFPlus


This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.