What option chains are you looking for? Have you looked at https://marketchameleon.com/Overview/SPY/OptionChain/ they have a good option chain display. They also can create data feeds https://marketchameleon.com/DataFeed for specific needs.
Wednesday, January 25, After the Market Close
AT&T (T) is another big name scheduled to announce its quarterly results this week. However, expectations for T are somewhat muted.
Analysts are expecting AT&T to report a quarterly profit of $0.66 per share. This would be a nearly 5 percent improvement from last year, when the company posted $0.63 per share. Revenue is generally expected to hold steady with last year. Analysts are looking for a top-line result of about $42 billion. It posted $42.12 billion last year.
Implied Volatility for T has been choppy over the last several weeks. The measure has been in a range since late November. It reached a monthly high of 17.4 on December 30, but is off that mark now. It closed last week at 15.1.
The ATM Straddle premium for the January 27 expiration is $0.90, or 2.2%.
The post-earnings moves for shares of AT&T have underperformed expectations in each of the last six quarters. The average absolute earnings move for the last four quarters is 1.25%, compared to an average implied straddle over that time of 2.55%.
Wednesday, January 25, After the Market Close
eBay's last earnings report included a better-than-expected profit for the third quarter. However, it also came with weak guidance for the fourth fiscal period.
The company said it expected adjusted earnings between $0.52 and $0.54 per share. Analysts were predicting $0.54 per share. Revenues were projected to be between $2.36 and $2.41 billion, compared to a consensus estimate of $2.40 billion.
Going into the report, analysts are still looking for an EPS figure of $0.54 and revenue of $2.4 billion.
Shares of eBay plunged following the Q3 earnings report and continued to drift lower during the subsequent couple weeks. The stock dropped from $32.52 before the earnings report to $27.95 in early November. It eventually reached $27.39 in early December, the lowest mark since July. Shares have since come off that multi-month low and finished last week at $30.64.
Implied Volatility has been rising for EBAY since the second half of November. It reached 35.2 on January 17, its highest level since October, just after the release of its last quarterly report. Since then, IV has come down slightly and finished last week at 32.8.
IV for EBAY had a massive increase going into October's quarterly report. It reached 46.9 on October 20 and plunged following the earnings announcement.
EBAY's post-earnings move has significantly outstripped the expectation in four out of the last five quarters. The average absolute post-earnings move for the last four quarters is 9.35%, compared to an expectation of 6.95%.
The ATM Straddle premium for the January 27 expiration is $2.03, or 6.6%.
Thursday, January 26, After the Market Close
Earnings season begins to heat up this week and Microsoft (MSFT) is among the more prominent companies set to release its quarterly results over the next few days.
The software maker is expected to earn $0.78 per share, matching the result posted in the same period last year. Revenue is expected to ease by about 2 percent, slipping to about $25.3 billion.
Microsoft had a strong report last time around. In October, the company reported better-than-expected earnings and revenues. Results were helped by strong growth in its cloud business.
Implied volatility for MSFT has drifted higher since mid December, rising to 23.7 on January 17, its highest level since October. It has since come slightly off that mark, closing at 22.8 on January 20.
The ATM Straddle premium for the January 27 expiration is $2.73, or 4.4%.
On average, shares of Microsoft have moved slightly more than expected over the last several earnings seasons. The average absolute post-earnings move for MSFT has been 5.625% over the last four quarters. This compares to an expected move of 4.825%.
Income with Options
Big insider buying in SKX today:
Insider buying is often seen as a bullish signal for a stock. After all, no one should have more information on where a company is headed than the CEO. Greenberg scooped up 500,000 shares, or nearly $11 million worth of stock, no small bet on the casual footwear company. He paid an average price of $21.96, and the stock surged to more than $26 on today's news.
Separately, Skechers was upgraded to a buy by Buckingham Research, which gave the stock a price target of $31.
Option Hedging Strategies
It was generally a good week for volatility sellers in the options market for the weekly expiration of 30-Dec-2016. This was especially true for calls; winners were far more prevalent for puts and at-the-money bets, but losers outpaced winners across the board.
As could be expected during a holiday period, the market lacked major catalysts during the week. Profit taking led the major averages to close out 2016 with a three-day losing streak, drifting off their recent highs.
For the week, the Dow dropped -0.9%. Meanwhile, the Nasdaq slipped -1.5% and the S&P 500 tumbled -1.1%.
This was the whimper that ended a bang of a year though. The year as a whole saw the Dow jump +13.4%, the Nasdaq climb +7.5% and the S&P 500 advance +9.5%.
For the final week of the year, unhedged ATM bets returned winners 41.9% of the time, leading to an average loss of 6.6%. The call side is where the real blood-bath occurred. Only 4.6% of unhedged 25-Delta Call positions came back winners and the average loss was 79.6%.
Winners were more prevalent for 25-Delta Put bets. Unhedged positions here were winners 33.9% of the time during the week - still generally a loser 2 out of every 3 times - but the average return was positive at +23.9%.
VanEck Vectors Junior Gold Miners ETF (GDXJ) -- Gold mining stocks were big winners on the week. Gold prices suffered a decline in the wake of Donald Trump's election as president, but bounced back during the final week of the year. This rise boosted gold miners, especially during a rally on Thursday.
As such, the GDXJ, a gold-mining ETF, was one of the standout performers on the call side during the week. Unhedged 25-Delta Calls for GDXJ had an average return of +700%. Unhedged ATM Straddles returned an average of +126.1%.
iShares Nasdaq Biotechnology (IBB) -- Sticking to the ETF theme, biotech stocks did particularly poorly during the week. This was evidenced by a steady decline in the IBB, a biotech sector ETF, which started the holiday-shortened week with an initial advance but then lost ground steadily through the rest of the week. 25-Delta Puts for IBB had an average return of +589.8%, while ATM Straddles returned +108.7%.
It was a mixed bag for hedging during the week. Generally, it was best not to hedge, except on the call side.
Once-hedged positions were the saving grace for the 25-Delta Call bets, turning a significant loser during the week into a winner. However, the effect was the opposite on the put side, turning a winning position, on average, into a losing one.
Once-hedged 25-Delta Calls had an average return of +18.4%, compared to a loss of -79.6% when unhedged. Daily hedges weren't as helpful, but did work to cut the losses, with an average loss of -17.2%.
Once-hedged 25-Delta Put positions had a negative return of -64.3%, compared to a positive +23.9% when un-hedged. This just got worse when hedged daily. The average loss for a daily hedged 25-Delta Put was -94.2%.
For ATM Straddles, once hedging had little impact, turning an average loss of -6.6% when un-hedged into an average loss of -6.1% with single hedging. On average, daily hedging was a mistake, however. The average loss expanded to -24.8% with this strategy.
The weekly expiration of 16-Dec-2016 turned out to be a great one for sellers of volatility in the options market.
In retrospect, it isn't surprising that the market saw little movement during the week. The biggest news of the week was the Fed decision, which had been clearly telegraphed. Otherwise, the slate of market-moving news was almost non-existent. And with the major averages setting new highs recently, it wasn't clear whether the momentum would be there to continue to carry it higher.
As it happened, the Dow rose by 0.4% for the week as a whole, while the Nasdaq and S&P 500 each edged down by about 0.1%.
For unhedged ATM Straddles, the average return was -20.7%, with 70.7% finishing as losers for the week. Losers were even more prominent among 25-Delta Call and 25-Delta Put traders. On the call side, unhedged bets returned an average of -76.0%, losing 94.1% of the time. For puts, the strategy lost 77.8% of the time, but the average return for the week was far better, at -5.7%.
Nordstrom [$JWN] drifted lower early in the week, before suffering a sharp sell off on Friday prompted by an analyst downgrade. The stock fell $4.80, or 8.7%, during the session, to finish at $50.48, it's lowest close since early November. The decline followed a downgrade from JP Morgan Chase, which lowered its rating from Neutral to Underweight. On the options market, the unhedged ATM Straddle had an average return of +390.5%, while the unhedged 25-Delta Put returned +3,017.8%. The unhedged 25 Delta-Call was a total loss.
Meanwhile, Nvidia [$NVDA] rose during the week. Reports, spurred by information included in a company job posting, teased some new products on the horizon. These reports, generally published on Wednesday, were followed up by an upgrade on Thursday, with Evercore raising its rating on the stock to Buy from Hold. The stock rose from a level around $89 early in the week to close Friday at $100.41. The unhedged ATM straddle returned +195.1% for the week. Unhedged 25-Delta Calls were up +1,096.7%. Unhedged 25-Delta Puts were a total loss.
I remember chaos in summer 2015 when HUM was in the midst the merger news. implied vol short up above 100%. If I remember correctly I was able to buy a butterfly spread for zero.
As always courtesy of VolKings. These are the most liquid stocks with increased, earnings related, volatility swings. We have tracked these high volatility stock lists before. And here is prior vol list.
Some Strategy Ideas
Frequently calendar spreads, also called time spreads are used for quarterly reporting by selling the near term option with higher implied volatility and buying the same strike price in the deferred month with a lower implied volatility. However, since this position will have short gamma or the rate of change of delta, any large move of the underlying stock on the report date will result in a loss.
The alternative approach, distinguished by the expiration date of the short option relative to the earnings report date has quite different characteristics.
When the short option expires before the report date, the short option implied volatility is less likely to advance while the implied volatility of the deferred long option, expiring after the report is more likely to advance into the earnings report. In addition, the risk of a harmful stock price gap diminishes by closing the spread before the earnings report release. This strategy depends on closing the position one or two days before the short option expires and is thus, truly a time spread designed to capture time decay of the short front option relative to the long option while any implied volatility advance of the deferred option is a bonus.
Option prices continuously change in response to changing expectations. The higher the uncertainty the more valuable the option, implying there is a much wider distribution of possible outcomes. When they become more predictable, the implied volatilities no longer increase dramatically before the reporting dates, option volume usually declines and they disappear from the Volatility Kings™.
Individual investors relying upon the earnings forecasts and playing the expectations game wondering if they may be too high or too low are disadvantaged when anticipating the direction the stock will move after reporting. However, if the implied volatility has risen enough into the report date it may offer an opportunity for a volatility strategy and not rely upon getting the direction right. In addition, since earnings reports reoccur every quarter there may be more than one opportunity, especially for the ones that have a regular pattern of rising into the report dates.
Commodity Options and Futures
Oil is poised to be this year's top investment asset, notching a nearly 50% gain during 2016, analysts said.The price of crude oil climbed back from a low of $27 a barrel to just south of $58 following several years of poor performance.The price of crude oil today settled at $52.65. The price of Brent oil futures were also up, settling at $54.85.At mid-day today, the price of West Texas Intermediate Crude, the American standard, was $52.97, up 48 cents per barrel, or 0.98%.Brent oil was up too, at $55.02 per barrel, an increase of 56 cents per barrel, or 1.07%. -- Sani Nair( epic research )
Dec 22 Gold edged higher in Asian trade on
Thursday, after ending the prior session nearly flat, as the
U.S. dollar retreated from 14-year highs touched earlier this
by 0049 GMT. Bullion closed nearly flat in the previous session.
* U.S. gold futures were little changed at $1,133.60
* The dollar index, which measures the greenback
against a basket of currencies, slipped 0.1 percent to 102.960.
It reached 103.65 on Tuesday, which was its highest since
-- MCX Tips Provider
F.A.Q. | Announcements
@OPRAnut Thanks for posting! I know e can rely on you to keep us updated on all regulatory stuff. Happy holidays to you !
Still Institutional investors are better informed then crowd. Recent example is the last job report - institutional were buying one day before the job report while the crowd was selling http://www.spreadvectors.com: