CMLviz Trade Machine

[Ophir Gottlieb 62]

7 minutes ago, Yowster said:

@Ophir Gottlieb FYI.  I just sent the email

 Ty, @Yowster

[ChadK 25]

1 hour ago, Ophir Gottlieb said:

The opening trade collected 0.84 credit on width of 3.5.   The closing trade paid 4.16 to close the spread of width 3.5 - this is obviously wrong.

 

I wonder if this is a anomaly of not using the midpoint?  If not, then I suppose it could be coded that, on the day of expiration, no spread be closed for more than it's width.

[Yowster 9,174]

4 minutes ago, ChadK said:

 

I wonder if this is a anomaly of not using the midpoint?  If not, then I suppose it could be coded that, on the day of expiration, no spread be closed for more than it's width.

@ChadKChanging the setting to use the midpoint lowered the closing price to 3.80, which is still significantly above the width.   Cmlviz support has accepted this as a bug, so it will be fixed at some point in the futre.

[Ophir Gottlieb 62]

 

Intelligent Options Trading: Right After Earnings in Netflix Inc (NASDAQ:NFLX)

 

 

Netflix Inc (NASDAQ:NFLX) : Intelligent Options Trading: Right After Earnings

Date Published: 2017-05-9

LEDE 
This is a simple option trade that starts two-days after Netflix Inc (NASDAQ:NFLX) earnings and lasts for the one month to follow, that has been a winner for 3 straight years. 
 

Netflix Inc (NASDAQ:NFLX) Earnings 
While the mainstream media likes to focus on the actual earnings move for a stock, that's the distraction when it comes to the option market. 

For Netflix Inc, irrespective of whether the earnings move was up or down, if we waited two-days after the stock move, and then sold a one-month out of the money put spread, the results were simply staggering. We use two-days to allow the stock to fully reach equilibrium post earnings. 

We can examine this intelligent approach, objectively, with a custom option back-test. Here is our earnings set-up: 
 

Rules 
* Open short put spread 2-days after earnings 
* Close short put spread 29 days later 
* Use the 30-day options 

RETURNS 
If we sold this out-of-the-money put spread in Netflix Inc (NASDAQ:NFLX) over the last three-years but only held it after earnings we get these results: 
 

Intelligent Short Put Spread
* Monthly Options
* Back-test length: three-years
* Open 2-days After Earnings
* Close 29-days Later
* Holding Period: 28-Days per Earnings
Winning Trades:		11
Losing Trades:		1
Post-Earnings Short Put Spread Return:		77%
Annualized Return:		84%

We see a 77% return, testing this over the last 12 earnings dates in Netflix Inc. That's a total of just 336 days (28 days for each earnings date, over 12 earnings dates). 

We can also see that this strategy hasn't been a winner all the time, rather it has won 11 times and lost 1 times, for a 92% win-rate. 
 

MORE TO IT THAN MEETS THE EYE 
While a short put spread is a strategy that gains profits if the underlying stock "doesn't go down a lot," there is more to this with Netflix Inc. 

What we're after with this approach is identifying companies that make their large stock move the day after earnings -- whether that's up or down -- and after that, find a sense of equilibrium in the stock price for the next month. This is what we find in Netflix Inc (NASDAQ:NFLX) . 



WHAT HAPPENED 
Traders that have a plan guess less. This is how people profit from the option market. Take a reasonable idea or hypothesis, test it, and apply lessons learned. 

We hope, if nothing else, you have learned about Netflix Inc (NASDAQ:NFLX) and the intelligence and methodology of option trading and this idea of equilibrium right after earnings.
 

As a Steady Options member, you can try the tools out yourself on promotional pricing here:

Try the back-tester
 

 

 

 

 

 

 

 

 

[Ophir Gottlieb 62]

 

Options Trading Before Earnings in Netflix Inc (NASDAQ:NFLX)

 

 

Netflix Inc (NASDAQ:NFLX) : The Wonderful Secret to Options Trading Before Earnings

Date Published: 2017-05-9

PREFACE 
There is a wonderful secret to trading options right before earnings announcements in Netflix Inc (NASDAQ:NFLX) , and really many stocks, that benefits from the rising implied volatility but avoids the risk into the actual earnings release and also avoids any kind of stock direction risk. 
 

STORY 
Everyone knows that the day of an earnings announcement is a risky event for a stock. This can be explicitly seen in the option market, where the implied volatility (the expected stock move) rises into the earnings event. 

The question every option trader, whether professional or amateur, has long asked is if there is a way to profit from this known volatility rise. It turns out, that over the long-run, for stocks with certain tendencies like Netflix Inc (NASDAQ:NFLX) the answer is actually, yes. 
 

Yes, there is a systematic way to trade this repeating phenomenon, without making a bet on earnings or stock direction.

THE WONDERFUL SECRET 
What a trader wants to do is to see the results of buying an at the money straddle a few days before earnings, and then sell that straddle just before earnings. The goal, is two-fold: (i) to benefit from that known implied volatility rise, and (ii) to own the straddle for a very short period of time when the stock might move 'a lot,' but taking no earnings bets. 

If either of those two phenomena occur, there's a very good chance this wins, if neither occur, the amount risked is normally quite small. 

This trade is not a panacea, which is to say, we have to test it, stock by stock, to see when and why it worked. We start with Netflix Inc. 

Here is the setup: 
 

We are testing opening the position 6 days before earnings and then closing the position 1 day before earnings. This is not making any earnings bet. This is not making any stock direction bet. 

Once we apply that simple rule to our back-test, we run it on an at-the-money straddle: 

RETURNS 
If we did this long at-the-money (also called '50-delta') straddle in Netflix Inc (NASDAQ:NFLX) over the last three-years but only held it before earnings we get these results: 
 

Long At-the-Money Straddle
* Monthly Options
* Back-test length: three-years
* Open 6-days Before Earnings
* Close 1-day Before Earnings
* Holding Period: 5-Days per Earnings
Winning Trades:		5
Losing Trades:		7
Pre-Earnings Straddle Return:		15.1%
Annualized Return:		92%

We see a 15.1% return, testing this over the last 12 earnings dates in Netflix Inc. That's a total of just 60 days (5 days for each earnings date, over 12 earnings dates). That's an annualized rate of 92%. 

We can also see that this strategy hasn't been a winner all the time, rather it has won 5 times and lost 7 times, for a 42% win-rate and again, that 15.1% return in less than two-full months of trading. 


MORE TO IT THAN MEETS THE EYE 
While this strategy is benefiting from the implied volatility rise into earnings, what it's really doing is far more intelligent. 

The option prices for the at-the-money straddle will show very little time decay over this 5-day period, so what this strategy really does is buy "five days" of potential stock movement with what is actually fairly small downside risk. 

That means the ideal stocks for this strategy have a couple of common characteristics: 

(i) The companies rarely pre-announce earnings -- this is an investment that does not look to make an earnings bet, so an earnings pre-announcement is the opposite of what we're hoping for. 

(ii) The underlying stock price of these companies tend to move a lot (or some) as earnings approach and various institutions and traders shuffle the stock price around in anticipation of the earnings result. The more one sided the outside world starts betting on direction -- up or down, the better it is to own the straddle. 

WHAT HAPPENED 
This is it -- this is how people profit from the option market -- it's preparation, not luck. 

We hope, if nothing else, you have learned about Netflix Inc (NASDAQ:NFLX) and the idea of option trading and volatility ahead of earnings. 

You can do this for other stocks on your won using the back-tester:

Tap Here to Learn More

 

 

 

 

 

 

 

[cuegis 683]

7 minutes ago, Ophir Gottlieb said:

 

Options Trading Before Earnings in Netflix Inc (NASDAQ:NFLX)

 

 

Netflix Inc (NASDAQ:NFLX) : The Wonderful Secret to Options Trading Before Earnings

Date Published: 2017-05-9

PREFACE 
There is a wonderful secret to trading options right before earnings announcements in Netflix Inc (NASDAQ:NFLX) , and really many stocks, that benefits from the rising implied volatility but avoids the risk into the actual earnings release and also avoids any kind of stock direction risk. 
 

STORY 
Everyone knows that the day of an earnings announcement is a risky event for a stock. This can be explicitly seen in the option market, where the implied volatility (the expected stock move) rises into the earnings event. 

The question every option trader, whether professional or amateur, has long asked is if there is a way to profit from this known volatility rise. It turns out, that over the long-run, for stocks with certain tendencies like Netflix Inc (NASDAQ:NFLX) the answer is actually, yes. 
 

Yes, there is a systematic way to trade this repeating phenomenon, without making a bet on earnings or stock direction.

THE WONDERFUL SECRET 
What a trader wants to do is to see the results of buying an at the money straddle a few days before earnings, and then sell that straddle just before earnings. The goal, is two-fold: (i) to benefit from that known implied volatility rise, and (ii) to own the straddle for a very short period of time when the stock might move 'a lot,' but taking no earnings bets. 

If either of those two phenomena occur, there's a very good chance this wins, if neither occur, the amount risked is normally quite small. 

This trade is not a panacea, which is to say, we have to test it, stock by stock, to see when and why it worked. We start with Netflix Inc. 

Here is the setup: 
 

We are testing opening the position 6 days before earnings and then closing the position 1 day before earnings. This is not making any earnings bet. This is not making any stock direction bet. 

Once we apply that simple rule to our back-test, we run it on an at-the-money straddle: 

RETURNS 
If we did this long at-the-money (also called '50-delta') straddle in Netflix Inc (NASDAQ:NFLX) over the last three-years but only held it before earnings we get these results: 
 

Long At-the-Money Straddle
* Monthly Options
* Back-test length: three-years
* Open 6-days Before Earnings
* Close 1-day Before Earnings
* Holding Period: 5-Days per Earnings
Winning Trades:		5
Losing Trades:		7
Pre-Earnings Straddle Return:		15.1%
Annualized Return:		92%

We see a 15.1% return, testing this over the last 12 earnings dates in Netflix Inc. That's a total of just 60 days (5 days for each earnings date, over 12 earnings dates). That's an annualized rate of 92%. 

We can also see that this strategy hasn't been a winner all the time, rather it has won 5 times and lost 7 times, for a 42% win-rate and again, that 15.1% return in less than two-full months of trading. 


MORE TO IT THAN MEETS THE EYE 
While this strategy is benefiting from the implied volatility rise into earnings, what it's really doing is far more intelligent. 

The option prices for the at-the-money straddle will show very little time decay over this 5-day period, so what this strategy really does is buy "five days" of potential stock movement with what is actually fairly small downside risk. 

That means the ideal stocks for this strategy have a couple of common characteristics: 

(i) The companies rarely pre-announce earnings -- this is an investment that does not look to make an earnings bet, so an earnings pre-announcement is the opposite of what we're hoping for. 

(ii) The underlying stock price of these companies tend to move a lot (or some) as earnings approach and various institutions and traders shuffle the stock price around in anticipation of the earnings result. The more one sided the outside world starts betting on direction -- up or down, the better it is to own the straddle. 

WHAT HAPPENED 
This is it -- this is how people profit from the option market -- it's preparation, not luck. 

We hope, if nothing else, you have learned about Netflix Inc (NASDAQ:NFLX) and the idea of option trading and volatility ahead of earnings. 

You can do this for other stocks on your won using the back-tester:

Tap Here to Learn More

 

The return is 15.1%. In this specific case, the "annualized" return is also 15.1%.

There are only 20 trading days per year when it is possible to engage in this trade.

The only way the "annualized" return can be higher than "actual" return, would be if the trade can be done everyday of the year.

It dosn't mean you have to do it everyday of the year. It just means that you CAN do it more than the 20 days that were analyzed.

Since you cannot do it more than 20 days per year, a greater return than 15.1%, based on these paramenters, cannot possibly be achieved.

[Yowster 9,174]

@Ophir GottliebThese 2 NFLX write-up are perfect examples, albeit extreme, of why IMO the total gain/loss percentage should be calculated as an average of each trade iteration as opposed to being calculated based on the total dollar returns summed up for all trade iterations (or allow the user to specify equal weight backtests).   NFLX had a 7-for-1 stock split in July 2015, which means these 3 year backtests are heavily skewed to the first year when NFLX stock price was much higher prior to the split.  This first year is weighted more than the next 2 years combined.   This can lead to very misleading data.   If you are opposed to calculating the gain/loss percentage in this fashion, at least include the gain/loss percentage of each trade iteration in the downloadable trade details to make it easier for people to see the gain/loss% for each trade iteration instead of having to manually calculate it.

Edited May 9, 2017 by Yowster

[Ophir Gottlieb 62]

9 minutes ago, cuegis said:

The return is 15.1%. In this specific case, the "annualized" return is also 15.1%.

There are only 20 trading days per year when it is possible to engage in this trade.

The only way the "annualized" return can be higher than "actual" return, would be if the trade can be done everyday of the year.

It dosn't mean you have to do it everyday of the year. It just means that you CAN do it more than the 20 days that were analyzed.

Since you cannot do it more than 20 days per year, a greater return than 15.1%, based on these paramenters, cannot possibly be achieved.

 

Simply incorrect.

 

This strategy takes 20 days per year (or whatever), which means the capital is free to be used for other trades. To report it as annualized without adjusting for that is wrong -- and it is not arguable. This is how returns are computed.

 

Now, if the trade somehow required that money to be tied up, then we cannot annualize it -- but this is not the case.

Edited May 9, 2017 by Ophir Gottlieb

[Ophir Gottlieb 62]

8 minutes ago, Yowster said:

@Ophir GottliebThese 2 NFLX write-up are perfect examples, albeit extreme, of why IMO the total gain/loss percentage should be calculated as an average of each trade iteration as opposed to being calculated based on the total dollar returns summed up for all trade iterations (or allow the user to specify equal weight backtests).   NFLX had a 7-for-1 stock split in July 2015, which means these 3 year backtests are heavily skewed to the first year when NFLX stock price was much higher prior to the split.  This first year is weighted more than the next 2 years combined.   This can lead to very misleading data.   If you are opposed to calculating the gain/loss percentage in this fashion, at least include the gain/loss percentage of each trade iteration in the downloadable trade details to make it easier for people to see the gain/loss% for each trade iteration instead of having to manually calculate it.

 

Averages are coming.

[Ophir Gottlieb 62]

Just now, Ophir Gottlieb said:

 

Averages are coming.

 

Also, if you run this over the last year, when the split had already occurred, the return is 33.3%, or annualized to 100%. The 3-year annualized to 92%. 

[Yowster 9,174]

13 minutes ago, Ophir Gottlieb said:

 

Also, if you run this over the last year, when the split had already occurred, the return is 33.3%, or annualized to 100%. The 3-year annualized to 92%. 

@Ophir Gottlieb  I just deleted my question as I found what was different in my test scenario

 

 

 

 

Edited May 9, 2017 by Yowster

[Ophir Gottlieb 62]

19 minutes ago, Yowster said:

@Ophir Gottlieb  I just deleted my question as I found what was different in my test scenario

 

 

 

 

OK. What was it?

[Ophir Gottlieb 62]

 

After Earnings: The Option Trade in NVIDIA Corporation (NASDAQ:NVDA)

 

Date Published: 2017-05-09 
Written by Ophir Gottlieb 

LEDE 
One option trade after NVIDIA Corporation (NASDAQ:NVDA) posts earnings has been a consistent winner and takes no earnings risk and no stock direction risk. 

NVIDIA Corporation Earnings 
While most of the focus is on the actual earnings move for a stock, that's the distraction when it comes to the option market. For NVIDIA Corporation, irrespective of whether the earnings move was up or down, if we waited two-days after the stock move, and then bought a 40/20 delta iron condor, the results were quite good and remarkably consistent over time. 

 

Note: A prior version of this article referenced 40/10 delta IC, that was incorrect -- this is a 40/20 IC.

We can examine this, objectively, with a custom option back-test. Here is our earnings set-up: 
 

Rules 
* Open long Iron Condor 2 days after earnings 
* Close long Iron Condor 29 days later 
* Use the 30-day option 

Here are the results over the last year: 
 

That's a 113% return, with 7 winning trades and 4 losing trades. The total holding period was less than one full year. No earnings risk was taken, no stock direction risk was taken, but a long volatility bet was taken, after the vol crush. 

The Logic 
This strategy does not take stock direction risk, so bull or bear market, it "should" perform the same. Here's how this strategy did over two-years 
 

That's a 114% return, on 5 winning trades and 2 losing trades. We note the implication that it looks like between 3-years and 2-years ago, the strategy did very little since the return is essentially unchanged. Here's how it did over the last year: 
 

That's a 67.8% return on 2 winning trades and 2 losing trades. Finally, over the last six-months: 
 

Now it's a 47.9% return with 1 winning trade and 1 losing trade. 

It is interesting to note that the winning percentage has always hovered around 50%-70%, so this not a panacea. It is a strategy, which, over time, irrespective of the time frame, has created a sizable winning return. 

WHAT HAPPENED 
There are patterns to stock behaviors before and after earnings and those patterns reveal opportunities in the option market, without taking the actual risk of earnings. You can find them, stock by stock. This is how people profit from the option market -- it's preparation, not luck. 

To see how to do this for any stock we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work 

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. 

The author is long shares of NVIDIA Corporation (NASDAQ:NVDA) as of this writing. 

Back-test Link

 

 

 

 

 

 

Edited May 9, 2017 by Ophir Gottlieb

[Yowster 9,174]

6 minutes ago, Ophir Gottlieb said:

OK. What was it?

@Ophir Gottlieb I wasn't getting the same numbers as your 1 year NFLX test... but then saw that my open/close days parameters were much different.

[Ophir Gottlieb 62]

1 minute ago, Yowster said:

@Ophir Gottlieb I wasn't getting the same numbers as your 1 year NFLX test... but then saw that my open/close days parameters were much different.

 

OK. cool.

[ChadK 25]

29 minutes ago, Ophir Gottlieb said:

then bought a 40/10 delta iron condor

Slight correction.  In the NVDA description, you mention 40/10, but the results photos are 40/20.

 

I wasn't getting even somewhat similar results, and then I finally noticed you were buying the iron condor, not selling.

Edited May 9, 2017 by ChadK

[Ophir Gottlieb 62]

1 minute ago, ChadK said:

Slight correction.  In the NVDA description, you mention 40/10, but the results photos are 40/20.

 

I wasn't getting even somewhat similar results, and then I finally noticed you were buying the iron condor, not selling.

 

Yep. I saw that too. I will correct story. Thanks, Chad.

[cuegis 683]

1 hour ago, Ophir Gottlieb said:

* Close short put spread 29 days later 

There is no short put spread in this trade.

"Buy 40 Delta Call and Put, Sell 20 Delta Call and Put"

That is a "long" put spread.

 

[SBatch 3,123]

9 minutes ago, cuegis said:

There is no short put spread in this trade.

"Buy 40 Delta Call and Put, Sell 20 Delta Call and Put"

That is a "long" put spread.

 

It's actually a long Iron Condor with both a long put and call spread, think that's a typo with regard to buying to close rather than selling to close.

Edited May 9, 2017 by SBatch

[Ophir Gottlieb 62]

3 minutes ago, SBatch said:

It's actually an Iron Condor with both a long put and call spread, think that's a typo with regard to selling to close rather than buying to close.

 

Yep, just a typo. Fixed.

[cuegis 683]

3 minutes ago, SBatch said:

It's actually an Iron Condor with both a long put and call spread.

That's right.....so there is no way to cover the "short put spread" part of the trade 29 days later.

[Ophir Gottlieb 62]

1 minute ago, cuegis said:

That's right.....so there is no way to cover the "short put spread" part of the trade 29 days later.

Correct.

[Ophir Gottlieb 62]

Trading options pre-earnings -- 1 minute 25 second video. (example: $AAPL)

As a Steady Options member, you can get a promotional price, here:

Try the Back-tester

 

 

[Ophir Gottlieb 62]

 

How the Pre-Earnings Straddle Scalp Won in  Regeneron Pharmaceuticals Inc (NASDAQ:REGN)

 

 

Regeneron Pharmaceuticals Inc (NASDAQ:REGN) : The Wonderful Secret to Options Trading Before Earnings

Date Published: 2017-05-11

PREFACE 
Regeneron Pharmaceuticals Inc stock has been as high as $605 and as low as $325 over the last two-years. The stock moves abruptly in short-time periods and earnings turn into volatile events. 

Clever option trading right before earnings announcements in Regeneron Pharmaceuticals Inc that benefits from the rising implied volatility but avoids the risk into the actual earnings release and also avoids any kind of stock direction risk has been a monster winner over the last 2-years. 

This approach has returned 26.5% with a total holding period of just 40 days, or a annualized rate of 242%. Now that's worth looking into. 

STORY 
Everyone knows that the day of an earnings announcement is a risky event for a stock. The question is if there is a way to profit from this known volatility rise. It turns out, that over the long-run, for stocks with certain tendencies like Regeneron Pharmaceuticals Inc (NASDAQ:REGN) the answer is actually, yes. 

THE IDEA 
The goal, is two-fold: (i) to benefit from that known implied volatility rise, and (ii) to own the straddle for a very short period of time when the stock might move 'a lot,' but taking no earnings bets. 

If either of those two phenomena occur, there's a very good chance this wins, if neither occur, the amount risked is normally quite small. Here is the setup: 
 

We are testing opening the position 6 days before earnings and then closing the position 1 day before earnings. This is not making any earnings bet. This is not making any stock direction bet. 

Once we apply that simple rule to our back-test, we run it on an at-the-money straddle: 

RETURNS 
If we did this long at-the-money (also called '50-delta') straddle in Regeneron Pharmaceuticals Inc (NASDAQ:REGN) over the last two-years but only held it before earnings we get these results: 
 

Long At-the-Money Straddle
* Monthly Options
* Back-test length: two-years
* Open 6-days Before Earnings
* Close 1-day Before Earnings
* Holding Period: 5-Days per Earnings
Winning Trades:		5
Losing Trades:		3
Pre-Earnings Straddle Return:		26.5%
Annualized Return:		242%

(Here is the backtest link.) 

We see a 26.5% return, testing this over the last 8 earnings dates in Regeneron Pharmaceuticals Inc. That's a total of just 40 days (5 days for each earnings date, over 8 earnings dates). That's a annualized rate of 242%. 

We can also see that this strategy hasn't been a winner all the time, rather it has won 5 times and lost 3 times, for a 63% win-rate. As important as the win-rate is that the average win was $1,780 and the average loss was $847 (using a 5-lot straddle). 

When a strategy wins more often than it loses, and the average of a winning trade is actually larger in dollars than the average losing trade, you end up with these outsized gains. 

MORE TO IT THAN MEETS THE EYE 
While this strategy is benefiting from the implied volatility rise into earnings, what it's really doing is far more intelligent. 

The option prices for the at-the-money straddle will show very little time decay over this 5-day period, so what this strategy really does is buy "five days" of potential stock movement with what is actually fairly small downside risk. 

WHAT HAPPENED 
This is it -- this is how people profit from the option market. A few clicks of preparation makes all the difference in the world. 

To see how to do this for any stock we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition.

 

 

 

 

[Yowster 9,174]

@Ophir GottliebI think I found a little nuance regarding the pre-earnings straddles/strangles that people should be aware of.  In yesterday's AAPL straddle example in the video it used 0 days before earnings to close the position, and in the REGN example it used 1 day before earnings to close.   And when I changed the REGN test to use 0 days, the 26.5% gain turned into a -28.8% loss - digging into the trade details I saw this was because the position was closed after earnings.   I think we have different behaviors for stocks that report earnings after close and those that report before open.   If the goal is to close the position on the last possible day prior to earnings announcements, I think you need to specify 0 days before earnings for stocks that report after market close and 1 days before earnings for stocks the report before market open.   Does this sound correct to you???

[Ophir Gottlieb 62]

1 minute ago, Yowster said:

@Ophir GottliebI think I found a little nuance regarding the pre-earnings straddles/strangles that people should be aware of.  In yesterday's AAPL straddle example in the video it used 0 days before earnings to close the position, and in the REGN example it used 1 day before earnings to close.   And when I changed the REGN test to use 0 days, the 26.5% gain turned into a -28.8% loss - digging into the trade details I saw this was because the position was closed after earnings.   I think we have different behaviors for stocks that report earnings after close and those that report before open.   If the goal is to close the position on the last possible day prior to earnings announcements, I think you need to specify 0 days before earnings for stocks that report after market close and 1 days before earnings for stocks the report before market open.   Does this sound correct to you???

 

Yep. Exactly what we have in the longer tutorial. A trader needs to toggle between 0 and 1 based on timing of earnings.

[cuegis 683]

1 hour ago, Ophir Gottlieb said:

 

Yep. Exactly what we have in the longer tutorial. A trader needs to toggle between 0 and 1 based on timing of earnings.

Where can I find this longer tutorial???

[SBatch 3,123]

9 minutes ago, cuegis said:

Where can I find this longer tutorial???

It can be found on the sign up page:

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

[cuegis 683]

19 minutes ago, SBatch said:

It can be found on the sign up page:

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

That's funny. It says "you no longer have access to this page"

I'm assuming that is because it is an "ad" page and I am already a subscriber!

[ChadK 25]

No.  Works for me, and I'm a subscriber.

[cuegis 683]

3 minutes ago, ChadK said:

No.  Works for me, and I'm a subscriber.

"

"SteadyOptions | CML TradeMachine

You don't have access to purchase this item."

Strange

 

[Ophir Gottlieb 62]

28 minutes ago, cuegis said:

"

"SteadyOptions | CML TradeMachine

You don't have access to purchase this item."

Strange

 

 

Here is the long tutorial for custom earnings

 

 

[Ophir Gottlieb 62]

 

Option Trading Right Before Earnings in GoPro Inc (NASDAQ:GPRO)

 

 

GoPro Inc (NASDAQ:GPRO) : The Wonderful Secret to Options Trading Before Earnings

Date Published: 2017-05-10

PREFACE 
There is a way to trade options right before earnings announcements in GoPro Inc (NASDAQ:GPRO), and really many stocks, that benefits from the rising implied volatility but avoids the risk into the actual earnings release and also avoids any kind of stock direction risk. 

STORY 
Everyone knows that the day of an earnings announcement is a risky event for a stock. This can be explicitly seen in the option market, where the implied volatility (the expected stock move) rises into the earnings event. 

The question every option trader, whether professional or amateur, has long asked is if there is a way to profit from this known volatility rise. It turns out, that over the long-run, for stocks with certain tendencies like GoPro Inc (NASDAQ:GPRO) the answer is actually, yes. 
 

Yes, there is a systematic way to trade this repeating phenomenon, without making a bet on earnings or stock direction.

THE IDEA 
What a trader wants to do is to see the results of buying an at the money straddle a few days before earnings, and then sell that straddle just before earnings. The goal, is two-fold: (i) to benefit from that known implied volatility rise, and (ii) to own the straddle for a very short period of time when the stock might move 'a lot,' but taking no earnings bets. 

If either of those two phenomena occur, there's a very good chance this wins, if neither occur, the amount risked is normally quite small. Here is the setup: 
 

We are testing opening the position 6 days before earnings and then closing the position 1 day before earnings. This is not making any earnings bet. This is not making any stock direction bet. 

Once we apply that simple rule to our back-test, we run it on an at-the-money straddle: 

RETURNS 
If we did this long at-the-money (also called '50-delta') straddle in GoPro Inc (NASDAQ:GPRO) over the last three-years but only held it before earnings we get these results: 
 

Long At-the-Money Straddle
* Monthly Options
* Back-test length: three-years
* Open 6-days Before Earnings
* Close 1-day Before Earnings
* Holding Period: 5-Days per Earnings
Winning Trades:		5
Losing Trades:		8
Pre-Earnings Straddle Return:		21%
Annualized Return:		118%

(Here is the back-test link.) 

We see a 21% return, testing this over the last 13 earnings dates in GoPro Inc. That's a total of just 65 days (5 days for each earnings date, over 13 earnings dates). That's a annualized rate of 118%. 

We can also see that this strategy hasn't been a winner all the time, rather it has won 5 times and lost 8 times, for a 38% win-rate and again, that 21% return in less than two-full months of trading. 

This approach has also been a winner over the last two-years -- in fact, it has been even better than the last three-years. 
 

Long At-the-Money Straddle
* Monthly Options
* Back-test length: two-years
* Open 6-days Before Earnings
* Close 1-day Before Earnings
* Holding Period: 5-Days per Earnings
Winning Trades:		4
Losing Trades:		4
Pre-Earnings Straddle Return:		43%
Annualized Return:		326%

MORE TO IT THAN MEETS THE EYE 
While this strategy is benefiting from the implied volatility rise into earnings, what it's really doing is far more intelligent. 

The option prices for the at-the-money straddle will show very little time decay over this 5-day period, so what this strategy really does is buy "five days" of potential stock movement with what is actually fairly small downside risk. 

WHAT HAPPENED 
This is it -- this is how people profit from the option market. A few clicks of preparation makes all the difference in the world. 

To see how to do this for any stock we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. 

Back-test Link 

 

 

 

 

 

 

[luxmon 233]

 

49 minutes ago, Ophir Gottlieb said:

We see a 21% return, testing this over the last 13 earnings dates in GoPro Inc. That's a total of just 65 days (5 days for each earnings date, over 13 earnings dates). That's a annualized rate of 118%. 

We can also see that this strategy hasn't been a winner all the time, rather it has won 5 times and lost 8 times, for a 38% win-rate and again, that 21% return in less than two-full months of trading. 

Thanks for sharing this finding, it is very interesting.  I did notice when browsing the actual trades that backtester didn't always buy a straddle (which is understandable since sometimes the nearest call and put might be rounded to a nearby strike based on delta).  However, there was one of the 12 instances where both the call and put were about +/49 delta yet it chose a call that was 1 point in the money (Oct 24, 2014).  I attached a screenshot. 

 

There were also a few other instances where the call strike was less than the put strike of the spread.  Probably not a big deal for the results but might be wise to look into in case someone wanted to enforce a straddle or OTM strangle be used consistently.

Tim  

[Yowster 9,174]

Here' s a brief analysis of the GPRO write-up, digging into the trade details as an example of how just looking at summary data can be quite misleading.  I do love the tool's ease of use and quickness, but I do wish some of the trade write-ups that @Ophir Gottliebposts in this thread would include some of this deeper dive data.

 

GPRO stock ranged in price from over $70 to under $10 during this 3 year backtest.  This means that with the tool's use of dollar returns in its calculations that the results will be heavily skewed to the trade iterations when the price was higher.   Here is a sorted table of trade opening straddle prices and percent return sorted by the straddle price (the difference between high and low straddle prices is 10x).

 

str price  gain/loss
1405        9.61%
925        -2.16%
760        -1.97%
700        39.86%
680        -2.94%
632        -10.13%
564        -2.29%
257        15.18%
253        10.67%
241        0.82%
194        -2.06%
189        -1.06%
140        -13.57%

sum of gain/loss = +39.96% (average of +3.07%)

 

What we have is a trade that averages +3.07% each iteration over 3 years (and that is without commissions as I just looked at opening and closing straddle prices) - and  virtually all of the gains came from the one trade iteration that gained +39.86% with the 12 other iterations basically breaking even.   Does this sound like a trade you would like to have on each earnings cycle???

[Ophir Gottlieb 62]

19 minutes ago, Yowster said:

Here' s a brief analysis of the GPRO write-up, digging into the trade details as an example of how just looking at summary data can be quite misleading.  I do love the tool's ease of use and quickness, but I do wish some of the trade write-ups that @Ophir Gottliebposts in this thread would include some of this deeper dive data.

 

GPRO stock ranged in price from over $70 to under $10 during this 3 year backtest.  This means that with the tool's use of dollar returns in its calculations that the results will be heavily skewed to the trade iterations when the price was higher.   Here is a sorted table of trade opening straddle prices and percent return sorted by the straddle price (the difference between high and low straddle prices is 10x).

 

str price  gain/loss
1405        9.61%
925        -2.16%
760        -1.97%
700        39.86%
680        -2.94%
632        -10.13%
564        -2.29%
257        15.18%
253        10.67%
241        0.82%
194        -2.06%
189        -1.06%
140        -13.57%

sum of gain/loss = +39.96% (average of +3.07%)

 

What we have is a trade that averages +3.07% each iteration over 3 years (and that is without commissions as I just looked at opening and closing straddle prices) - and  virtually all of the gains came from the one trade iteration that gained +39.86% with the 12 other iterations basically breaking even.   Does this sound like a trade you would like to have on each earnings cycle???

 

If you're asking me, yeah that looks like a good trade.

 

Top 4 wins: Top 4 Losses (in %)

+40 : -14     (+26%)

+15 : -10     (+5%)

+11 : -3       (+8%)

+10 : -2      (+8%)

 

That's a remarkable track record. 

 

[Ophir Gottlieb 62]

1 hour ago, luxmon said:

 

Thanks for sharing this finding, it is very interesting.  I did notice when browsing the actual trades that backtester didn't always buy a straddle (which is understandable since sometimes the nearest call and put might be rounded to a nearby strike based on delta).  However, there was one of the 12 instances where both the call and put were about +/49 delta yet it chose a call that was 1 point in the money (Oct 24, 2014).  I attached a screenshot. 

 

There were also a few other instances where the call strike was less than the put strike of the spread.  Probably not a big deal for the results but might be wise to look into in case someone wanted to enforce a straddle or OTM strangle be used consistently.

Tim  

 

Yeah, those deltas are weird. They come from Option Metrics, which is widely considered the most robust option modeling. I will ask them.

[Ophir Gottlieb 62]

 

Exactly how to trade Netflix options right after earnings

 

 

Netflix Inc (NASDAQ:NFLX) : Intelligent Options Trading: Right After Earnings

Date Published: 2017-05-9

LEDE 
This is a simple option trade that starts two-days after Netflix Inc (NASDAQ:NFLX) earnings and lasts for the one month to follow, that has been a winner for 3 straight years. 

Netflix Inc (NASDAQ:NFLX) Earnings 
While the mainstream media likes to focus on the actual earnings move for a stock, that's the distraction when it comes to the option market. 

For Netflix Inc, irrespective of whether the earnings move was up or down, if we waited two-days after the stock move, and then sold an one-month out of the money put spread, the results were simply staggering. We use two-days to allow the stock to fully reach equilibrium post earnings. 

We can examine this intelligent approach, objectively, with a custom option back-test. Here is our earnings set-up: 
 

Rules 
* Open short put spread 2-days after earnings 
* Close short put spread 29 days later 
* Use the 30-day options 

RETURNS 
If we sold this out-of-the-money put spread in Netflix Inc (NASDAQ:NFLX) over the last three-years but only held it after earnings we get these results: 
 

Intelligent Short Put Spread
* Monthly Options
* Back-test length: three-years
* Open 2-days After Earnings
* Close 29-days Later
* Holding Period: 28-Days per Earnings
Winning Trades:		11
Losing Trades:		1
Post-Earnings Short Put Spread Return:		77%
Annualized Return:		84%

We see a 77% return, testing this over the last 12 earnings dates in Netflix Inc. That's a total of just 336 days (28 days for each earnings date, over 12 earnings dates). 

We can also see that this strategy hasn't been a winner all the time, rather it has won 11 times and lost 1 times, for a 92% win-rate. 

MORE TO IT THAN MEETS THE EYE 
While a short put spread is a strategy that gains profits if the underlying stock "doesn't go down a lot," there is more to this with Netflix. 

What we're after with this approach is identifying companies that make their large stock move the two-days after earnings -- whether that's up or down -- and after that, find a sense of equilibrium in the stock price for the next month. This is what we find in Netflix and several other companies, even if they miss earnings badly, like Twitter. 

WHAT HAPPENED 
This is how people profit from the option market. Take a reasonable idea or hypothesis, test it, and apply lessons learned. 

To see how to do this for any stock and for any strategy with just the click of a few buttons, we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition.

 

[Ophir Gottlieb 62]

This is how i use the back-tester to find edge.

 

This is a case study with Netflix, where we end up reducing risk by 83% and nearly doubling returns.

 

As a Steady Options member, you can try the back-tester for $49/mo. Here you go: https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

 

 

 

[eudaimonia 13]

@Ophir Gottlieb Any updates on when calendars will be available? 

[Ophir Gottlieb 62]

2 hours ago, eudaimonia said:

@Ophir Gottlieb Any updates on when calendars will be available? 

 

Yep, we're getting there. It takes a fair amount of work for the edge cases so it has put us a little behind. Still looking at end of May -- we are making good progress. If you want to be a beta tester and really help us get the bugs out you can email support@cmlviz.com with "beta tester" in the subject and in the body note that you want to beta test the custom strategies.  We will likely have a private beta out in less than a week -- then it's about testing (we do have automated testing as well, of course).

[eudaimonia 13]

1 hour ago, Ophir Gottlieb said:

 

Yep, we're getting there. It takes a fair amount of work for the edge cases so it has put us a little behind. Still looking at end of May -- we are making good progress. If you want to be a beta tester and really help us get the bugs out you can email support@cmlviz.com with "beta tester" in the subject and in the body note that you want to beta test the custom strategies.  We will likely have a private beta out in less than a week -- then it's about testing (we do have automated testing as well, of course).

Yes, I can definitely understand that it's a lot of work. I'd love to be a beta tester. I'll send an email. Thanks!

[Ophir Gottlieb 62]

Here it is -- a portfolio of FAANG stocks using pre-earnings trading. A 3:30 video that is staggering and includes some robustness testing.

 

Reminder that you can sign up for Trade Machine as a Steady Options member here:

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/

 

https://youtu.be/RghygABxyKY

 

[Nitromicro 3]

Ok, I just bought a membership in CML and am doing the trial with SO. Looks like I've found 2 great sources for back tested options trading ideas.  Thanks to all.

[cuegis 683]

On 5/21/2017 at 7:18 PM, Nitromicro said:

Ok, I just bought a membership in CML and am doing the trial with SO. Looks like I've found 2 great sources for back tested options trading ideas.  Thanks to all.

I don't mean to be pushy but....how would you like to share those 2 great sources? Unless they are proprietary.

[Djtux 548]

3 minutes ago, cuegis said:

I don't mean to be pushy but....how would you like to share those 2 great sources? Unless they are proprietary.

I think he/she was talking about CML and SO.

Edited May 23, 2017 by Djtux

[cuegis 683]

27 minutes ago, Djtux said:

I think he/she was talking about CML and SO.

Oy! Guess I missed that one!

[Ophir Gottlieb 62]

 

How to Profit from Visa Inc Options Right After Earnings

Date Published: 2017-05-23 
Written by Ophir Gottlieb 

LEDE 
While Visa Inc (NYSE:V) just broke another all-time high in stock price, one option trade after earnings has been a consistent winner, has a much shorter holding period, and has vastly outperformed the stock. It takes no earnings risk, little stock direction risk, and over the last year has never lost while returning over 100% annualized returns. 

The Trade After Earnings 
While most of the focus is on the actual earnings move for a stock, that's the distraction when it comes to the option market. For Visa Inc, irrespective of whether the earnings move was up or down, if we waited two-days after the stock move from earnings, and then sold an at the money put spread, the results were very strong. 

We can examine this, objectively, with a custom option back-test. Here is our earnings set-up: 
 

Rules 
* Open short put spread 2 day after earnings 
* Close short put spread 29 days later 
* Use the option that is closest to but greater than 30-days away from expiration 

Here are the results over the last year -- while also comparing this strategy to the less refined idea of just selling the put spread every month, while also avoiding earnings. 
 

 
Back-test Link

Focusing in just the month after earnings, we see a 79.1% return over a total of 12 earnings releases. But, doing this strategy all year returned just 57.7%. For each approach, no earnings risk was taken -- this is not a coin flip over earnings. 

But there's more here. For clarity, this is how the two strategies differ: 
 

By only trading the month after earnings, we are looking at a strategy that only had open positions for 12 full months (one-month per earnings period, 4 earnings releases per year). The other approach did in fact take full 3-years to realize and that means it tied up the margin for much longer. 

The Logic 
The logic behind this trade follows a narrative that even after a bad earnings release, if we wait two days after, we find the stock at a point of equilibrium. 

If it gapped down -- that gap is over. If it beat earnings, the downside move is already likely muted. Here's how this strategy has done over the last year, again compared side-by-side to the short put strategy that traded all months: 
 

 
Back-test Link

The "single-month" approach returned 35.6% over the last four earnings cycles, but since this is a total of a four-month holding period, that 35.6% is actually over 105% annualized. The approach that held during all months returned just 10.3%, and that is the annual return -- it took a full year to realize. 

During the last year, the stock is up 21.8%. 

WHAT HAPPENED 
There are patterns to stock behaviors before and after earnings and those patterns reveal opportunities in the option market, without taking the actual risk of earnings. You can find them, stock by stock, Apple, Google, Netflix and of course Visa Inc are just a handful of examples. There has been edge here with this strategy. 

To see how to do this for any stock and for any strategy with just the click of a few buttons, we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work 

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. 

The author has no position in Visa Inc as of this writing. 

Back-test Link

 

 

 

 

 

[cuegis 683]

40 minutes ago, Ophir Gottlieb said:

 

How to Profit from Visa Inc Options Right After Earnings

Date Published: 2017-05-23 
Written by Ophir Gottlieb 

LEDE 
While Visa Inc (NYSE:V) just broke another all-time high in stock price, one option trade after earnings has been a consistent winner, has a much shorter holding period, and has vastly outperformed the stock. It takes no earnings risk, little stock direction risk, and over the last year has never lost while returning over 100% annualized returns. 

The Trade After Earnings 
While most of the focus is on the actual earnings move for a stock, that's the distraction when it comes to the option market. For Visa Inc, irrespective of whether the earnings move was up or down, if we waited two-days after the stock move from earnings, and then sold an at the money put spread, the results were very strong. 

We can examine this, objectively, with a custom option back-test. Here is our earnings set-up: 
 

Rules 
* Open short put spread 2 day after earnings 
* Close short put spread 29 days later 
* Use the option that is closest to but greater than 30-days away from expiration 

Here are the results over the last year -- while also comparing this strategy to the less refined idea of just selling the put spread every month, while also avoiding earnings. 
 

 
Back-test Link

Focusing in just the month after earnings, we see a 79.1% return over a total of 12 earnings releases. But, doing this strategy all year returned just 57.7%. For each approach, no earnings risk was taken -- this is not a coin flip over earnings. 

But there's more here. For clarity, this is how the two strategies differ: 
 

By only trading the month after earnings, we are looking at a strategy that only had open positions for 12 full months (one-month per earnings period, 4 earnings releases per year). The other approach did in fact take full 3-years to realize and that means it tied up the margin for much longer. 

The Logic 
The logic behind this trade follows a narrative that even after a bad earnings release, if we wait two days after, we find the stock at a point of equilibrium. 

If it gapped down -- that gap is over. If it beat earnings, the downside move is already likely muted. Here's how this strategy has done over the last year, again compared side-by-side to the short put strategy that traded all months: 
 

 
Back-test Link

The "single-month" approach returned 35.6% over the last four earnings cycles, but since this is a total of a four-month holding period, that 35.6% is actually over 105% annualized. The approach that held during all months returned just 10.3%, and that is the annual return -- it took a full year to realize. 

During the last year, the stock is up 21.8%. 

WHAT HAPPENED 
There are patterns to stock behaviors before and after earnings and those patterns reveal opportunities in the option market, without taking the actual risk of earnings. You can find them, stock by stock, Apple, Google, Netflix and of course Visa Inc are just a handful of examples. There has been edge here with this strategy. 

To see how to do this for any stock and for any strategy with just the click of a few buttons, we welcome you to watch this quick demonstration video: 
Tap Here to See the Tools at Work 

Thanks for reading. 

Risk Disclosure 
You should read the Characteristics and Risks of Standardized Options. 

Past performance is not an indication of future results. 

Trading futures and options involves the risk of loss. Please consider carefully whether futures or options are appropriate to your financial situation. Only risk capital should be used when trading futures or options. Investors could lose more than their initial investment. 

Past results are not necessarily indicative of future results. The risk of loss in trading can be substantial, carefully consider the inherent risks of such an investment in light of your financial condition. 

The author has no position in Visa Inc as of this writing. 

Back-test Link

 

 

 

 

 

We have seen how this general strategy, with the same post earnings restraints, has done very well with many stocks.

In your testing , was there something that really stood out from the rest, that was specific to Visa?

I don't have answer to this but, there are many times where the immediate post earnings reaction, is a large initial move down.

Then, as you point out, after 1-2 days when things settle down, selling a put spread will provide you with the best of both worlds. (i.e. you avoid have a position for the down move , plus you also avoid the IV collapse).

But, what about in the identical, but opposite, post earnings reaction, where the stock's initial move is a large up move for the first day or 2.

Could we isolate those cases to see if doing the reverse (selling call spreads) would have similar results?

[Ophir Gottlieb 62]

@Kim

 

We're up in beta with custom strategies.

 

Here is the pre-earnings calendar straddle.

 

First, create the strategy and save it:

 

Then define your earnings timing:

 

And test multiple symbols at once: Here is HD, BWLD and FB

 

For all Steady Options members, you can sign up on promotion here:

https://cmlviz.com/register/cml-trademachine-49-mo-promotion-so/