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CML TradeMachine Trade Ideas

NikTam

By NikTam
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Yowster Hero Member

Yowster

Posted
Posted (edited)
6 minutes ago, Antoxa said:

@Yowster, is it possible to calculate what would be a gain per $1 of move?

@AntoxaJust look at the current option chain and look at prices for straddles +/-1.0 from ATM.   Also, gains will accelerate the farther away from ATM your strike gets, so its not simply adding the same amount for each $1 stock price move.  So, the first $1 move away from your strike the gains will grow much slower than the next $1 move farther away.  And this is based on current RV levels, so if RV drops that will decrease gains as well (if RV rises it will add to gains).

Edited by Yowster
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zxcv64
zxcv64

Having completed a 100 CML trades, I thought I would summarise my results.    Summary : 100 trades, 66 winners, overall profit of 12.1% PER TRADE.   Here is a detailed breakdown, w

greenspan76
greenspan76

This topic was a little more active a while back and I had intended to give an update on my results at the 1 year mark, but I've been busy with other projects the last few months. My first CML trade w

cuegis
cuegis

Here is an example of how I have used CML as an adjunct to the SO calendar trades, pre earnings. We know that those calendars , on their own, are very good trades, with a great success rate.

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greenspan76 Hero Member

greenspan76

Posted
Posted (edited)

I entered the TEVA and NVDA trades:

TEVA 21/21.5 Feb16 Strangle for $2.25 (TEVA at 21.30)

 

NVDA +252.5/-277.5 Mar9 Call spread at $6.40 (NVDA at 241.76). The CML setup I used (which was posted back in July 2017 and is not the same as the one just posted on Ophir's blog today) was a 50 delta call or alternative setup of +40/-20 delta call spread, which is what I chose. Much better prices available after I opened.

Edited by greenspan76
clarify CML setup info
krisbee Hero Member

krisbee

Posted
Posted
3 minutes ago, greenspan76 said:

I entered the TEVA and NVDA trades:

TEVA 21/21.5 Feb16 Strangle for $2.25 (TEVA at 21.30)

 

NVDA +252.5/-277.5 Mar9 Call spread at $6.40 (NVDA at 241.76)

I read in a tweet, saying they'll wait for NVDA till apple earnings is announced. looks like nvda price reacts according to apple results. 

 

greenspan76 Hero Member

greenspan76

Posted
Posted
Just now, krisbee said:

I read in a tweet, saying they'll wait for NVDA till apple earnings is announced. looks like nvda price reacts according to apple results. 

 

Good info...didn't catch that.

greenspan76 Hero Member

greenspan76

Posted
Posted
2 hours ago, NikTam said:

For what it's worth:  Here's non-earnings bull squeeze play on TEVA.  It would be entering today.  And it is currently breaking higher.

http://tm.cmlviz.com/index.php?share_key=20180201182018_OZHW9on5g3dsQhJ8

For me, this link is showing YY, which is on day 3 of a squeeze and is not ready yet. I'm also not seeing a bull squeeze breakout on TEVA, which is the stock you mentioned. It looks to me like today is day 1 of a squeeze, so it still would have 4? 5? (can't remember CML's criteria) more days of squeeze, followed by a breakout of 1%+ to be a valid entry. Maybe I'm missing something?

akito Hero Member

akito

Posted
Posted (edited)

Entered NVDA feb16, 257.5 call at 5.80 debit and TEVA feb16, 21/21.5 strangle for 2.24 debit. For NVDA, went with a longer expiration to be a bit more conservative and a higher strike to get a cheaper option that was more in line with what I am willing to risk on a single long call trade. (alternatively, could have also gone with a spread to lower costs)

Edited by akito
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NikTam Hero Member

NikTam

Posted
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Posted
3 hours ago, greenspan76 said:

For me, this link is showing YY, which is on day 3 of a squeeze and is not ready yet. I'm also not seeing a bull squeeze breakout on TEVA, which is the stock you mentioned. It looks to me like today is day 1 of a squeeze, so it still would have 4? 5? (can't remember CML's criteria) more days of squeeze, followed by a breakout of 1%+ to be a valid entry. Maybe I'm missing something?

Sorry.  I may have messed up on that.  I will have to look at tomorrow.  

NikTam Hero Member

NikTam

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Posted

I am out of all PE momentum trades -- NVDA and YY triggered yesterday at 25% losses.  AKAM and WYNN today at BE and a small gain.  This has been a very bearish week and I don't want to hold through the weekend. 

Maji Hero Member

Maji

Posted
Posted

I would like some feedback from SO members who have been using CML trademachine. After I looked at the latest after earnings AAPL trade this morning, I am thinking of canceling my CML subscription. Risk 2.50 to make 0.50 is the premise. Also, I feel these trades CML is recommending are almost cherry picked (read over optimized) by looking back at an established bull market. I am sure they had a few great recommendations but those were mostly directional trades except a couple of ICs. I think I may better spend this money on ONE, if I am looking to do backtesting. 

Their much hyped squeeze and momentum systems don't seem to be really functional, and they are tinkering with it all the time. It looks like over optimization to me.

I am on the fence and would like to know what you all think? 

krisbee Hero Member

krisbee

Posted
Posted
5 minutes ago, Maji said:

I would like some feedback from SO members who have been using CML trademachine. After I looked at the latest after earnings AAPL trade this morning, I am thinking of canceling my CML subscription. Risk 2.50 to make 0.50 is the premise. Also, I feel these trades CML is recommending are almost cherry picked (read over optimized) by looking back at an established bull market. I am sure they had a few great recommendations but those were mostly directional trades except a couple of ICs. I think I may better spend this money on ONE, if I am looking to do backtesting. 

Their much hyped squeeze and momentum systems don't seem to be really functional, and they are tinkering with it all the time. It looks like over optimization to me.

I am on the fence and would like to know what you all think? 

I had cml subscription for few days and cancelled it. I really don't need it as I do very rarely directional trade. all the posted CML URL of backtesting that I posted are posted by someone in twitter feed. I validate it by seeing the gamma gain using volatilityhq website and take my own decision on when to enter and exit. So far I could succeed appx more than 95% on that. more over cmlviz news URL of all potential newsletter is public. u can access it anytime. One of those trade is recently Kim did on pre earnings strangle.

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Stanislav Hero Member

Stanislav

Posted
Posted
11 minutes ago, Maji said:

I would like some feedback from SO members who have been using CML trademachine. After I looked at the latest after earnings AAPL trade this morning, I am thinking of canceling my CML subscription. Risk 2.50 to make 0.50 is the premise. Also, I feel these trades CML is recommending are almost cherry picked (read over optimized) by looking back at an established bull market. I am sure they had a few great recommendations but those were mostly directional trades except a couple of ICs. I think I may better spend this money on ONE, if I am looking to do backtesting. 

Their much hyped squeeze and momentum systems don't seem to be really functional, and they are tinkering with it all the time. It looks like over optimization to me.

I am on the fence and would like to know what you all think? 

I canceled my CML subscription last summer after using it for a couple of days for exactly same reasons. Their backtesting is not very convincing, most of the recommendations they publish are bullish trades - with bull market not surprising this works. The backtester itself is very basic, lacks much of the functionality real option backtester needs. And, as @krisbee mentioned most of CML research is freely available online anyway.

 

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Yowster Hero Member

Yowster

Posted
Posted

Regarding CML...  I guess it boils down to what you are looking for.

  • If you are looking for a quick and easy to use backtester that identifies mostly directional plays (with the backdrop of a long running bull market) then its a good tool.  Although you'll still find some bugs when you dig into trade iteration details.
  • If you are looking for volatility based, non-directional backtesting tool, then not so much.   There is no way to factor in trade entry/exit criteria based on volatility based stats.  

I still have a subscription to CML, but I doubt I use it enough to warrant keeping it longer term.   Note that there is nothing wrong with the directional plays suggested if that is what you primarily use it for.  My personal preference is to limit my options trading to non-directional volatility based trades (I have enough directional in 401k, so I don't want my options trading to be simply more of the same), and the SO trades work as evidenced by the winning trade percentages.   So, in my case, I need the RV charting tools for making trade decisions but I don't need CML for that.

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dfwjf92jfd Member

dfwjf92jfd

Posted
Posted

I agree with the above. I cancelled my subscription as well for the same reasons. I write my own code for backtesting so don't really need a nice UI.

Backtesting is seductive since you can engineer strategies that look insanely profitable. But in reality you're just overfitting to the data, *especially* with directional trades - it is a fiendishly difficult problem since you *want* to believe what the backtesting is telling you. To backtest correctly, you need to correct for overfitting, which means testing your strategies over out-of-sample data, and select data from a wide variety of market conditions. It's always a rude awakening when you see your insanely profitable strategy collapse upon meeting out-of-sample data (including in your own trading account). I've definitely experienced this first-hand.

I think there's definitely a lot of validity to momentum trading, but it only works until it the day it stops. I think the trick is recognizing when that day has arrived, and stopping these trades. For me, that pretty much sums up January, since it was such an unusual month given the recent past, at least in terms of the short-volatility trades like the SVXY and VXX strategies. I, like @Yowster, also did a number of post-earnings condors, which worked very well until the very recent past, so I've drastically reduced my position size with these trades. Again, they all look fabulous in a backtest...

In times like these I think it's best to be long volatility and market-neutral until some of the dust settles. I've also been increasing my commodity trades, since these are not particularly correlated to US equities. The beauty of options is that you can profit from any market condition in any market that has sufficient liquidity so it gives you that sort of flexibility. 

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zxcv64 Hero Member

zxcv64

Posted
Posted
On 02/02/2018 at 7:45 PM, dfwjf92jfd said:

I've also been increasing my commodity trades, since these are not particularly correlated to US equities.

Would you care to post something on here....

https://steadyoptions.com/forums/forum/45-commodities-trading/

Whilst there is no compulsion on any member to post anything, or give details of their trades, there are a number of us commodity-virgins who are itching for someone with experience to start contributing to that forum. It would be enormously useful to us.

Even just a post detailing an old trade which you have done, with the rationale behind it, and the final outcome, would provide some useful detail.

 

 

akito Hero Member

akito

Posted
Posted
On 2/1/2018 at 4:02 PM, akito said:

Entered NVDA feb16, 257.5 call at 5.80 debit and TEVA feb16, 21/21.5 strangle for 2.24 debit. For NVDA, went with a longer expiration to be a bit more conservative and a higher strike to get a cheaper option that was more in line with what I am willing to risk on a single long call trade. (alternatively, could have also gone with a spread to lower costs)

Closed my TEVA strangle today for 2.52 credit around 10am ET, I think it was. 12.5% gain. I think there was around 20% gain near open, but I was busy trying to figure out what was going to happen with SVXY and working with the SPX trade.

 

Also forgot to mention that I closed my NVDA long call last Friday for around 30% loss.

NikTam Hero Member

NikTam

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Posted (edited)
2 hours ago, Khonsu said:

Would someone with CML access mind backtesting ANET to see how well it performs for 7 Day and 3 Day PE Long calls?

ANET reports 2/15 AC.

 

It doesn't back test well for either.  Here's the 7 day.  http://tm.cmlviz.com/index.php?share_key=20180206233312_BzKlJNzU8CTBEZj9

3 day http://tm.cmlviz.com/index.php?share_key=20180206233502_Iy3jN3ldDX0UPXnT

Edited by NikTam
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NikTam Hero Member

NikTam

Posted
  • Author
Posted
12 minutes ago, Sirion said:

Anyone looking at any post-earnings ICs while residual IV is still high? Probably best to go with wide strikes but might be an opportunity to open here

FTV earnings on 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180207021552_tD4yIlrgur3B2MQ9

K earnings on 2/8  http://tm.cmlviz.com/index.php?share_key=s_0_20180207001858_pj2hNavUGb56F28j

MHK earnings on 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180202142812_WQQccq3cWjzlEyBu

@Sirion let me know what you think.

Sirion Hero Member

Sirion

Posted
Posted
1 hour ago, NikTam said:

FTV earnings on 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180207021552_tD4yIlrgur3B2MQ9

K earnings on 2/8  http://tm.cmlviz.com/index.php?share_key=s_0_20180207001858_pj2hNavUGb56F28j

MHK earnings on 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180202142812_WQQccq3cWjzlEyBu

@Sirion let me know what you think.

 

59 minutes ago, NikTam said:

Two more.  These are all S&P stocks

HOLX earnings 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180202124047_G1jPReT92GNTgAS0

FLT earnings 2/8 http://tm.cmlviz.com/index.php?share_key=s_0_20180202143810_1VIoY5KT0gp061q4

Only red flag for me is that HOLX is a medical sector company, might be more of a landmine than the others. 

I especially like Kellogg, as I'm struggling to imagine the kind of news story that would shake it up (barring some kind of scandal). 

This is a lot of positions on a similar timeline, so it provides a good opportunity to spread the risk around a bit. The main concern will be broad market movement, but I think these should mostly have muted responses overall.

I'm considering quarter positions for each of the 4, and maaaybe oversizing kellogg a little depending on the kind of credit available. 

FLT is a little questionable on a second look too, 2 losses and fairly big ones. Might pass, depending on credit available.

NikTam Hero Member

NikTam

Posted
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Posted
4 minutes ago, Sirion said:

 

Only red flag for me is that HOLX is a medical sector company, might be more of a landmine than the others. 

I especially like Kellogg, as I'm struggling to imagine the kind of news story that would shake it up (barring some kind of scandal). 

This is a lot of positions on a similar timeline, so it provides a good opportunity to spread the risk around a bit. The main concern will be broad market movement, but I think these should mostly have muted responses overall.

I'm considering quarter positions for each of the 4, and maaaybe oversizing kellogg a little depending on the kind of credit available. 

FLT is a little questionable on a second look too, 2 losses and fairly big ones. Might pass, depending on credit available.

I like K the best, also.  MHK has been a steady-eddy for long time -- but really dropped out of the zone with this last bit of volatility.

NikTam Hero Member

NikTam

Posted
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Posted (edited)

The pattern used for backtesting is open 2 days after earnings and close at 40% gain, or 21 days after earnings.

 

Date    Description    Size    Symbol    Expiration    Strike    Type    Trade Price    Profit/Loss    Stock Price
17-Feb-15    Open 2DaysAfterEarnings:Short Calls    -5    K    Mar20`15    65    Call     $0.45          $63.21
17-Feb-15    Open 2DaysAfterEarnings:Short Puts    -5    K    Mar20`15    62.5    Put     $1.1          $63.21
17-Feb-15    Open 2DaysAfterEarnings:Long Calls    5    K    Mar20`15    67.5    Call     $0.15          $63.21
17-Feb-15    Open 2DaysAfterEarnings:Long Puts    5    K    Mar20`15    60    Put     $0.35          $63.21
27-Feb-15    Close 40%CloseAfterGains:Short Calls    5    K    Mar20`15    65    Call     $0.52    -$40     $64.48
27-Feb-15    Close 40%CloseAfterGains:Short Puts    5    K    Mar20`15    62.5    Put     $0.3     $400     $64.48
27-Feb-15    Close 40%CloseAfterGains:Long Calls    -5    K    Mar20`15    67.5    Call     $0.12    -$15     $64.48
27-Feb-15    Close 40%CloseAfterGains:Long Puts    -5    K    Mar20`15    60    Put     $0.1    -$125     $64.48
 7-May-15    Open 2DaysAfterEarnings:Short Calls    -5    K    Jun19`15    65    Call     $0.7          $63.56
 7-May-15    Open 2DaysAfterEarnings:Short Puts    -5    K    Jun19`15    62.5    Put     $1.2          $63.56
 7-May-15    Open 2DaysAfterEarnings:Long Calls    5    K    Jun19`15    67.5    Call     $0.25          $63.56
 7-May-15    Open 2DaysAfterEarnings:Long Puts    5    K    Jun19`15    60    Put     $0.48          $63.56
26-May-15    Close 21DaysAfterEarnings:Short Calls    5    K    Jun19`15    65    Call     $0.22     $235     $63
26-May-15    Close 21DaysAfterEarnings:Short Puts    5    K    Jun19`15    62.5    Put     $0.95     $125     $63
26-May-15    Close 21DaysAfterEarnings:Long Calls    -5    K    Jun19`15    67.5    Call     $0.1    -$75     $63
26-May-15    Close 21DaysAfterEarnings:Long Puts    -5    K    Jun19`15    60    Put     $0.25    -$115     $63
 6-Aug-15    Open 2DaysAfterEarnings:Short Calls    -5    K    Sep18`15    70    Call     $0.65          $68.86
 6-Aug-15    Open 2DaysAfterEarnings:Short Puts    -5    K    Sep18`15    67.5    Put     $0.92          $68.86
 6-Aug-15    Open 2DaysAfterEarnings:Long Calls    5    K    Sep18`15    72.5    Call     $0.18          $68.86
 6-Aug-15    Open 2DaysAfterEarnings:Long Puts    5    K    Sep18`15    65    Put     $0.3          $68.86
24-Aug-15    Close -40%CloseAfterLosses:Short Calls    5    K    Sep18`15    70    Call     $0.28     $180     $65.74
24-Aug-15    Close -40%CloseAfterLosses:Short Puts    5    K    Sep18`15    67.5    Put     $2.95    -$1015     $65.74
24-Aug-15    Close -40%CloseAfterLosses:Long Calls    -5    K    Sep18`15    72.5    Call     $0.18          $65.74
24-Aug-15    Close -40%CloseAfterLosses:Long Puts    -5    K    Sep18`15    65    Put     $1.5     $600     $65.74
 5-Nov-15    Open 2DaysAfterEarnings:Short Calls    -5    K    Dec18`15    70    Call     $1.3          $69.37
 5-Nov-15    Open 2DaysAfterEarnings:Short Puts    -5    K    Dec18`15    67.5    Put     $1.23          $69.37
 5-Nov-15    Open 2DaysAfterEarnings:Long Calls    5    K    Dec18`15    75    Call     $0.15          $69.37
 5-Nov-15    Open 2DaysAfterEarnings:Long Puts    5    K    Dec18`15    62.5    Put     $0.35          $69.37
24-Nov-15    Close 21DaysAfterEarnings:Short Calls    5    K    Dec18`15    70    Call     $0.5     $395     $67.86
24-Nov-15    Close 21DaysAfterEarnings:Short Puts    5    K    Dec18`15    67.5    Put     $1.45    -$110     $67.86
24-Nov-15    Close 21DaysAfterEarnings:Long Calls    -5    K    Dec18`15    75    Call     $0.1    -$25     $67.86
24-Nov-15    Close 21DaysAfterEarnings:Long Puts    -5    K    Dec18`15    62.5    Put     $0.25    -$50     $67.86
16-Feb-16    Open 2DaysAfterEarnings:Short Calls    -5    K    Mar18`16    77.5    Call     $0.75          $75.19
16-Feb-16    Open 2DaysAfterEarnings:Short Puts    -5    K    Mar18`16    72.5    Put     $1.02          $75.19
16-Feb-16    Open 2DaysAfterEarnings:Long Calls    5    K    Mar18`16    80    Call     $0.3          $75.19
16-Feb-16    Open 2DaysAfterEarnings:Long Puts    5    K    Mar18`16    70    Put     $0.5          $75.19
29-Feb-16    Close 40%CloseAfterGains:Short Calls    5    K    Mar18`16    77.5    Call     $0.2     $270     $74.02
29-Feb-16    Close 40%CloseAfterGains:Short Puts    5    K    Mar18`16    72.5    Put     $0.62     $200     $74.02
29-Feb-16    Close 40%CloseAfterGains:Long Calls    -5    K    Mar18`16    80    Call     $0.05    -$125     $74.02
29-Feb-16    Close 40%CloseAfterGains:Long Puts    -5    K    Mar18`16    70    Put     $0.22    -$140     $74.02
 9-May-16    Open 2DaysAfterEarnings:Short Calls    -5    K    Jun17`16    77.5    Call     $0.57          $75.34
 9-May-16    Open 2DaysAfterEarnings:Short Puts    -5    K    Jun17`16    72.5    Put     $0.75          $75.34
 9-May-16    Open 2DaysAfterEarnings:Long Calls    5    K    Jun17`16    80    Call     $0.18          $75.34
 9-May-16    Open 2DaysAfterEarnings:Long Puts    5    K    Jun17`16    70    Put     $0.38          $75.34
26-May-16    Close 21DaysAfterEarnings:Short Calls    5    K    Jun17`16    77.5    Call     $0.3     $130     $75.33
26-May-16    Close 21DaysAfterEarnings:Short Puts    5    K    Jun17`16    72.5    Put     $0.43     $160     $75.33
26-May-16    Close 21DaysAfterEarnings:Long Calls    -5    K    Jun17`16    80    Call     $0.1    -$40     $75.33
26-May-16    Close 21DaysAfterEarnings:Long Puts    -5    K    Jun17`16    70    Put     $0.18    -$100     $75.33
 8-Aug-16    Open 2DaysAfterEarnings:Short Calls    -5    K    Sep16`16    85    Call     $1.02          $82.92
 8-Aug-16    Open 2DaysAfterEarnings:Short Puts    -5    K    Sep16`16    80    Put     $1.15          $82.92
 8-Aug-16    Open 2DaysAfterEarnings:Long Calls    5    K    Sep16`16    87.5    Call     $0.5          $82.92
 8-Aug-16    Open 2DaysAfterEarnings:Long Puts    5    K    Sep16`16    77.5    Put     $0.52          $82.92
25-Aug-16    Close 21DaysAfterEarnings:Short Calls    5    K    Sep16`16    85    Call     $0.65     $180     $82.82
25-Aug-16    Close 21DaysAfterEarnings:Short Puts    5    K    Sep16`16    80    Put     $0.62     $265     $82.82
25-Aug-16    Close 21DaysAfterEarnings:Long Calls    -5    K    Sep16`16    87.5    Call     $0.28    -$110     $82.82
25-Aug-16    Close 21DaysAfterEarnings:Long Puts    -5    K    Sep16`16    77.5    Put     $0.25    -$135     $82.82
 3-Nov-16    Open 2DaysAfterEarnings:Short Calls    -5    K    Dec16`16    75    Call     $1.48          $73.97
 3-Nov-16    Open 2DaysAfterEarnings:Short Puts    -5    K    Dec16`16    72.5    Put     $1.62          $73.97
 3-Nov-16    Open 2DaysAfterEarnings:Long Calls    5    K    Dec16`16    80    Call     $0.5          $73.97
 3-Nov-16    Open 2DaysAfterEarnings:Long Puts    5    K    Dec16`16    67.5    Put     $0.4          $73.97
22-Nov-16    Close 21DaysAfterEarnings:Short Calls    5    K    Dec16`16    75    Call     $1.05     $210     $74.49
22-Nov-16    Close 21DaysAfterEarnings:Short Puts    5    K    Dec16`16    72.5    Put     $0.77     $425     $74.49
22-Nov-16    Close 21DaysAfterEarnings:Long Calls    -5    K    Dec16`16    80    Call     $0.15    -$175     $74.49
22-Nov-16    Close 21DaysAfterEarnings:Long Puts    -5    K    Dec16`16    67.5    Put     $0.12    -$140     $74.49
13-Feb-17    Open 2DaysAfterEarnings:Short Calls    -5    K    Mar17`17    77.5    Call     $1.17          $75.62
13-Feb-17    Open 2DaysAfterEarnings:Short Puts    -5    K    Mar17`17    72.5    Put     $0.9          $75.62
13-Feb-17    Open 2DaysAfterEarnings:Long Calls    5    K    Mar17`17    82.5    Call     $0.48          $75.62
13-Feb-17    Open 2DaysAfterEarnings:Long Puts    5    K    Mar17`17    70    Put     $0.4          $75.62
 2-Mar-17    Close 21DaysAfterEarnings:Short Calls    5    K    Mar17`17    77.5    Call     $0.7     $230     $75.02
 2-Mar-17    Close 21DaysAfterEarnings:Short Puts    5    K    Mar17`17    72.5    Put     $0.48     $210     $75.02
 2-Mar-17    Close 21DaysAfterEarnings:Long Calls    -5    K    Mar17`17    82.5    Call     $0.22    -$130     $75.02
 2-Mar-17    Close 21DaysAfterEarnings:Long Puts    -5    K    Mar17`17    70    Put     $0.15    -$125     $75.02
 8-May-17    Open 2DaysAfterEarnings:Short Calls    -5    K    Jun16`17    75    Call     $1.05          $72.7
 8-May-17    Open 2DaysAfterEarnings:Short Puts    -5    K    Jun16`17    70    Put     $0.92          $72.7
 8-May-17    Open 2DaysAfterEarnings:Long Calls    5    K    Jun16`17    80    Call     $0.45          $72.7
 8-May-17    Open 2DaysAfterEarnings:Long Puts    5    K    Jun16`17    67.5    Put     $0.45          $72.7
24-May-17    Close 40%CloseAfterGains:Short Calls    5    K    Jun16`17    75    Call     $0.38     $330     $72.52
24-May-17    Close 40%CloseAfterGains:Short Puts    5    K    Jun16`17    70    Put     $0.48     $220     $72.52
24-May-17    Close 40%CloseAfterGains:Long Calls    -5    K    Jun16`17    80    Call     $0.1    -$175     $72.52
24-May-17    Close 40%CloseAfterGains:Long Puts    -5    K    Jun16`17    67.5    Put     $0.15    -$150     $72.52
 7-Aug-17    Open 2DaysAfterEarnings:Short Calls    -5    K    Sep15`17    72.5    Call     $0.52          $70.11
 7-Aug-17    Open 2DaysAfterEarnings:Short Puts    -5    K    Sep15`17    67.5    Put     $0.7          $70.11
 7-Aug-17    Open 2DaysAfterEarnings:Long Calls    5    K    Sep15`17    75    Call     $0.2          $70.11
 7-Aug-17    Open 2DaysAfterEarnings:Long Puts    5    K    Sep15`17    65    Put     $0.28          $70.11
18-Aug-17    Close 40%CloseAfterGains:Short Calls    5    K    Sep15`17    72.5    Call     $0.2     $155     $69.95
18-Aug-17    Close 40%CloseAfterGains:Short Puts    5    K    Sep15`17    67.5    Put     $0.45     $125     $69.95
18-Aug-17    Close 40%CloseAfterGains:Long Calls    -5    K    Sep15`17    75    Call     $0.1    -$50     $69.95
18-Aug-17    Close 40%CloseAfterGains:Long Puts    -5    K    Sep15`17    65    Put     $0.12    -$80     $69.95
 2-Nov-17    Open 2DaysAfterEarnings:Short Calls    -5    K    Dec15`17    65    Call     $0.48          $62.38
 2-Nov-17    Open 2DaysAfterEarnings:Short Puts    -5    K    Dec15`17    60    Put     $0.82          $62.38
 2-Nov-17    Open 2DaysAfterEarnings:Long Calls    5    K    Dec15`17    67.5    Call     $0.15          $62.38
 2-Nov-17    Open 2DaysAfterEarnings:Long Puts    5    K    Dec15`17    57.5    Put     $0.3          $62.38
21-Nov-17    Close 21DaysAfterEarnings:Short Calls    5    K    Dec15`17    65    Call     $0.7    -$115     $64.35
21-Nov-17    Close 21DaysAfterEarnings:Short Puts    5    K    Dec15`17    60    Put     $0.18     $320     $64.35
21-Nov-17    Close 21DaysAfterEarnings:Long Calls    -5    K    Dec15`17    67.5    Call     $0.2     $25     $64.35
21-Nov-17    Close 21DaysAfterEarnings:Long Puts    -5    K    Dec15`17    57.5    Put     $0.02    -$140     $64.35
 

Edited by NikTam
Maji Hero Member

Maji

Posted
Posted

I am looking at some trades in K that reported by the CML backtester...

 

Nov 2, 2017
Open
2DaysAfterEarnings
Short Calls
-5
K Dec15`17
65 Calls
 $0.48
z-
 $62.38
17.4
23.5
Nov 2, 2017
Open
2DaysAfterEarnings
Short Puts
-5
K Dec15`17
60 Puts
 $0.82
z-
 $62.38
19.3
-30.2

 

 

Nov 2, 2017
Open
2DaysAfterEarnings
Long Calls
+5
K Dec15`17
67.5 Calls
 $0.15
z-
 $62.38
17.9
8.9
Nov 2, 2017
Open
2DaysAfterEarnings
Long Puts
+5
K Dec15`17
57.5 Puts
 $0.3
z-
 $62.38
20.2
-13.3

 

 

 

So, you are collecting (0.34 + 0.15 =) $0.49 and risking (67.5 - 57.5 - 0.49 =) $9.51.  That is just an absurd risk /reward ratio, imo. There are many more examples like this in the test results. I am not sure if it is really a feasible trade. 

ykotowitz Advanced Member

ykotowitz

Posted
Posted
5 minutes ago, Maji said:

I am looking at some trades in K that reported by the CML backtester...

 

Nov 2, 2017
Open
2DaysAfterEarnings
Short Calls
-5
K Dec15`17
65 Calls
 $0.48
z-
 $62.38
17.4
23.5
Nov 2, 2017
Open
2DaysAfterEarnings
Short Puts
-5
K Dec15`17
60 Puts
 $0.82
z-
 $62.38
19.3
-30.2

 

 

Nov 2, 2017
Open
2DaysAfterEarnings
Long Calls
+5
K Dec15`17
67.5 Calls
 $0.15
z-
 $62.38
17.9
8.9
Nov 2, 2017
Open
2DaysAfterEarnings
Long Puts
+5
K Dec15`17
57.5 Puts
 $0.3
z-
 $62.38
20.2
-13.3

 

 

 

So, you are collecting (0.34 + 0.15 =) $0.49 and risking (67.5 - 57.5 - 0.49 =) $9.51.  That is just an absurd risk /reward ratio, imo. There are many more examples like this in the test results. I am not sure if it is really a feasible trade. 

I think your calculations for risk return are incorrect. you receive .48+.82 for the shorts less .45 for the longs =.85 credit. the risk is 2.5 (the width of the wings) -.85=1.65. so risk /reward  ratio is about 2/1.

  • Thanks 1
Maji Hero Member

Maji

Posted
Posted
6 minutes ago, ykotowitz said:

I think your calculations for risk return are incorrect. you receive .48+.82 for the shorts less .45 for the longs =.85 credit. the risk is 2.5 (the width of the wings) -.85=1.65. so risk /reward  ratio is about 2/1.

 @ykotowitz You are right... my calculations are indeed messed up. Thank you for pointing it out!!! Goes to show how careful I need to be and check over and over again... 

 

@NikTam Thanks for posting... my calculations were faulty. 

 

NikTam Hero Member

NikTam

Posted
  • Author
Posted (edited)
17 minutes ago, krisbee said:

stock: ACIA

https://tm1.cmlviz.com/index.php?share_key=20180207201157_bk7jXxSlx6L5o7Xn

 

Interesting.  So that would be entering next Thursday and buying the Feb 23 call.

Here's the PE 3-1 http://tm.cmlviz.com/index.php?share_key=20180207203625_2I6841rSBax1w7Yh  also back tests well.  But I like the 7 day PE's better!

 

Oops here is the PE 3-1 with the 40%/40% max gain/stop loss applied http://tm.cmlviz.com/index.php?share_key=20180207203813_4FYcHohfBH6rCA2u

Edited by NikTam
Maji Hero Member

Maji

Posted
Posted

EXPE Post Earnings Straddle - http://www.cmlviz.com/cmld3b/index.php?number=11933&app=news&cml_article_id=20180208_the-option-trade-after-earnings-in-expedia-inc&source=TM_insights

Here is the output from Optionslam for the post earnings move for EXPE

 

EARNINGS DATE PRE-EARNINGS CLOSE POST-EARNINGS OPEN PERCENTAGES REPRESENT PRICE CHANGE RELATIVE TO PRE-EARNINGS CLOSE FOR SPECIFIED NUMBER OF CALENDAR DAYS
PRICE PERC% 1 DAY 3 DAYS 5 DAYS 8 DAYS 13 DAYS 21 DAYS 34 DAYS 55 DAYS
spacer.gif
Thu 10/26/2017 AC $147.35 $123.10 -16.45% -15.98% -15.98% -15.39% -16.49% -19.53% -17.17% -17.19% -18.55%
Thu 07/27/2017 AC $154.25 $154.44 0.12% 3.4% 3.4% -1.01% -1.88% -4.11% -6.55% -7.0% -7.28%
Thu 04/27/2017 AC $136.19 $133.86 -1.71% -1.82% -1.82% 2.04% 3.06% 2.66% 3.71% 5.56% 9.73%
Thu 02/09/2017 AC $123.25 $125.01 1.42% -0.48% -0.48% -2.9% -3.11% -2.18% -3.51% 5.05% 1.39%
Thu 10/27/2016 AC $126.42 $128.85 1.92% 4.12% 4.12% -0.34% -0.95% -1.32% 0.12% -1.87% -9.14%
Thu 07/28/2016 AC $119.27 $113.74 -4.63% -2.19% -2.19% -4.79% -5.06% -4.09% -3.21% -8.51% -9.43%
Thu 04/28/2016 AC $106.99 $116.84 9.2% 8.2% 8.2% 8.39% 5.76% 5.29% 1.46% 3.37% 0.92%
Wed 02/10/2016 AC $94.35 $100.10 6.09% 9.56% 8.37% 8.37% 13.9% 10.39% 13.12% 23.23% 10.28%
Thu 10/29/2015 AC $127.06 $136.16 7.16% 7.27% 7.27% 7.34% 4.92% 1.32% 0.81% -3.1% -0.61%
Thu 07/30/2015 AC $107.61 $116.36 8.13% 12.85% 12.85% 15.75% 12.48% 12.23% 10.3% 5.36% 13.5%

 

The last EA lead to a movement of about 16% in 3 days, but before that the movements were much subdued. The current RC of the ATM Straddle for Feb 16 is 11% approx. The IV is 46% and the collapse is to around 26% average. So, my question is... what is an attractive RV or IV that one should look at near the close tomorrow for the EXPE ATM straddle to enter this recommended trade?

 

Sirion Hero Member

Sirion

Posted
Posted
13 hours ago, Maji said:

EXPE Post Earnings Straddle - http://www.cmlviz.com/cmld3b/index.php?number=11933&app=news&cml_article_id=20180208_the-option-trade-after-earnings-in-expedia-inc&source=TM_insights

Here is the output from Optionslam for the post earnings move for EXPE

 

EARNINGS DATE PRE-EARNINGS CLOSE POST-EARNINGS OPEN PERCENTAGES REPRESENT PRICE CHANGE RELATIVE TO PRE-EARNINGS CLOSE FOR SPECIFIED NUMBER OF CALENDAR DAYS
PRICE PERC% 1 DAY 3 DAYS 5 DAYS 8 DAYS 13 DAYS 21 DAYS 34 DAYS 55 DAYS
spacer.gif
Thu 10/26/2017 AC $147.35 $123.10 -16.45% -15.98% -15.98% -15.39% -16.49% -19.53% -17.17% -17.19% -18.55%
Thu 07/27/2017 AC $154.25 $154.44 0.12% 3.4% 3.4% -1.01% -1.88% -4.11% -6.55% -7.0% -7.28%
Thu 04/27/2017 AC $136.19 $133.86 -1.71% -1.82% -1.82% 2.04% 3.06% 2.66% 3.71% 5.56% 9.73%
Thu 02/09/2017 AC $123.25 $125.01 1.42% -0.48% -0.48% -2.9% -3.11% -2.18% -3.51% 5.05% 1.39%
Thu 10/27/2016 AC $126.42 $128.85 1.92% 4.12% 4.12% -0.34% -0.95% -1.32% 0.12% -1.87% -9.14%
Thu 07/28/2016 AC $119.27 $113.74 -4.63% -2.19% -2.19% -4.79% -5.06% -4.09% -3.21% -8.51% -9.43%
Thu 04/28/2016 AC $106.99 $116.84 9.2% 8.2% 8.2% 8.39% 5.76% 5.29% 1.46% 3.37% 0.92%
Wed 02/10/2016 AC $94.35 $100.10 6.09% 9.56% 8.37% 8.37% 13.9% 10.39% 13.12% 23.23% 10.28%
Thu 10/29/2015 AC $127.06 $136.16 7.16% 7.27% 7.27% 7.34% 4.92% 1.32% 0.81% -3.1% -0.61%
Thu 07/30/2015 AC $107.61 $116.36 8.13% 12.85% 12.85% 15.75% 12.48% 12.23% 10.3% 5.36% 13.5%

 

The last EA lead to a movement of about 16% in 3 days, but before that the movements were much subdued. The current RC of the ATM Straddle for Feb 16 is 11% approx. The IV is 46% and the collapse is to around 26% average. So, my question is... what is an attractive RV or IV that one should look at near the close tomorrow for the EXPE ATM straddle to enter this recommended trade?

 

Personally, I'm inclined against. Even if VIX wasn't very high right now.. there's only 4 samples in the backtest. Not enough for a play as bold as a straddle without earnings to hold back theta. 

 

I plan on looking at the Post Earnings ICs throughout the day and evaluating an early entry if I think they've stabilized.

  • Like 1
dfwjf92jfd Member

dfwjf92jfd

Posted
Posted

A word of caution here - I'm skeptical any of these backtest results are relevant to the current market. I'd be extremely careful about post-earnings condors right now since the potential for loss is so high. I've stopped doing any post-earnings condors several weeks ago after they all started showing losses. Each one had a really good looking backtest. 

  • Thanks 1
  • Haha 1
akito Hero Member

akito

Posted
Posted

Same. I don't think it's wise to be opening any of these cmlviz long calls or iron condor trades in this current environment. The after earning straddle does look interesting, but I'm also confused how it holds up so well without any earnings holding theta back.

Sirion Hero Member

Sirion

Posted
Posted
7 minutes ago, Djtux said:

For comparison purpose (still beta features and hidden), https://www.volatilityhq.com/backtester/return_matrix/?symbol=VALE&start_date=2016-02-12&strategy_type=40DCall&submit=Run+backtest

I don't select the same expiration (i select the expiration just after the earning date for the moment).

image.png

image.png

 

Some minor feedback about this, generally wouldn't you do a color shift at breakeven (0) instead of 50%? Kinda threw me off how blue a lot of these were even though they're relatively good. 

Very impressive though, excellent feature for examining some of these CML trades and trying to see exactly how cherry picked some of the results are. 

You may have answered this in another thread, but do you only have EOD data access at the moment?

NikTam Hero Member

NikTam

Posted
  • Author
Posted (edited)
23 hours ago, krisbee said:

Just now Closed it for 40% in few hours. I hope someone else also did it after the post 

That was a nice one-day ride.  Sorry I missed it!  Will be watching this for an lower entry point + reversal.

Edited by NikTam
ykotowitz Advanced Member

ykotowitz

Posted
Posted
29 minutes ago, NikTam said:

Entered INTU PE 7-1 Delta 44 $165 Call at 4.20  

http://tm.cmlviz.com/index.php?share_key=20180214192803_Qxyh260Cb2YWgXaA

Back testing suggests that staying with the trade into the day of earnings is the key here.  Earnings are AMC on 2/20 so I will plan on exiting on the 20th.

 

Earnings date is 2/22 ac. Backtests suggest entering 3 calendar days prior and exiting on earnings date, so will enter on 19th.

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