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Posted
On 1/19/2018 at 10:29 AM, greenspan76 said:

@NikTam Did you ever hear back from CML about the PE 3-1 trades? I noticed in the BA 3-1 trade they posted on Jan 17th blog post (http://www.cmlviz.com/cmld3b/index.php?number=11902&app=news&cml_article_id=20180117_the-one-day-pre-earnings-momentum-trade-with-options-in-boeing-co-nyse-ba) that they specifically said it was opened at the end of the day Monday, 2 days before earnings, instead of Friday. Every single trade in the backtest is a 2-1 trade, so I'm not really clear why they even bother calling it a 3-1 trade. Maybe more importantly for a subscriber, I don't understand how the software is calculating the 3 days pre-earnings since some 3-1 trades are actually opened 3 days before earnings and others are opened 2 days before earnings.

The response I got back on Jan 12 is as follows:

 

"So, currently the system basically uses a "trading days" style calculation only if earnings is on Monday or Tuesday and if the 'days before' number is <= 5. Otherwise the system uses calendar days. These earnings events are on Wednesday. Since the trade can't open on a Saturday or Sunday, the first day that is <= 3 days before earnings is Monday. Then, Tuesday is the day before earnings, so, you are just seeing 1 trading day instead of 2. For this stock, you can simply increase the days before earnings if you want to force it to open on Friday.
 
That said, we do have plans in the works to create a true trading days calculations that always opens and closes the correct number of days before or after earnings, irrespective of day of week, and that is also "holiday aware". We're hoping to have that out within about 4 weeks."
 
I understand their example to mean that a Wed earnings means Calendar Days are used.  But since 3 calendar days before Wed would be Sunday- a non trading day -- then the trade is moved to Monday.

 

 

  • Thanks 1
Posted
16 minutes ago, NikTam said:

The response I got back on Jan 12 is as follows:

"So, currently the system basically uses a "trading days" style calculation only if earnings is on Monday or Tuesday and if the 'days before' number is <= 5. Otherwise the system uses calendar days. These earnings events are on Wednesday. Since the trade can't open on a Saturday or Sunday, the first day that is <= 3 days before earnings is Monday. Then, Tuesday is the day before earnings, so, you are just seeing 1 trading day instead of 2. For this stock, you can simply increase the days before earnings if you want to force it to open on Friday.
 
That said, we do have plans in the works to create a true trading days calculations that always opens and closes the correct number of days before or after earnings, irrespective of day of week, and that is also "holiday aware". We're hoping to have that out within about 4 weeks."
 
I understand their example to mean that a Wed earnings means Calendar Days are used.  But since 3 calendar days before Wed would be Sunday- a non trading day -- then the trade is moved to Monday.

Thanks for that, not that easy to handle all those trading days :). As part of the enhancement, do you know if they will handle the Before Market Open properly ? Like if you say to close 0 days before earnings, it should close the trade the day before and not the day of the earning (which is after earning) like now.

Posted (edited)
On 1/17/2018 at 2:34 PM, greenspan76 said:

...I opened a few trades this morning...

 

SEIC Feb16 75 Call for $3.20

STT Feb16 110 Call for $1.20

GD Jan26 207.5 Call for $3.50

SHW Feb16 +430/-450 Call spread for $6.60 (backtest was call only - i chose spread)

NSC Jan26 155 Call for $2.40 (intentionally opened a day early, which turned out to be 2 days early)...

Closed the NSC today for $1.18, a loss of 51% after commissions (stop loss 40% - I waited and analyzed near end of day) If I remember correctly, this one was up around 30% the day after I opened it.

 

Closed STT for avg of 1.965, a gain of 61.3% after commissions. (Wow! I should have waited until the end of day, I guess - it was $2.40+ about 10-15 minutes to market close)

Edited by greenspan76
Posted
46 minutes ago, greenspan76 said:

Closed the NSC today for $1.18, a loss of 51% after commissions (stop loss 40% - I waited and analyzed near end of day) If I remember correctly, this one was up around 30% the day after I opened it.

 

Closed STT for avg of 1.965, a gain of 61.3% after commissions. (Wow! I should have waited until the end of day, I guess - it was $2.40+ about 10-15 minutes to market close)

STT is interesting -- huge number of call options purchased last Friday.  

Posted
3 hours ago, Djtux said:

Thanks for that, not that easy to handle all those trading days :). As part of the enhancement, do you know if they will handle the Before Market Open properly ? Like if you say to close 0 days before earnings, it should close the trade the day before and not the day of the earning (which is after earning) like now.

I passed this on to CML support.  Will let you know...

Posted

Concerning today's EA 7DPEC...I changed the backtest to use the 30 day expiration (FEB 23 18)  vs the 7 day expiration (FEB 2 18), and the results improved with the same chance of success.  The 40 delta calls are 15% more expensive using the 30 day option, but obviously have much lower Theta.  Can anyone else see any disadvantage to using the 30 day calls?  I have no plans to hold through earnings.

Posted (edited)
21 minutes ago, cwerner376 said:

Concerning today's EA 7DPEC...I changed the backtest to use the 30 day expiration (FEB 23 18)  vs the 7 day expiration (FEB 2 18), and the results improved with the same chance of success.  The 40 delta calls are 15% more expensive using the 30 day option, but obviously have much lower Theta.  Can anyone else see any disadvantage to using the 30 day calls?  I have no plans to hold through earnings.

I came to same conclusion.  BUT....

Actually, here are the results -- 10 day expiration Feb 2 417% on Delta 40 1 yr http://tm.cmlviz.com/index.php?share_key=20180123141720_Oyie5ao480G7EqDu

31 day expiration Feb 23 354% on Delta 40 1 yr http://tm.cmlviz.com/index.php?share_key=20180123141828_i7xmTzfpIlmvZjQh.  And the Feb 16 monthly 24 days is just bit better at 362%.

 

So the lower cost associated with nearer expiration does appear to outweigh theta to a small degree.  I have taken the longer expiration in the past thinking this would allow me to hold through earnings.  But the IV falls so significantly after earnings that's it is still an uphill battle to recover.

Edited by NikTam
Posted
40 minutes ago, NikTam said:

I came to same conclusion.  BUT....

Actually, here are the results -- 10 day expiration Feb 2 417% on Delta 40 1 yr http://tm.cmlviz.com/index.php?share_key=20180123141720_Oyie5ao480G7EqDu

31 day expiration Feb 23 354% on Delta 40 1 yr http://tm.cmlviz.com/index.php?share_key=20180123141828_i7xmTzfpIlmvZjQh.  And the Feb 16 monthly 24 days is just bit better at 362%.

 

So the lower cost associated with nearer expiration does appear to outweigh theta to a small degree.  I have taken the longer expiration in the past thinking this would allow me to hold through earnings.  But the IV falls so significantly after earnings that's it is still an uphill battle to recover.

Wow learned something new...I have always defaulted to the 7, 14, and 30 days that I always see the Pro Scan use.  I didn't know that you would get different results by putting in the exact days to expiration.  Thanks!

Posted
21 hours ago, siddharth310584 said:

Thinking of entering this today: (LRCX PE 2-1)

http://tm.cmlviz.com/index.php?share_key=20180122173005_fbv0PoZNhLaD5ndj

 

Holing onto BA and SHW a bit longer to see how it trends after this vote. May not be smart but taking a risk here. Do no t have that large a position

 

Thanks siddharth310584, entered long Jan26 215 call 10 minutes before close yesterday, exited this morning at +60%

Posted (edited)

Closed a couple CML trades today:

GD Jan26 207.5 Call: In $3.50; Out $3.00. Loss of 14.9% after commissions

LRCX Jan26 207.5 Call: In $4.85; Out $8.40. Gain of 72.9% after commissions. (Edit: looks like it kept going into the close and reached almost $10, so note that it might be wise to hold at least half into the close on the ones that have been moving)

Edited by greenspan76
  • Upvote 1
Posted

 

Closed 2 CML PE trades this morning:

7DPEC CAT Feb02 172.5 Call: In $2.74; Out $4.10. +51.8%

7DPEC PCAR Feb16 78.8 Call: In $1.25; Out $1.60. +28%

Getting killed on the 14DPEC on AAPL, but all the rest are doing well (fingers crossed).

 

Posted
2 minutes ago, cwerner376 said:

 

Closed 2 CML PE trades this morning:

7DPEC CAT Feb02 172.5 Call: In $2.74; Out $4.10. +51.8%

7DPEC PCAR Feb16 78.8 Call: In $1.25; Out $1.60. +28%

Getting killed on the 14DPEC on AAPL, but all the rest are doing well (fingers crossed).

 

Damn, did you close during opening minutes on CAT? I'm in at 2.97 in the same, never saw above 4. Must have been quite a fluctuation.

For others, CAT reports BO tomorrow. Same with SHW. Will be looking to close today.

Posted
1 hour ago, Sirion said:

Damn, did you close during opening minutes on CAT? I'm in at 2.97 in the same, never saw above 4. Must have been quite a fluctuation.

For others, CAT reports BO tomorrow. Same with SHW. Will be looking to close today.

Looks like it was filled at 9:01am CST.

Posted
1 hour ago, cwerner376 said:

 

Closed 2 CML PE trades this morning:

7DPEC CAT Feb02 172.5 Call: In $2.74; Out $4.10. +51.8%

7DPEC PCAR Feb16 78.8 Call: In $1.25; Out $1.60. +28%

Getting killed on the 14DPEC on AAPL, but all the rest are doing well (fingers crossed).

 

I see on mobile app that I’m out of CAT on the bounce this morning.   Away from my office today but set  GTC exit at 40% gain.  

SHW looking better.   My second bite at BA is suffering badly.  Lost all my gains.  

Posted (edited)
10 minutes ago, NikTam said:

I see on mobile app that I’m out of CAT on the bounce this morning.   Away from my office today but set  GTC exit at 40% gain.  

SHW looking better.   My second bite at BA is suffering badly.  Lost all my gains.  

Today would begin the 7DPEC on BA.  My 14DPEC is down -25% so I am not confident on adding to this position or adding the 7DPEC.  I use ichimoku and a few other technicals for direction, and they are all saying stay away on the 60 min. chart.  That being said BA has defied everything on its recent run.  Probably need to evaluate about 15 min before market close.

Edited by cwerner376
  • Upvote 1
Posted

Sorry for the double post, but it's more of a separate topic:

Days like today are going to make me avoid multiple trades that have the same hard-close date. I don't think there's been any praticularly bad sentiment about CAT or SHW, but they've both bled off large early gains when the overall market soured. 

Posted

For what its worth I had a Feb 450 SHW call which I had bought for 4.8. I was losing about 25% yesterday, so I put in a GTC order to close at 4.8, and this morning at the open it hit, so I got out at break-even. Half an hour later, I saw the quote at 4.7 - 5.3, so it was possible to get out at a profit (for me, in this case). However, I like the simplicity of the CML trades - almost a set and forget scenario, with low maintenance.

Currently, I am still trades very low volumes on theses - in the future, when I scale up, I plan to have a staggered exit. That should improve returns.

Posted (edited)
21 minutes ago, zxcv64 said:

For what its worth I had a Feb 450 SHW call which I had bought for 4.8. I was losing about 25% yesterday, so I put in a GTC order to close at 4.8, and this morning at the open it hit, so I got out at break-even. Half an hour later, I saw the quote at 4.7 - 5.3, so it was possible to get out at a profit (for me, in this case). However, I like the simplicity of the CML trades - almost a set and forget scenario, with low maintenance.

Currently, I am still trades very low volumes on theses - in the future, when I scale up, I plan to have a staggered exit. That should improve returns.

Do you just set GTC orders on profit targets or do you also have a stop loss limit order as well? If it is just the former, what happens if the stock price nose dives and the losses get prohibitively large? I've found I'm on the other side regarding these cmlviz long call trades. To me, I guess I don't really trust single option positions, given their huge potential volatility, even with good cmlviz backtest results and small allocations. This in turn forces me to keep checking the prices and situation of each position all day, which has been extremely tiresome. The opposite of low maintenance. I have both EA and OSK calls right now in the red and I think I'll severely limit the amount of these cmlviz long call trades moving forward as they just don't seem to fit me. (might do the MSFT 7 day long call today though)

Edited by akito
Posted
4 minutes ago, akito said:

Do you just set GTC orders on profit targets or do you also have a stop loss limit order as well?

I need to do more stop losses, currently I have very few, and I have, in fact, ended with up very large losses on the odd trade. But since my average gain overall is quite respectable, I am doing little in the way of management. Within a month, I will set up a separate portfolio just for CML trades, and then I will trade these more professionally.

Currently, the SO calendars and straddles are doing to me what the CML trades are doing to you. I am looking to implement less-maintenance trades (eg. SVXY collar, SPX double barrel calendar) into my trading. 

 

 

Posted
5 minutes ago, akito said:

Do you just set GTC orders on profit targets or do you also have a stop loss limit order as well? If it is just the former, what happens if the stock price nose dives and the losses get prohibitively large? I've found I'm on the other side regarding these cmlviz long call trades. To me, I guess I don't really trust single option positions, given their huge potential volatility, even with good cmlviz backtest results and small allocations. This in turn forces me to keep checking the prices and situation of each position all day, which has been extremely tiresome. The opposite of low maintenance. I have both EA and OSK calls right now in the red and I think I'll severely limit the amount of these cmlviz long call trades moving forward as they just don't seem to fit me. (might do the MSFT 7 day long call today though)

What has worked for me so far...and I stress this is not a recommendation to anyone else.  I ALWAYS use stops, personally mine are set at -50%.  I USUALLY use GTC orders, last earnings season they were set at +30%, and this season I have moved them to +50% based on money that I have left on the table.  I never open a CML trade during the first 30-45 minutes of the day.  I usually change the back test to use longer options.  I have found the monthly options to be better based on volume.  I have 2 option trading accounts, SO gets the 10% per trade and no more than 60% total allocation as Kim suggests.  In other account I allocate 3% to 5% portfolio value per trade from CML and stay between 50%-60% portfolio value invested.  I am new to SO so I can only look at the historical performance which is great and speaks for itself or else I wouldn't be a member.  All that being said, my CML performance has been very successful.  Last earnings season when I started using it, I ended up +40% for Q4.  So far for Q1 2018 I am up 25%.  Overall in the money trade accuracy has been 73%.  It does take a lot more active account management, and there is a much larger directional risk since all of the CML trades I focus on are long calls.  I apologize if you know or have tried similar techniques.

  • Like 1
  • Upvote 1
Posted
On 1/18/2018 at 7:27 PM, Stanislav said:

I'm in SHW Feb'16 450 call for 4.80 debit as well. Wanted to be in this trade as SHW is heading upwards unlike BA which is falling today.

Exited SHW for a scratch (4.85 credit). Could do it earlier today, but wanted to see what happens, and marked went down. Slightly better entries are possible now.

If anyone is still in the trade, remember to close SHW today as earnings are tomorrow BO.

Posted

Has anyone had much success with the Mammoth indicator trades?  I executed a few of the TTM squeeze trades, but had little success.  They were all before the update that showed price targets.

Posted
On 1/17/2018 at 10:09 PM, NikTam said:

I'm not feeling it for these tickers.  Not compelling back test results.  And wide spreads and low volume.

I have the impression that the Mammoth indicator is better. I have entered two trades (LB, SYMC). Still in the trades.

Posted
6 minutes ago, mustafaoe said:

I have the impression that the Mammoth indicator is better. I have entered two trades (LB, SYMC). Still in the trades.

Im very interested in how they turn out.

Posted (edited)

Closed CAT, SHW, SEIC, and BA (Edit: +SBUX) trades today (^=delta)

CAT PE 3-1 40^ Call: -15.1%; In $3.04, Out $2.60 (As some have mentioned, this was up over 20% when the market opened)

SHW PE 6-1 50/30^ Call Spread: +21.9%; In $6.60, Out $8.05

SEIC PE 7-1 50^ Call: +2.8%; In $3.20, Out $3.30

BA PE 14-1 50/30^ Call Spread: -41.9%; In $6.93, Out $4.10

Edit: SBUX PE 6-0 Strangle: +20.5%; In $1.98, Out $2.43 (Closed a day early)

 

And opened my originally planned BA trade

BA PE 7-1 40^ Call: In $6.50 (Feb2 345 Call)

Edited by greenspan76
Added SBUX
Posted
1 hour ago, cwerner376 said:

Im very interested in how they turn out.

I have entered LB 52.5 (call) for 1.75 when triggered on 22nd, currently with 2.25. I will further keep the position hence LB is in uptrend

SYMC was another technical trigger. Sorry.

Posted (edited)
On 1/24/2018 at 2:04 PM, akito said:

(might do the MSFT 7 day long call today though)

MSFT long call worked again this cycle. Closed my MSFT calls for 28.5% gain. I mostly used longer expirations to be more conservative. (would have been over 30% gain if just using the closest expiration) Will re-open if stock pulls back a good amount.

 

Also accidentally held my OSK long calls through expiration...Fortunately, the stock jumped at market open allowing 45% gain. (was supposed to be a ~15% loss yesterday)

 

Edit:

Reopened MSFT calls near end of day. Mix of expirations. Average of 1.87 debit.

Edited by akito
Posted
11 minutes ago, NikTam said:

Entered MSFT PE 7-1 40 Delta Feb 2 94 call.  Filled at 1.75 and 1.80   This was right off the CML Discover Tab.

I actually entered this on 24th Jan for 1.41, and just exited at 1.9. Not sure if I got my dates all mixed up, but luckily it worked out okay. 

Earnings are AC 31st Jan so my reasoning was that 7 days PE would be 24th Jan. Did I get that wrong?

Posted
31 minutes ago, zxcv64 said:

I actually entered this on 24th Jan for 1.41, and just exited at 1.9. Not sure if I got my dates all mixed up, but luckily it worked out okay. 

Earnings are AC 31st Jan so my reasoning was that 7 days PE would be 24th Jan. Did I get that wrong?

No. I'm getting in late.

Posted

SYMC 7-1 trade has turned around is now at the break even point from Wed.  Technicals look good for anyone who missed entry on Wed or is looking at adding to their position.  Please let me know if anyone sees anything different.

Posted
1 minute ago, cwerner376 said:

SYMC 7-1 trade has turned around is now at the break even point from Wed.  Technicals look good for anyone who missed entry on Wed or is looking at adding to their position.  Please let me know if anyone sees anything different.

What's the position and exit time?

Posted (edited)
5 minutes ago, IgorK said:

What's the position and exit time?

I'm in the Feb 16 $28 calls.  Earnings release is on 1/31/18, so exit on 1/30/18.  4th day of trending up.

Edited by cwerner376
  • Thanks 1
Posted
1 minute ago, cwerner376 said:

I'm in the Feb 16 $52 calls.  Earnings release is on 1/31/18, so exit on 1/30/18.

The stock price is 27+. How you in 52 calls?

Posted (edited)
On 1/25/2018 at 12:47 PM, akito said:

Reopened MSFT calls near end of day. Mix of expirations. Average of 1.87 debit.

Closed 2nd iteration of MSFT calls for average of 2.24 credit. 19.7% gain. ~48% gain total gain this cycle for the MSFT long call. It's probably going to continue upwards, but I just made a personal call to close seeing how the stock is temporarily plateaued and get the 40% gains that others had achieved in the previous cycle.

Edited by akito

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