GOING INTO THE CLOSE – LAST 30 MIN JUL 18

3 PORTFOLIOS – TEN ASSETS EACH – FINAL

Aggregate Performance of the selected ten equities is compared to the current overall market performance (INDEX).

You can use this data to determine whether to trade the asset and/or option chain. All are optionable.  Note: The first two tables have a 25 share listed for the bottom asset.

The take away is to show what is a conservative estimate of profit when buying just the asset itself, and a calibrated to the current market indexes day performance.

(1)

AGGREGATE PERFORMANCE
Expected Return 3.59%
INDEX -0.00%
LIQUIDITY 2.62%
TREND UP
CHANGE PLUS

 

GRTS PORTFOLIO JULY 18
TICKER TRADE ENTRY FORECAST LMT SRPD SHARES COST PROFIT % GAIN
ELY LONG 8.75 9.37 0.62 10 84.46 5.05 0.06
CCJ SHORT 21.19 20.45 -0.74 10 214.55 -8.17 -0.04
CRUS LONG 24.7 25.16 0.46 10 244.04 2.94 0.01
CIG LONG 8.79 9.25 0.46 10 88.46 4.39 0.05
CY LONG 10.82 11.29 0.47 10 109.93 3.46 0.03
BBD LONG 15.82 16.3 0.48 10 158.90 4.19 0.03
AU LONG 18.35 18.84 0.50 10 186.48 4.31 0.02
CVC LONG 18.79 19.28 0.49 10 190.06 3.23 0.02
FCX SHORT 38.56 38.57 0.01 10 387.37 -1.10 -0.00
ARMH LONG 42.4 43.37 0.97 25 1081.00 16.24 0.02

 

(2)

AGGREGATE PERFORMANCE
EXPECTED RETURN 3.13%
INDEX 0.07%
LIQUIDITY 2.97%
TREND UP
CHANGE PLUS

 

GRTS PORTFOLIO JULY 18
TICKER TRADE ENTRY FORECAST LMT SRPD SHARES COST PROFIT % GAIN
EXXI LONG 21.13 21.71 0.57 10 209.05 3.65 0.02
CNQ SHORT 45.18 44.53 -0.65 10 452.83 -8.31 -0.02
FSC LONG 9.79 10.02 0.23 10 98.40 1.89 0.02
FCS LONG 16.86 17.34 0.48 10 170.31 3.58 0.02
EXC LONG 32.15 32.32 0.17 10 323.08 0.35 0.00
AUY LONG 8.28 8.71 0.44 10 83.75 3.45 0.04
FBHS LONG 38.04 38.62 0.58 10 385.63 4.07 0.01
ABT SHORT 42.68 41.54 -1.14 10 429.15 -14.00 -0.03
CLNY LONG 22.67 22.91 0.24 10 227.53 1.66 0.01
EGO LONG 7.44 7.94 0.50 10 75.98 3.57 0.05

 

(3)

AGGREGATE PERFORMANCE
EXPECTED RETURN 2.60%
INDEX 0.05%
LIQUIDITY 2.76%
TREND UP
CHANGE PLUS

 

GRTS PORTFOLIO JULY 18
TICKER TRADE ENTRY FORECAST LMT SRPD SHARES COST PROFIT % GAIN
CIT LONG 43.77 43.96 0.20 10 439.33 0.22 0.00
BKD LONG 35.46 35.98 0.52 10 357.16 3.27 0.01
EA LONG 38.13 38.75 0.62 10 385.25 2.54 0.01
BEE LONG 12.03 12.45 0.42 10 121.43 3.11 0.03
COH LONG 33.92 34.79 0.88 10 344.23 4.57 0.01
BK SHORT 38.24 38.32 0.09 10 393.39 -1.95 -0.01
FE SHORT 31.76 31.83 0.07 10 322.75 -1.11 -0.00
ADM SHORT 48.01 48 -0.00 10 482.57 -1.69 -0.00
GM LONG 37.19 37.63 0.44 10 374.31 1.98 0.01
AMTD LONG 30.99 31.56 0.57 10 313.06 3.64 0.01

 

(DISCLAIMER: THIS IS STRICTLY FOR EDUCATIONAL PURPOSES.  WE MAKE NO RECOMMENDATIONS FOR TRADING THESE POSTED EQUITIES NOR ARE PROMOTING ANY BROKERAGES OR FINANCIAL SERVICES. THUS THIS NOTICE RELIEVES US FROM ANY LIABILITY ON THE PART OF THE READER’S DECISIONS TO TRADE AND OR INVEST IN THE POSTED EQUITIES.)

 

QUANTUM SOLVES HALTING

For the full story click on the equation below.

MIP*=RE

Explained: Halting determines whether a running program ever comes to a stop.

Alan Turing discovered that the halting problem was uncomputable in 1936 when he devised his breakthrough mathematical model of a computer; the Turing machine.

In this case, uncomputability means that there is no clever algorithm for solving the halting problem.

The remarkable feat is quantum entanglement: each quantum computer contains subatomic particles that are entangled with particles on the other computer.

“In a classic example of two entangled singlet state particles, if the first one is found to spin on an upward axis, then the second one must have a spin that points down, like two dice that always roll to opposite sides.”

“But because of entanglement, measurements on particles in one computer say something about the entangled particles in the other computer, enabling greater knowledge transfer.”

“In the course of working on the problem, the researchers realized that the computing power of entanglement tied back to deep questions in physics and pure mathematics.

A long-standing problem in algebraic theory, known as Connes’ embedding conjecture, has been resolved by the new findings—assuming that they stand up to scrutiny after peer review. The findings also resolve a curious problem in the mathematical foundations of quantum physics, known as Tsirelson’s problem.”

 

 

 

CA DMV STRIKE TEAM EVIDENCE OF NEWSOM’S IMPROPRIETY

CALIFORNIA DMV STRIKE REPORT REVIEW – EVIDENCE OF CORRUPTION.

GOVERNMENT OPERATIONS AGENCY SECRETARY MARYBEL BATJER

KATHLEEN WEBB, DIRECTOR OF PERFORMANCE/CHIEF DEPUTY DIRECTOR

JULY 23, 3019 REPORT

EVIDENCE:

THAT YOU, GOVERNOR NEWSOM, DID NOT FOLLOW THROUGH ON RELIEVING THIS DMV REAL ID/ DRIVER LICENSE CRISIS BY RECOMMENDATION OF SEPARATING REAL ID APPLICANTS FROM DMV DRIVER LICENSE ET AL RENEWAL CUSTOMERS.

YOU SAID IT WOULD BE “…LIKE VISITING AN APPLE STORE EXPERIENCE.”

THIRD-PARTY FIRMS CONTRACTED BY GOVOP STRIKE TEAM:

McKinsey & Company (paid $1.5M) “..test and learn” from three-phase objectives? Evidence: Longer wait lines.

(McKinsey is embroiled in corruption scandals in foreign countries, including South Africa.)

RSE -Public Relations REAL ID Campaign $9.7M contract to clarify how California residents can get a REAL ID.

HOK Consulting to report on “…leverage the latest thinking in retail analytic, queuing, circulation line management, customer experience, and workflow efficiency” to minimize phone wait times.”

BY MY ESTIMATE YOU HAVE SPENT OVER $15M IN THIRD-PARTY CONTRACTS WITHOUT ANY RESULTS TO EASE THE PAIN ON THE DISRUPTION TO THE CUSTOMERS LIVES.

CONTRACT MANAGEMENT

The GOVOP STRIKE TEAM found that contracts sometimes were not being fully utilized and that different contractors (undisclosed) were not being held accountable.”

COMPUTERIZATION APPLICATION PROCESS ACCESS IT

CDT DETERMINES IT FRONT END SUSTAINABILITY (FES) NOT A PRIORITY BUT CONTRACTS: CCGl & IBM

STATED IN GOVOPS STRIKE TEAM REPORT: “…hardware and software upgrades to streamline operational activities were required.”

(YOU HIRED 50-PLUS PEOPLE FOR A NEW IT DIGITAL OFFICE)

POP-UP REAL ID KIOSKS PROPOSAL TO EASE THE SURGE OF APPLICATIONS

“Move READ ID applications out of DMV facilities.”

It was tested and shown successfully to separate REAL ID applicants from regular driver license applicants; at a Health Net facility and considered to be implemented at AAA. Issuance of 100 new kiosks was to be delivered by the end of 2019. WHERE ARE THEY?

BUDGET – DMV

DMV is not locked into a budgeted staffing annual proposal plan; it is allowed to utilize incremental funding provided to either run overtime, hire permanent intermittent employees, or establish full-time permanent employees at any field office… where the workload is overwhelming the staff.

So NEWSOM could have allocated additional funding to ease the surge of applications and remedy the REAL ID application influx on the DMV field offices.

AUDIT BY ERNST & YOUNG-WHERE IS IT?

CONCLUSION BY STRIKE TEAM

However, the Strike Team believes the department is better prepared to deal with unexpected challenges and is on a path toward successfully serving the people of California more effectively and efficiently.

I NEED TO RENEW MY DRIVER’S LICENSE IN APRIL BY CALIFORNIA LAW I CAN REQUEST AN APPOINTMENT PRIOR TO WITHIN 60 DAYS OF EXPIRATION WHICH I’VE DONE – NOT 90 DAYS WHICH IS NO MANDATED WITHOUT WRITTEN NOTICE.

AND IS NOT CLEARLY STATED ON THE RENEWAL NOTICE.

MY DRIVER LICENSE RENEWAL APPOINTMENT IS IN MAY- A MONTH AFTER MY DRIVER’S LICENSE EXPIRES. I WILL NOT BE ABLE TO DRIVE FOR OVER A MONTH.

NEWSOM HAD OVER A YEAR TO EXPEDITE THE REAL ID KIOSK PROGRAM AND SEPARATE THE TWO CATEGORIES OF DRIVER LICENSE RENEWAL/REAL ID APPLICATION EVERY EASILY TO AVOID THIS CRISIS.

EX ALGO

DEFEASIBLY EXCEL FORMULARY FOR DEDUCTIVE REASONING: DETERMINISTIC STATISTICAL/LOGIC ALGORITHMIC PRICE MODELING

 

PREFACE

One of the main disputes among those who produce system models of defeasible reasoning is the status of the rule of specificity.

In its simplest form, the rule of specificity is the same rule for the subclass “inheritance” pre-empting price classification inheritance.

Defensible reasoning accounts for the current precedent known as the ‘stare decisis’ and ‘case-based reasoning’ to satisfy defeasibility.

Out input equations (Excel) and the sequential calibrations forthwith meet the defeasibility as corrigibility: something new that annuls a prior inference.

In this case, defensible reasoning provides a constructive mechanism for belief revision, like a ‘truth maintenance’.

Our design for the computational architecture of a quantitative model is based on the means of Measure of Certainty rules that govern the process of the deductive/inductive argument so that the inputs/outputs are re-compiled into a set of general principles that have been altered to correct price derivations.

The premise is to be explicit of non-preferential semantics when working with competing with traditional rules.

This provides an alternation or “factored valuation” of empirical discovery; where the outcome disputes the argument of previous interpretations considering market efficiency and randomness.

This set of modular “nodes” is network correlated to create their own universe calculated for the sake of meeting truthful outcomes based on “defeasibility as an anytime adaptive agent algorithm”.

The framework of computation of data input is the price impact calibration – adaptive agent formation combined with external influences.

The asset true price trend is determined at any given time during an intraday trading time frame by the architecture of a “subset of potentially constructible arguments’ that are well-suited to the heuristic interpretation.

This is the best entry/exit point correlated to a ‘chess-playing’ strategy- how many price moves- that is built upon the depth of knowledge of multiple correlated computations to find the probability of density percentage greater than 68%.

EXCEL SPREADSHEET INPUTS – LINKED TO THINKORSWIM

ALGORITHM

I INPUTS

IMPLIED VOLATILITY; NET CHANGE; (CLOSE; OPEN; LAST; HIGH; LOW) [PRICE RANGE]; PRICE ACTION FORMULA; MEAN [=MEDIAN (PRICE RANGE)

******************************************************************************

II PRICE TARGET

PREDICT

=SUM(OPEN+PRICE ACTION)+DAILY%

CALCULATE TGT

=SUM(HIGH-LOW) +OPEN

PRICE ACTION

=SUM((LAST – OPEN)+(LAST – HIGH)+(LAST – LOW))/3

PRICE TGT %

=SUM(TGT-LAST)*1/TGT

MEAN

=AVERAGE(PRICE ARRAY)

*************************************************************

III   VOLATILITY – PROBABILISTIC REASONING AND/OR STATISTICAL REASONING

Understand that there are six reasons to care about volatility when formulating your criteria of equation selection that will later be calibrated to meet the Measure of Certainty Rule.

These rules must be incorporated into the model’s algorithmic decision-making process – thus it is essential to determine their placement of sequence on the Excel architecture.

These six rules apply to both traders and market makers.

  1. The wider the swings in an investment’s price, the greater the emotional impact;
  2. When certain cash flows from selling security are needed at a specific future date, higher volatility means a greater chance of a shortfall;
  3. Higher volatility of returns is seen when buy and hold strategies result in wider distribution portfolio asset rebalancing;
  4. Higher volatility creates a higher sequence of return risk when withdrawing profits of one asset within the portfolio when the overall profit to loss is more risk defined;
  5. Price volatility presents opportunities to buy assets cheaply and sell when overpriced.
  6. Volatility is traded directly through derivative securities –options.

MODELS USED

Extreme Movements

Larger volatility movements – calculated as an aggregated percentage of the major Indexes, presage all “shock event” movements.

This is known as ARCH: Autoregressive Conditional Heteroskedasticity

Tracking ARCH is essential to the financial time series or time-sensitive investing, where periods of price swings are interspersed with periods of range-bound flatten trends.

Calculations Equation for Volatility

HV^PI

=AVEDEV(IV;%CHANGE)^0.314

HV^FIB

=AVEDEV(IV;%CHANGE)^0.618

STDEV

=STDEV(PRICE SERIES) [STATISTICAL VOLATILITY]

VOLATILITY

=SQRT(STDEV)

*************************************************************

TOTAL ALPHA

=SUM(STDEV+(EXP RTNS-BENCHMARK)*STDEV RTNS/STDEV BENCHMARK)

BETA

=PEARSON(HV: VOL; EXP RTNS: STDEV RTNS)*10

EXPECTED RETIRNS

=STDEV(IV; HV)*SQRT(45/252)

BENCHMARK (PRICE INDEX)

=AVERAGE (PRICE ARRAY)/5

STDEV RETURNS

=STDEV(PRICE INDEX; IV)

*************************************************************

ROR (RATE OF RETURN)

=SUM(LAST PRICE – OPEN PRICE)*IV

ROC (RATE OF CHANGE/CAPITAL)

=SUM(LAST*PRICE%)*SQRT(45/252)

LOG NORMAL STATISTICAL VOLATILITY

=LN(HV^PI/HV^FIB)

LOG NORMAL STATISTICAL PRICE

=LN(HIGH/LAST)

INDEX

=DELTA()

VI PORTFOLIO

ALPHA

RISK-FREE RATE T-BILL .25

EXPECTED RETURN

=STDEV(HV; STDEV)*SQRT(30/252)

BENCHMARK (PRICE INDEX)

=AVERAGE(PRICE SERIES)/5

STDEV RETURNS

=STDEV(P ACTION; HV^FIB (IMPLIED VOLATILITY)

STDEV BENCHMARK

=STDEV(STDEV; BENCHMARK)

Calculation

=SUM(RISK-FREE RATE+(EXP RETURN-BENCHMARK)*STDEV RETURNS/STDEV BENCHMARK)

Logic

=IF((D11>=-0.55);(“SELL”);IF((D11<=0.55);(“BUY”);G10))

=IF((E11>=-0.55);(“SELL”);IF((E11<=0.55);(“BUY”);H10))

INPUTS:

D11 EMA INDEX; G10 ‘SIGNAL’

E11 FIB INDEX; H10 ‘SIGNAL’

COMBINED:

F11 -SELL; G11 -SELL; G11 -SELL

=IF(AND((F11=”BUY”);G11=”BUY”);”BUY”;IF(AND((F11=”SELL”);(G11=”SELL”));”SELL”;”CASH”))

EMA INDEX

=(K7-(AVERAGE(D8:J8)))/(STDEV(D8:J8))

 

          =(K7 – AVERAGE EMA’S “FIB EMA %”)

 

          =SUM(D8 – J8 )

 

NFLX AFTER HOURS EARNINGS 7/17/17

CXQ – Macroaxis Research Hub – TOS

The Double Whammy Strangle Payoff

We entered a Long position on both the Call and Put for a strangle spread on July 7th.  Here is an example of how well a “strangle” position can pay off – when carrying the debit.  The key is making sure you are out beyond the 30 day cycle to have a sufficient buffer.

Take Away – We’ll close our position – take profits off the table and then reposition for the after hours earnings report – covering with a Short Call and Long Put for a three day hold.

Symbol Strangle 18 AUG 17  (40)
NFLX CALL PUT
7/17/2017 07:05 7-Jul 7-Jul
Position Long Short
strike 160 145
entry 4.55 5.90
bid 9.55 1.98
ask 9.80 2.02
delta 0.5855 (0.17)
volume 268 648
prob otm 46.27% 79.47%
IV 40.74% 43.93%
contract 200 100
cost basis $910.00 $590.00
profit $1,000.00 $392.00

Macroaxis Research Hub

Macroaxis provides buy or sell recommendations on Netflix Inc to complement and cross-verify current analyst consensus on Netflix. Our advice engine determines the firm potential to grow exclusively from the prospective of investors current risk tolerance and investing horizon. To make sure Netflix Inc is not overpriced, please verify all Netflix Inc fundamentals including its Current Ratio, and the relationship between EBITDA and Number of Employees . Given that Netflix Inc has Number of Shares Shorted of 27.48 M, we recommend you check Netflix market performance and probability of bankruptcy to make sure the company can sustain itself in the current economic cycle given your last-minute risk tolerance and investing horizon.

Relative Risk vs. Return Landscape

If you would invest  15,340  in Netflix Inc on June 17, 2017 and sell it today you would earn a total of  772.00  from holding Netflix Inc or generate 5.03% return on investment over 30 days. Netflix Inc is currently generating 0.2612% of daily expected returns and assumes 1.795% risk (volatility on return distribution) over the 30 days horizon. In different words, 17% of equities are less volatile than Netflix Inc and 95% of traded equity instruments are projected to make higher returns than the company over the 30 days investment horizon.

On a scale of 0 to 100 Netflix holds performance score of 10. The company secures Beta (Market Risk) of 2.0468 which conveys that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Netflix will likely underperform.. Although it is vital to follow to Netflix Inc price patterns, it is good to be conservative about what you can actually do with the information about equity historical price patterns. The philosophy towards estimating future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing Netflix Inc technical indicators you can presently evaluate if the expected return of 0.2612% will be sustainable into the future. Please exercise Netflix Inc Total Risk AlphaDownside Variance as well as the relationship between Downside Variance and Rate Of Daily Change to make a quick decision on whether Netflix Inc current price movements will revert.

TOS Chart – Calculate Option Pull Back

NFLX – The above chart shows a solid long upward trend, tapping the 78% Fibonacci Retracement.  This is a signal that the equity is overbought and will pull back to the 68% at the very least- if not the 50% Fibonacci price (considered the new Pivot Price).  Considering that NASDAQ will retreat at the same time.

We will calculate our percentage pull back to the option chains premiums to know what our potential profit will be for a 3 day hold targeting the 50%. The Trend line shows a $6 retracement so targeting an OTM on the Put – 50% versus the Call OTM at 30% favors a lean into the Put to go long  and shorting the Call (write).  [The OTM percentage can be thought of as the Standard Deviation – once removed.]  

The other validation is that the Implied Volatility is over 35% – that signals leading edge on the Put side.  On the TOS Chart we combine the Rate of Change with the Volatility Standard Deviation indicators – which shows a shift in our favor.  

The asset Volatility is 1.03% which gives the premiums substantial vigor to move in a “swing trade” strategy.  

Short the Call Strike at 150 – premium decay with 1 Contract (100 shares) at our entry of $14.81 will approximately $8 in three days.  

The Long Put Strike at 160 – entry at $7.36 with 1 Contract ought to increase to approximately $13.  With a $6 range that equals $600 we ought to see a $1200 net profit – without calculating in the option premium Bid/Ask spreads.

Here is our new CXQ NFLX Matrix set up in preparation for the After Market Earnings Report today:

NFLX CALL PUT NFLX
7/17/2017 08:11 7/17 7/17
Position Short Long *last
strike 150 160 160.91
entry 14.66 7.46 open
bid 14.60 7.40 162.91
ask 14.85 7.45 high
delta 0.7306 (0.46) 163.55
volume 816 1297 low
prob otm 31.36% 49.59% 160.25
IV 42.87% 41.07% Vol/Shares
contract 100 100 4727927
cost basis $1,466.14 $746.21 431004410
profit $6.14 ($6.21) ($0.06)

*The column on the far right shows the Asset price range and Price Move which is more valid than the Net Change.  Volume and Shares are divided to find the intraday volatility.

Our DTE calibration shows the time decay factor of deterioration of the premiums and expected loss of our capital outlay.  Notice that at time  of Expiration the Put value is positive where the Call time value is minus.

Call                                      Put

DTE 13.52975 5.95575
EXP (1.1315) 5.9558
DTE Drawdown ($113.15) ($145.55)

Stay Tuned:  We’ll be following with NFLX in three days to determine if our quantitative model has the Proof of Concept nailed down.

###

Request CXQ Excel Model: grtsmarket@gmail.com.  

In the Subject: CXQ Request

Macroaxis Research Hub and the TOS (thinkorswim) charts are attributed to the rightful owners.

Attribution-NonCommercial-NoDerivs CC BY-NC-ND
Duplication of the CXQ Model is strictly prohibited without attribution.

AAPL JULY 14 2017 – THE DIP BEFORE THE IPHONE 8 RELEASE

CXQ – MACROAXIS ANALYTICS -TOS CHART

Apple (NASDAQ: AAPL) Option Matrix Data for Next Week

Month 18 AUG 17 (35) 100
Entry Date      14-Jul   14-Jul
Strangle         CALL     PUT
Position         SHORT  LONG
Strike               150        145
Limit Entry      3.40     2.49
Bid                  3.35        2.51
Ask                  3.40        2.53
Implied Vol   20.03%    20.72%
Delta              0.4598      (0.3344)
Volume          6603          768
Prob OTM      56.51%      64.09%
Contracts        200            200
Cost              $680.00       $498.00
P/L                $10.00       $4.00
DTE              1.92110         1.09240
EXP Prem   (1.4789)         (1.3976)
DTE LOSS ($295.78)       ($279.52)
DIFF P/L     $384.22         $218.48

Determining Premium Limit Entry Matrix

Symbol Entry 15 0
Call 3.358 1.117 0.957
Put 2.497 0.833 0.714

CXQ ScoreCard

SCORIFICATION
CXQ C-RTN Prob Profit Expense P/L
0.21544 1.15213 0.0313% $1,178.00 $12.00

MACROAXIS RESEARCH HUB – SNAPSHOT

    

Relative Risk vs. Return Landscape (MACROAXIS)

If you would invest  14,516  in Apple Inc on June 14, 2017 and sell it today you would earn a total of  261.00  from holding Apple Inc or generate 1.8% return on investment over 30 days. Apple Inc is currently generating 0.0903% of daily expected returns and assumes 1.0712% risk (volatility on return distribution) over the 30 days horizon. [Therefore], 10% of equities are less volatile than Apple Inc and 98% of traded equity instruments are projected to make higher returns than the company over the 30 days investment horizon.

TOS CHART

CONTARIAN MOVE - SHORT CALL LONG PUT
AAPL-15 MINUTE CHART – 7 DAY UP TREND CYCLE

AAPL has moved 4.39% or $6.27 in 7 days.  Remember 98% of correlated equities are projected to make higher returns.

 

TAKE AWAY: Consider the possibility of a reversal prior to release of the iPhone 8 – hype factor.  Piotroski is a 7 – Strong so maintaining a long term investment in the stock is viable.  Scalp a Long Put/Short Call trade starting next week July 17.2017 – 10 days before earnings are released.

###

About R. Kambak: A freelance market for Macroaxis Research Hub.  Has provided quantitative input for various option platforms as well as a beta tester for Tom Sosnoff – Tastytrade/Tastyworks.

Mr Kambak has accumulated twenty years experience as a Forex, Commodities, Equities, and Options trader.

Interested in the CXQ Excel Model please send an email to: grtsmarket@gmail.com.

In the Subject: CXQ Request.

The TOS charts and Macroaxis Research Hub graphics and copy are provided by attributed permission.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.

Attribution-NonCommercial-NoDerivs CC BY-NC-ND  Duplication is strictly prohibited without attribution.

AMZN – OPTION MATRIX JULY 14 2017

CXQ QUANT – MACROAXIS RESEARCH HUB

Tracking Amazon (NASDAQ: AMZN)

Strangle Option Spread – Long Call Short Put

Spread OPTIONS
Strangle CALL PUT
Month 18 AUG 17 (44) 18 AUG 17 (44)
Entry Date 7-Jul 5-Jul
Position  LONG    SHORT
Strike       990          975
Entry          28.25     31.35
Bid             38.40      19.60
Ask           39.05        20.10
IVol           25.29%      25.75%
Delta         0.58          (0.35)
Volume      9                  12
Prob OTM 45.28%     61.94%
Contracts   100             100
Cost     $2,825.00       $3,135.00
P/L       $1,015.00        $1,175.00
DTE       $29.52           $10.53
EXP         $1.27             $10.53
DTE         $127.13       ($2,081.82)

Note: Entry was seven days ago – the 7-day cycle. The Put Delta has decayed substantially. The DTE Price calculations show a very strong Call position for intraday trading. Kept contracts to 1 or 100 shares. Initially entered with the AUG option chain at 44 days out. Implied Volatility below 35% so a strong Buy on the call side and Short on the put side. Volume sparse – higher Put translates into selling the Bid.

To retain our profits we’ll close the Long Call and Short Put position today since it’s Friday.

About DTE:  Time decay is essential in knowing what the option premium will be at the time of the Expiration of the option chain.  We have used Edward Thorp’s formula that he devised in relationship with the Black Swan formula – though we replaced the BS with our own equation set to determine what the DTE premium will be and what profit or loss there will be with the option investment over the time (t).

By incorporating the cost of the trade we have devised a means of seeing what amount will be lost in a relationship with our capital outlay.

In this case – the numbers show a positive outcome that confirms are choice to Short the Put and Buy the Call.

*The formula is:  M = m + v 2/2
m = lognormal
v = volatility
lognormal + volatility 2/2
m is the lognormal drift parameter and v is the volatility

Here is how it looks on our Excel spreadsheet matrix.  The “Drift Price” is key to finding the asset price based on the time horizon (which we configured into another set of equations utilizing an independent and dependent linear regression combination offset by the lognormal equation.

E Log SQRT Drift P
0.03456 0.22437 0.00649

Taking it one step further Thorp hypothesized (in the late 60s):

*E(S(t)) = S((0)) exp (Mt) is the expected value of the stock at time t if S (0) is the initial price.

The Final Results are calibrated into our CXQ and C-RTN Scorification Matrix:

CXQ CXQ2 C-RTN Thorp Prob Profit
0.7413 0.2412% 0.3118 0.9922 0.4891%

Translated:  CXQ above 0.55 is a Buy signal.  CXQ2 is secondary to the C-RTN to show the covariance of their “gap”.  The closer the gap the more valid the signal to Buy. The Thorp Drift Price score confirms a strong Buy signal.  The probability of Profit is based on “intraday” price moves.

*Beat The Market by Edward Thorp

MACROAXIS RESEARCH HUB

AMZN has a Piotroski Score of 7 (very strong), though it’s showing an overvalued price.  Still analyst recommendations are a Strong Buy (24 versus nearly 0 for Strong Sell).  Right now AMZN is trailing behind the major indexes.  NASDAQ up 0.21%.  (A telltale tip off is that Apple (NASDAQ: AAPL) didn’t hold its gains from yesterday.)

Jeffrey Bezos sold 155647 of common stock at a value of $0.01 per share on July 11, 2017.  Major Institutional holders are Swedbank (565.5K common shares valued at 5548.3M) and Bank of Montreal (552.7K common shares valued at 535M.)

Macroaxis Graphics  

                                                                       

     

 Macroaxis Price Density Hype Analysis – 30 Days

TAKE AWAY:  Close current position to take profits off the table.  Reset on Monday to Short the Option.

About R. Kambak – provides input for the Macroaxis Research Hub.  Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  In the Subject: CXQ Request. The TOS charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  Attribution-NonCommercial-NoDerivs CC BY-NC-ND   Duplication is strictly prohibited without attribution.

MACROAXIS PORTFOLIO – JULY 12TH – 44.61% YTD GAIN

CXQ Portfolio

Invested $13,000.

Equities: AAPL, BA, BABA, FB, ADBE, NVDA

YTD RTN: $3276 or 41.66%

See Chart: Mix Invest

Compared to DOW (Pick Area)

About R. Kambak – He does portfolio development for wealth building. Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.

In the Subject: CXQ Request

The TOS charts and Macroaxis charts are posted with credit to the platform/brokerage. All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.

Attribution-NonCommercial-NoDerivs
CC BY-NC-ND
Duplication is strictly prohibited without attribution.

BLOOD LETTING – FACEBOOK – JULY 4TH WEEKEND

SNAP SHOT  QUANT FROM CXQ – JULY 4TH WEEKEND

The middays look at Facebook (NASDAQ: FB) statistical analysis.

From the Options Matrix the notable inputs are the comparison of the current premium price to the time decay (DTE) outcomes.  Both Short Call & Long Put show a profit at Expiration.  This isn’t necessarily reality as the horizon can change over a 56 day period – yet the signal here is that the volatility is giving a solid confirmation on how we leaned into the derivatives during this July 4th weekend sell off of the Nasdaq.

Delta differentiation is comparable to the covariance formula.

The layout is fairly concise – given the Call and Put play – shorting the Call and going Long on the Put.

Month 18 AUG 17 (56)
Entry Date 3-Jul 3-Jul
Strangle CALL PUT
Position SHORT LONG
Strike 155 150
Limit Entry 5.7 2.57
Bid 3.40 6.00
Ask 3.50 6.05
Implied Vol 26.78% 26.73%
Delta 0.3689 (0.4981)
Volume 999 269
Prob OTM 66.67% 46.43%
Contracts 200 200
Cost $1,140.00 $514.00
P/L $460.00 $686.00
DTE 1.96391 4.58941
EXP (3.7361) 2.0194
DTE LOSS ($747.22) $403.88
DIFF P/L $392.78 $917.88

About R. Kambak – a day trader and consultants portfolio development for wealth building.  He builds investment portfolio hypotheticals, simulations and horizon predictions. His portfolios can be found on Motif Community – Back Up The Truck and Codex.  

Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  

In the Subject: CXQ Request  The TOS charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  

Attribution-NonCommercial-NoDerivs CC BY-NC-N.  Duplication is strictly prohibited without attribution.

APPL ANALYSIS – OPTION CHAIN – DTE

By R. Kambak

June 28, 2017

We have constructed a matrix that calibrates in the option premium’s time decay outcome.  This is rather a fascinating way to see just exactly what your profit or loss will be when the option chain expires.

Based on intraday price moves, volatility, implied volatility ranking, and probability of profit, we’ve identified a means to the end for determining a risk defined entry and exit point for either a Call or Put investment.  This is apart from the Theta score.

Below is the CXQ matrix.  It is fairly self explanatory as you read down the list of input criteria that is standard for most option analysis.  We’ve configured the most relevant data inputs based on the Long Strangle spread – most common for earning’s trades.

Note: We try to match up as close as possible the Call and Put Limite Entry premiums so that the Strangle set up won’t negate the profits.  If it is not possible to match up the option premiums, than one can adjust the contracts.

The MSN Excel spreadsheet provides us with versatility in customizing our option trades, such as Long Call and Short Put. It is a bit more manual intensive, but given the robust signals, it is by far more optimal. Managing this CXQ Model spreadsheet requires more in depth knowledge of option trading and the mathematical calculations required for derivative investing.

DTE

When you look at the last three boxes of this matrix, you’ll see the DTE inputs that are correlated to the current Bid/Ask price of the asset’s option – at which strike price we chose based on a Probability OTM leg out; Call up and Put down.

Notable with AAPL – at the time of the JUL option chain expiration you want to look at the DTE comparison to your capital investment to open the trade and what it will turn out to be on the day of expiration.

If one is motivated to work with the “simulation” aspect of the CXQ matrix, one can determine their the best possible scenarios.

SPREAD OPTIONS
Strangle CALL PUT
Month 21 JUL 17  (24)
Entry Date 27-Jun 27-Jun
Position LONG SHORT
Strike 145 143
Limit Entry 2.28 2.35
Bid 2.73 1.72
Ask 2.76 1.74
Implied Vol 18.43% 17.79%
Delta 0.51 (0.37)
Volume 3065 433
Prob OTM 50.80% 61.24%
Contracts 200 200
Cost $456.00 $470.00
P/L $90.00 $126.00
DTE 1.31255 0.30235
EXP Premium (0.9675) 0.3023
DTE ($193.49) ($409.53)
About R. Kambak – is a freelance writer and portfolio consultant with Macroaxis.  He is open to evaluating investment portfolio hypotheticals, simulations and potential horizon predictions. His own portfolios can be found on Motif – Back Up The Truck and Codex. 
Anyone interested in obtaining the CXQ Excel Model please write to him: grtsmarket@gmail.com.  
In the Subject write: CXQ Request
The TOS charts are posted with credit to the platform/brokerage.  All MSN Excel spreadsheet posts are solely Mr Kambak’s own creation.  Duplication is strictly prohibited without prior permission.
For freelance writing assignments please contact him at: egagca@gmail.com  Thank YOu.