EQUITY in this ledger: Adobe (NASDAQ:ADBE)

Introducing our move toward a “block” “chain” model using Excel for baseline configuration of input/output parameters regarding Option Trading.

  1. Block: CODEX.  C-RTN, Spread (Strangle), “BUY” (Calculated signal),  Profit/Loss
  2. Excel Layout – Call/Put Workbook Inputs
  3. Determining Option Chain, Strike Price, Premium correlations
  4. Macroaxis Finance:  ADBE Recommendation Graphic

Taking into account the opportunity to make profits from the earnings volatility, we review out context for the pre-earnings report for the asset Adobe (NASDAQ: ADBE).

  1. CODEX/C-RTN BLOCK:  This is a signal based calculation that takes into account both underlying price ranges and statistical computations.  It is sensitive to price move, just as Beta, even more so, and provides a Forward-Looking outcome.  When CODEX is positive than the underlying price trend is Bullish.  When it moves into the negative, the underlying price trend is Bearish.  The max number either way is +1.000 or -1.000.   C-RTN represents a modification of monetized cyclic period to determine the trend, and a calibrated signal “BUY” that is based on a Logic formula.   When the Codex and C-RTN are in conflict, meaning they don’t complement either positive or negative outputs, than there is a risk averse alert for entry.
  2. The CALL/PUT “BLOCK”  aligns the correlated data inputs provided to track the variances between elements.   The Excel layout is flexible so that the elements can be arranged in accordance to the option trader’s hypothesis.  We use “Thinkorswim” to export the selected option chain(s) that is pasted into adjacent spreadsheet.  Then the relevant data is cut and pasted into this format.   What is not shown is the DTE  (Time Decay) entry price BLOCK that provides the “limit” order price in relationship to the traders spread.  You’ll notice the Entry Price input where, in this case, we went Out-of-the-Money (OTM) for both Long Call/Put.  Typically, we prefer a comparable premium, yet our strategy for this trade was short term, capitalizing on volatility and time decay.
  3. BLOCK ARCHITECTURE for this layout is meant to be an optical reference; both for mental entrainment by seeing the correlation of the underlying price move to the Options inputs, and providing an orientation to see time decay of the premiums in real time.

Our terminology has changed over many times over the years.  Conceptually, it’s basically all the same:  building a node of dependent statistical input data that is available to be “chained” or “linked” or “neural” to other “clustered” independent data that is incorporated into various Excel formulas.  We like the flexibility of using Excel as it gives us many options for simulating outcomes and most importantly Proof of Concept.

This ledger publication is extremely simplified in presentation.  As we present more of our own trades and the context behind them, things will become sophisticated and in-depth.

 

CODEX C-RTN P/L
0.07804 -0.0162 $72.00
STRANGLE BUY Signal
CALL PUT
Month 16 SEP 16 (4) 100
Trade Date 09/12/16 09/12/16
Strike 100 95
Premium 3.05 2.13
Ask 3.10 2.16
Entry Price 3.900 0.920
Delta 0.4682 -0.3235
Vega 0.1284 0.116
Prob OTM 0.5679 0.6407
Volume 130 32
Implied Vol 0.2791 0.2982
Gamma 0.0441 0.0373
Contracts 200 200
Close $610.00 $432.00
Open $780.00 $184.00
Profit/Loss -$170.00 $242.00

Macroaxis Financial Analytics provides a complete breakdown of relative analytical elements used by portfolio managers.   We use Macroaxis for several reasons; in this case we wanted to see what the overall market sentiment was for Adobe prior to their earnings release.  We’ll incorporate this feedback into making a case for leaning into either the Call or Put.

screenshot-www-macroaxis-com-2016-09-12-18-09-50

GRTS Market Analysis and Codexquant are meant to present educational thesis’ to provide insightful means of attaining impartial investing decisions.  The take away, moreover is an orientation to confront “our” bias and blind spots when it comes to the truth.  Traditional means are quickly being replaced by highly advanced technological devices and programs.  If we can provide one with a new insight of what’s valid in revising the way we assess our global economy, than we’ve achieved our purpose.

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