Note: The CXQ Model has been in practiced for three years. The validation of its robust risk defined outcomes is backed by an archived of hundreds of spreadsheets in MSN Excel, Apache Open Source and Google.
This model is plugged into the TOS platform for best price at minimal latency. It is solely the creation of R. Kambak and available upon request. Users are required to be knowledgeable with Excel formulas and manual inputs. The CXQ (Codecelian) Model can be programmed into an algorithmic platform.
Contact: grtsmarket@gmail.com Subject: CXQ Request
Posted below is the CODEX Model formulary in Excel for calculating option trades – entry with reduced cost basis and Decay Time Expiration profit or loss.
This bin inputs for the CXQ matrixes are formulated to provide the most relevant data in calculating the “best practices” criteria.
All pertinent data is posted for risk defined trading – and there is versatility in re-constructing the spreadsheet layout for more complex option spreads.
Accuracy is robust. The asset listed here for our example is Chevron (NYSE:CVX).
The CXQ and Covered Return Sign
CXQ | C-RTN |
0.49681 | 3.21240 |
CXQ signifies the overall volatility to intraday price move (not Net Change) to determine if entering (and/or exiting) the equity/option trade optimal. Based on the Pearson formula CXQ rule is if over 0.5000 than it is a “buy” and if below 0.5000 it is a “sell”. Moreover, CXQ will guide the trader toward understanding the asset’s particular characteristics in determining it’s investment value.
The Covered Return is comparable to the CXQ, based on monetization of the asset to the number of cycles in the year (1month equals 1 cycle).
In using CVX as our example – you can see that it reflects an undecided market regarding crude oil and WTI. So entry either way will be a lack luster move at this point. You’ll want a higher and/or lower (minus) to determine which side (Call or Put) you want to lean into for the duration.
Moveover, when the asset/option is reading around 0.5000 it is a “flat” consolidation of price – thus inventory isn’t being moved by the market makers.
Confirming CXQ & Covered Return Signal
WE take the asset volatility in comparison to the aggregate volatility of the DOW, S&P 500, NASDAQ and Russel 2000 volatility (based on price move – not Net Change)
VOL | Mrkt VOL | PROBABILITY |
0.322% | 0.17% | 16.8655% |
To determine Probability – Optimal for Long Call is 68%. Here Probability is lower so one would lean into a Long Put and Short Call. Correlated to this is the low volatility with boty asset and market indexes, so the numbers collectively validate a “hold” signal for long term.
PROBABILITY |
16.6536% |
Time Decay Entry -Reduced Cost Basis
Option | Entry | 15 | 0 |
Call | 5.566 | 1.850 | 1.586 |
Put | 3.792 | 1.267 | 1.086 |
The Alpha Beta Sigma and Information Matrix
ALPHA | BETA |
0.012 | 0.077 |
SIGMA | IF |
0.161 | 1.2011 |
As you can see the Alpha and Beta (intraday) calculations show a lackluster volatility in regards to the asset’s price moves and volatility. The Sigma and Informational statistics are comparable to our risk defined “hold” position for now. Still interest is solid based on the 1+ Information stat. Please refer to the Macroaxis Financial Services website for explanation of these inputs and/or Investopedia.
CALL PUT MATRIX
Finally, we have the grist for the mill – the overall composite of necessary tracking data input on both a Call and Put entry. Please note that we have calculated the DTE loss at expiration of the option chain – July.
The DTE prediction provides the investor with an uncanny insight to see if the option time decay will minimize their losses and maximize profits. The EXP Premium (expiration option premium) shows a negative that is in alignment with the time decay.
With CVX we stand to lose on our investment we hold the trade to expiration in both Call and Put Longs. However, with other asset/option scenarios we have seen positive profits.
Rule of Thumb: Entry for either a short of long option position is best made in the first 15 days of the chosen option chain. One can stagger their Call and Put by utilizing a Front/Back month strategy.
SPREAD-Long Strangle-OTM | OPTIONS | |
Month | 21 JUL 17 (25) 100 | |
Entry Date | 26-Jun | 26-Jun |
Strangle-Long | CALL | PUT |
Strike | 105 | 103 |
DTE | 0.65154 | 0.12614 |
EXP Premium | (0.9285) | 0.1261 |
Limit Entry | 1.58 | 1.19 |
Bid | 1.65 | 1.11 |
Ask | 1.68 | 1.14 |
Implied Vol | 17.36% | 15.83% |
Delta | 0.46 | (0.36) |
Volume | 46 | 11 |
Prob OTM | 55.62% | 61.97% |
Contracts | 200 | 200 |
Cost | $316.00 | $238.00 |
P/L | $14.00 | ($16.00) |
DTE | ($185.69) | ($212.77) |