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 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 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.  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.

BSOD – CTRL ALT DELETE – HALT – HELLO WORLD

When I read Paul Ford’s What Is CODE  – recently published in Bloomberg, it resonated with me enough to be inspired in writing just as abstract flash fiction blogs regarding our world of a Turing Machine based binary code, the influences of Apple’s “App Stores” flooding our ultra-mobile high tech market, which amplify the threats that are infiltrating the security of our financial institutions, and the means of which, devising an alternative trading platform that is completely coded unlike anything before, stands out as the priority in my life right now.

Is the threat worse or the massive proliferation of ultra-mobile technology dominating our lives and credit cards?

IF This, Then This…

Ford claims there are an aggregate collection of coders (programmers) around 18 million and growing fast.  He makes a poignant point that you cannot disregard (and I’ve known for a long time after having my computer’s hard drive hacked to death several times) that either programmers are running the world or the programs that they are coding are running the world.

sudo apt-get upgrade

If you stumble upon my blog and read the accounts of this fictionalized – flash written story – you’ll be introduced, rather covertly to the things you NEED to know in regards to developing a vital perspective that challenges your own subconscious bias between myth and fact.  Such as that people think Apple is a superior product.  It is not.

In fact, to date, Apple/Macintosh is a wanna be Android, given that baseline syntax used for all operating systems is Unix/Linux based.

The Apple Watch is only the means of which to keep its customer base tethered to having to have their other products to find satisfaction of functionality.  Blindly spending more money on something that is inferior reeks of the irrational behavior of a “skewed” debt driven economy that make Bitcoin more attractive each day we face another economic crisis.  Have you bought a Mycelium Wallet yet?

You can Ubuntu-ize your life to make it much easier to manage the “terminal codes” of which both Microsoft and Apple are terminally ill because the collective “they” programmers, are like all writers of anything – Asemic to Linguistic Tongues – they have to put their own spin on it, plagiarizing that which was the original Basic Word.

is pal: {x -|x }

Moreover, he Proof of Concept trading model: CODEXCELIAN can give you the robust absolute critical knowledge of understanding equity mechanisms.  2 + 2 = 4.

The Turing Test 

Notable physicist Roger Penrose pays the deepest respect to Alan Turing in his white paper on living  a computer driven lifestyle.  It is without a doubt a truth of which sadly one of the greatest minds of the 20th century was destroyed by homophobic zealots.

But then there is Ada Lovelace, Linda B. (UNIX coder) and others who pioneered the course of technology to what we know of it as managing, or at the very least obstructing through complications of Blue Screens of Death in our lives today.

This is how I arrived at the title of my story:

“WRITE HIM OFF – Z EQUALS ZERO”

We live in a world economy based on the Pareto Effect.  Our very own perception and/or motivation to claim our individual right to be selfish enough that it is the way to attain our construed dreams of fulfillment, are guided and  molded into this belief system that for one to gain, another must suffer.

This title reflect it, metaphorically, because story titles are suppose to emblematic of the story’s plot, and my story embraces humanity because I am a human, at least I was mere reflection of one the last time I looked in the mirror.

“Write Him Off” is to imply that the Turing’s Model no longer works, Wolfram, et al are in danger of becoming extinct, just as millions of earthly creatures have disappeared from our wanton gluttony of devouring the earth’s cyclic equilibrium of resources, thrusting our civilization into a quick descent of obscurity.

I mean no insult to Turing, yet it does bear fruit in the manner that he was initially mistreated and then through the course of computerizing society’s history our coders are evolving his mechanism.

“Z Equals Zero” equates into the Greek letter “Zeta”, (you already know what this represents) and Zero as the numerical binary code “0” that streamed down the computer monitors in the movie the Matrix – representing a Zen mindset of “the illusion of nothingness”.

Combined together you have a story plot about the ending of one computerized mindset era and the its code.

SERGM

Then there is the nonfictional aspect of my quantitative model (hint for you coders) that is ready to be programmed for API cloud access, is going to be posted here.  Had you read my article “SERGM” last year, you’d been introduced to a manner of critical thinking that, to my surprised gained me an invitation to join Interactive Brokers “think tank” on writing trading algorithms.

I declined because of the very fact that I would have been pushed into the traditional mainstream polluting belief systems (our synapses transfer data between neurotransmitters at 2 milliseconds, much too slow for CPU programmed high frequency trading programs – clocked at 2 microseconds) of which I am trying to break away from by listening to frequency tones on a daily basis.  Pineal gland activation is a primary function of exiting the Occidental paradigm.

Your own thought process right now is getting jumbled, as the presentation of my own stream of consciousness is skewing the internal perceptions of your limited time frame experiences in life as not equating – both mathematically and psychologically coherent.

We, as humans, can only evolve as fast as our minds can assimilate what we experience – and that comes in holographic fragmented fractal tiles of embedded memory – stored in at least three areas of our cranial machine.

Artificial Intelligence is seriously hampered by this fact as our own mental latency is transferred into the construction of a machine that is mathematically programmed to our cognitive means of critical thinking – running wildly through mega calculations that spin terabite hard drives out of control.

When the algo hits a snag, it halts and goes into the BSOD.   There more inefficiencies within our computer industry than there are common nonsensical approaches to solving the issues that we have already created with due course of conflict resolution.

This opacity causes risks. One study by a researcher at the University of Hawaii found that 88 percent of spreadsheets contain errors.  Paul Ford, What Is Coding?

I’m taking  you into “no man’s land” per se – and this part of it will take a quantum leap of faith on your part to try and remain connected, and focused with impeccable intention – the journey of Don Juan in Carlos Castaneda, and beyond the mouse pointing cursory browsing attention span of three seconds.

In conjunction to this blog site – I’ll be developing a website and YouTube videos that hopefully, once I get the “bugs” fixed will be live Excel streaming (making sure I’ve removed the 88 errors) so you can follow my gleamed equity and option trading signals.

Entropy and Inert Code

It is my intent to introduce you to the future of trading platforms – both through fictional story telling and the actual reality of Lilliputian mechanisms based on abstract constructs, i.e. quasicrystal polyhedral geometrical strategic complex systems embedded with adaptive agent subroutine calibrations that reveal the “pings” of HFT’s shark bait offers.

Be aware that things will be getting “thick” to make you “think” in solving what I will be making more puzzling by not filling in all tilling along the way  That’s your job to exercise your gray matter between your ears.

Finally, I am NOT the guy in the khaki jacket.

Stay tuned, the best is yet to come.  I might even get a Noble Prize.

THE CODEXCELIAN MATRIX

THE TALE OF TWO SPREADSHEETS

RAG PICKER TRADE STATION – THE CODEXCELIAN EXCHANGE

SYNOPSIS: The Codexcelian Exchange crosses at the intersection of “CODE” and “EXCEL”.  The Euclidean coordinates initially written down on “patches” eventually morphed when the patch manifolds were plugged into the Darwinian Blackbox.  The FORX defined a new procedure for us to capture the equation of the true self, thus freeing our lives from the Indiscernible Matrix.

THE REMAINS OF DEF TARCIAN’S CODEXCELIAN MANIFESTO 

TRANSLATED BY

SKOKIE SPIKE

2017

The following summation is all that is left from the extraordinarily eye opening awareness in regards to the advancement of technological micro-device development, based on what is known as the “SPREADSHEET”.

DEF TARCIAN advanced the evolution of the Excel Spreadsheet with what he termed the Codexcelian Model.

The manifesto explaining the Codexcelian Model was banned for distribution by the newly formed CARNELIAN SURVEILLANCE OF THE INTERNET OF THINGS in 2016,  government sub-group to the Central Intelligence Agency, that wasn’t required to be disclosed of its existence to Congress or the American people.

Def Tarcian was a leader in “outsourcing” and “open sourcing” code at the end of the 20th century, up until his disappearance two years ago.  A genius of technology, in his own right, a Nobel Prize recipient was one of the first programmers of Unix in the mid 1980s.

At the time of his disappearance he had been aggressively distributing Raspberry Pi motherboard “packets” that had been programmed with the Codexcelian Model. The Essential USB Encrypted Turing Lock came with the unit.

TARCIAN’S DISAPPEARANCE

 Def Tarcian mysteriously disappeared when visiting his remote lodgings in the Cascade Mountains this past year, 2016. The local Marblemount sheriff’s report stated that
Tarcian, a loner, who lived like a hermit,  must have gotten lost while hiking along one of the treacherous mountain trails.  It was known that at the time of year, extremely fierce storms could materialize within minutes – bringing a torrential rain or snow storm.  His body has never been found.

His cabin has since been raided by local youth, having broken in, obviously trashing the cabin’s spartan furnishings and burning most of Tarcian’s research papers in the wood stove.  The local sheriff closed the case after two months of investigating and searching for Tarcian.  The Federal Bureau of Investigation and Homeland Security were reported to have visited the area during the search.

THE X-INACTIVATION OF THE X-LINKED RECESSIVE GENOTYPE

LYONIZATION: The phenomenon in which heterozygous females do not phenotypically express their X-linked recessive genotype or do so only randomly. Also called X-inactivation .

But if there is X-Activation, it would be extremely important to humanity at this space-time continuum, dissipating any resemblance of global maximum indecernability of the true self.  Def called it the Lyonization Factor; a breakthrough for us to access the Worm Hole: activated by the Planck spreadsheet equated code – when plugged into any PC or tablet: where upon the molecular structure of human form would be cosmically transported one bit per qubit;  freedom to access teleportation into the universe.

IN MEMORY OF IT’S AUTHOR: THE LATE DEF TARCIAN

This revolutionary leap needed to be distributed globally, so a digital algorithm syntax was devised by Def Tarcian.  Tarcian, one or our greatest astrophysicists, found the equation sequence between the Fibonacci Ratio and the “prime number sequence” which was encrypted into the CPU of anyone’s computer.

“Here lies the ambitious juncture – in harmonic resonance with human perception and universal reality” imprinted on each of our DNA.  

Mutation of our species with each off spring is the chance we take, Tarcian wrote, where the measure of certainty collides with irrationality of human generated thought forms and/or deformed.

Thus how would we identify the lower operative “randomizer”?  All human behavior, Tarcian stated, is simply built upon Four Manifolds; which brings equilibrium to our global infrastructure of “economic free will”.

Evolution rejects any life form that is not in harmony with the Four Manifold Frequencies. There is cognitive dissonance at levels far below the individual awareness to see their “in play” interaction as an “Agent” of eliminating the connection between the conscious and subconscious holistic value.

“We are all connected telepathically on the same earth frequency; collective neurological transceiver at birth.  By age 5, our Limbic System has matured to the point where it will use hormones and neurotransmitters to evolve into a transmitting receiver. ransmitted constantly by our DNA coding in conjunction to cellular mitochondria. Neural entrophy prevails as the law of nature:  time decay is our mental Black Hole.

The necessity of survival isn’t about survival, for we’ve been given the gift of immortality if we so choose to live with its coordinates as real ownership of our lives.  But time evolution mimics, with fairly good accuracy, the accumulation of our past memories, stored within our cerebral lobes; activated or triggered to be recalled and projected upon our present moment, just like a movie projector does on a movie screen. Television is a rerun of our past.

THE FOUR PI^ MANIFOLDS

There exists four heterozygous forms that have been built into the computers CPU.   These are sociological, teleological, ethological, speleological. 

THE MANIFESTING HETEROZYGOTE

While the “Elite” continue to survey us, making sure the “media” optic matrix keeps us imprisoned by short circuiting our ability to discern our true identify from the false one.

The phenomenon in which heterozygous females do not phenotypically express their X-linked recessive genotype or do so only randomly. Also called X-inactivation .

We prefer to loop through life; habitual repetition of our species is not that of the strongest, Conners argued, but that who allows themselves to become a conduit of the higher enlightened True Self.

We essentially mastered impeccable intuitive intentions  as the necessity for indeterminate future violations propagated by “Black Holes”.intelligent among us as natural selection for procreation.

Mathematics, Tarcian. claimed is the universes means of playing with a layperson’s ignorance – one who has not found their inner true self. USER FRIENDLY FOR  MSN EXCEL, OPEN SOURCE APACHE, GOOGLE FINANCE SPREADSHEET DOCUMENTS, AND UBUNTU DEBIAN LIBRE Gamification the person seeing an object becomes the object in their mind, such as in Mendelian genetics,

By picking an essentially biometric using the Plank length of 10-33 cm.

existing computation languages in a meaningful explanation used in statistical physics – the ontological and logical

The junction topologies are initiated by Bid/Ask ticket stamping Jobbers when a Turing binary input is sent from a PC/Mac/Ubuntu Retailer who has capitalized their membership with in one of 13 Exchange routes (EXCH-RTE).

This Euclidean coordinate challenged us to find the means of producing a highly efficient platform adaptive finite procedure – the navigational charts of economic assets – uses the overlay of Fibonacci Ratios. All equations to date globally in-sync with the “Fib” the domain of which no one has been able to pinpoint the origin of the universe’s mathematical sequence that leads us into infinity.

Spikes, as oral myths are known to be born, was venturing into formulary equations; efficient frontier horizon  with the asset (underlying) and option (derivative) in which the criterion of both “entities” merge four manifolds in a coordinate adaptive computational system.

We speak in terms of using the computer to carry the heavy load of calculating complex formulas, almost instantaneously, that meet the four manifolds of which are logically determinism.

Tale of VisiCalc to Lotus 1-2-3; HELLO WORLD development is quickly demanding statistical quantitative logic configurations when it comes to using signal based scoring for Bid/Ask entry and exit – achieving 80% profitability.

https://www.cs.umd.edu/class/spring2002/cmsc434-0101/MUIseum/applications/spreadsheethistory1.html

Codexcelian comprises of the archetypal calibrations, formulas, workbooks, spreadsheets, templates; the overall DNA origin that is an adaptive complex computational software.

VisiCalc calibrated into the encoded, syntax formulations masterfully programmed into Excel.  From Lotus extraordinaire cellular adaptive computative model, makes for a robust Options tactical risk averse investment. Lotus 1-2-3 still holds the largest market share in calculating spreadsheet software.

In a “zero-sum” gamification model, the flip of the coin prevails: a 50/50 change that makes your investment transaction of marginal 40% winner.  Professional market traders are consistently hitting 80% or more.  Why?

https://www.google.com/search?q=80%2F20+PERCENT+RULE&oq=80%2F20+PERCENT+RULE&aqs=chrome..69i57.6683j0j4&sourceid=chrome&ie=UTF-8

YOU ABSOLUTELY NEED TO HAVE ACCESS TO THE DATA FLOW OF NET ORDERS/NET SHARES IN THESE FOUR CATEGORIES:

  • BUY – NET FLOW ORDERS (MARKET, LIMIT)
  • SELL – NET FLOW ORDERS (CLOSE OUTS; TAKE PROFITS)
  • SELL-SHORT – MARKET/LIMIT ORDER ENTRY
  • BUY-COVER – THE COVERED RETURN SPREAD

We will get back to those in more detail later, however, it is a matter of introducing you gradually so as not to deter your memory bias reactions – that show up after you’ve lost money.  Solution?  There are many approaches to describing the Elephant in the Room. So we must introduce an “impartial judge”, just as with cinema acting – the camera never lies (unless you’re fidgeting with your Smart-iPhone editing app).

Codexcelian is a term used that defines our incorporation of Excel to the Ancient Archetypes that knew the Secrets of the Source through the five basic geometrical polygons.

Cut to the chase:  Presented is an Excel template that provides you with the asset snapshot’s relationship with the market indexes, the asset price range, and the ultimate signal based scoring metaphor, according to Einstein. Models are metaphors.  Metaphors are our catalyst to inform morphing expansion into the Quantum Realm of our Natural Existence. Mathematics is our universal language.  All life is based on economics; production, distribution and consumption of goods and services. Our behavior,collectively is irrational.   Why? Because we fudge, lie, cheat, as the means to maintain the “falsity” of a recreational rational mainstream of “what ought to be”in the marketplace environment.

We are linguistically oriented in our Blackbox subconsciousness – “rules of the house”.

Economics revolves around Lambda Calculus.

Fundamentally the “derivative” is a value dependent variable determined by the quantity of an independent variable.  When trading options you enter into a time dependent  velocity that is in constant decay.  That “decay” exists as a slope; a linear approximation of the input values.

We evolved from a holistic perception of life to a dualistic void.  We misunderstand the necessity of Yin and Yang, unaware of the missing input value:  The Lost Zooma.

Morphing our brainwave entrainment intelligence through technological devices that connect the invisible hand of commerce links more of our biometrix awareness within our ethos- psyche to others, to which we have yet to realize.

WHY ALL THIS MUMBLE JUMBLE?

Trading Options, whether you agree or not, is a Defeasible Function dependent on one quantify function determined by an independent variable. he Derivative Abstractions: Asset Allocation.

Fancy high brow terms cause conjunction within our individual separation of 6%;  these categorical distinctions depicting the diversification of the Fibonacci Ratio Overlays on the Japanese Rice Counting Market Exchange Candlestick Chart, respectively.

Spank the Monkey with Monkey Charts. , Combine Monkey Charts with Volume/Velocity Butterflies, flittering about the space-time continuum.

Asset Allocation Fails Us.  Don’t fool yourself into believing otherwise.  What was is reality in the molecular, photon clustering ion atomic clouds of dispersing elements, struggling against the gravitational pull of the Black Hole; causes

pxd-web-page-2017-02-15-14-23-25THE CODEXCELIAN OPTION MATRIX

Matrix Explained:  From the top we input the major indexes to track overall market performance. (Dark Blue Banner)  Then we input the asset price range, using these specific array inputs for part of the CODEX trade signal, just below the price range on the left side.

The C-RTN is our covered return reduced cost basis calculation that of which the meat of it is not shown here and will take another session to explain it’s father unique adaptive features.

For Options we’ve decided to focus on Strangles, solely, after gathering a years worth of empirical data comparing Strangles, Straddles and Verticals, though the Excelian Option Template has the flexibility for user preference.

The standard formula is to buy a Call and buy a Put – one to two legs out from the current correlative strike price to asset transaction price.  We whittled down the most pertinent inputs for this matrix that gives us the most robust outcome.

These are in the order of Strike Price, Bid/Ask Premium, Delta, Implied Volatility, Probability of OTM, and Volume.  We are using “Thinkorswim” to obtain our real-time streaming data.  To set up our Options spreadsheet, we have a second workbook where we paste in the Option chain we have chosen, from the Trade Tab, using 8 Strikes.

Our inputs are correlated to the above inputs, of which we cut and paste into the respective cells.  This can be set up automatically, but the Option chain layouts aren’t all the same so having a single template can skew your numbers for another asset class.

Contracts are listed in the hundredths  and then you’ll see the final calculations for cost per CALL/PUT capitalization, sum total, and then Profit/Loss individually and then consummated – at the bottom in Red.

The Codexcelian also calculates the limit and/or best price for market entry for both CALL and PUT entries, based on Time Decay.  We have broken this down into three periods – using a 30 day time frame. As you can see, the CALL and PUT “Limit Entry” correlates to the Entry input in the Option Matrix spreadsheet.  This is automatically calculated, so one can automate this spreadsheet into an algorithmic trading program.  Note that the 30 days and 60 days are configured in this particular instance given the March option chain.

You can see what your entry price will be going out 30 days and 60 days, or at time of expiration.  However, this will change dramatically during the time that you hold your position, specifically when committing to earnings transactions.

We use a 1/16th divisor formula to find best price entry.  You can see that from the time we entered this trade, the Long Call profited more than the Long Put.

.pxd-dte-2017-02-15-14-44-52

So, what everyone really wants to know is if they are going to lose money or make a profit by transacting a Strangle.  The answer is either way – as the time frame selected will give you either a “squeezed” play of volatility with less than 7 days left to expiration, or 60+ days on the “back month” for more flexibility to “roll out” either the Call or Put if there is a significant deficit.

We call this a “non-zero sum” gamification model, because the premise is for the investor to have the greatest edge, or probability of profit, in a win/win (Call/Put) set up.  Absolutely brilliant.

There is so much more to show you, especially our model that tackles the Dark Pool/High Frequency Trade “gap” ups/downs.

The caveat for retail traders is to accept the fact that the traditional indicators don’t work in an 80% dominated automated, computerized algorithmic trading market.  Even if you think it’s a “machine to machine” solution, it’s not and I can back this up with another thesis at another time.

I do encourage you to build this layout and/or contact me directly for obtaining a template.

Full disclosure is that this presentation is for educational purposes and for the advancement of retail trading  modeling.  Total transparency.  The key is that the Codexcelian spreadsheets will entrain your bias cognitive means of decision making that is predominately unconscious habits.

We all need a little reassurance in the beginning to know our hypothesis is right.  The CODEX Logic Score attains just that.  For your assistance, all cells with complex formulas have call outs that will explain, teach and remind you of it’s robust use with in the network of nodal inputs.

I encourage developers and programmers to consider taking this to the next step in building an algorithmic software. We would love to put it on a Raspberry Pi or similar micro MOBO, pre-programed to minimize latency for retail traders and have an integrated cloud updating link.

CODEXCELIAN QUALIFIES WITH THE HIGHEST MEASURE OF CERTAINTY FOR THE FOUR MANIFOLD ALGORITHMS: 1) MSN EXCEL, 2) APACHE OPEN OFFICE, 3) GOOGLE FINANCE SPREADSHEET AND 4) UBUNTU DEBIAN LIBRE CALC.

Contact me: grtsmarket@gmail.com or tecktomaket@gmail.com

YIN/YANG – DHARMA – TAO: TRADING IN THE NOOSPHERE

TAO
TRADING IS DUALITY – THE BALANCE OF YIN & YANG

I want to express gratitude to the person who was critical in a harsh response to my posting this sacred symbol in a post related to Forex trading.  This graphic is one of my own modifications.  Did you notice there are two separate circles with the “S” shape inside, separating the white from black, and in the center the “seed” as it is called?

“What in the hell does that have to do with trading,” the irritated person remarked in a forum.

Well, let’s explore this a little further, in simple terms and use a metaphor to help your mind’s resistance with another example.

Correct perception of the market analytics will pay off.  More likely biased thinking will not.  In part, this is because, quite simply we have two parties seeking to profit from the other in an investment transaction.  Understanding above all, that there is a duality in play when you are trading the market – one is seeking to dominate the other into a subordinate position so as to take the profit.

The “Bid and Ask” logistics is driven by the level of net shares/orders that flow into either side, thus setting a new price that tends to project a trend, either Bullish or Bearish.  Whether one trades only assets and/or combines this with options (Call and Puts) the “duality” exists over the price move.  However, there is a dynamic phenomenon in play that becomes the Quantum Field.

Or in another way, it reflects the “nooshpere” taken from the writings of  Pierre Teilhard de Chardin from Cosmogenesis.  Along with Vladimir Vernadsky (Paris, 1926) they foresaw that  “..at the root of the primary definition of noosphere is a dual perception: that life on Earth is a unity constituting a whole system.

Okay, the reason I commented on this, is the importance of the last comment: “…a unity constituting a whole system.”

One may not see a metaphysical aspect to Wall Street, yet it is quite embedded during the trading session, because it is based on human  behavior (including the algorithmic machines that are programmed by humans).  This “behavior” is the influence from many schools of thought, traditional to Quantum psychics.   Still, the fundamentals remain: volatility and equilibrium.

So, during intraday trading we have at least two parties, taking the opposite side of the “bet”, in hopes of taking the profit.  During this stage, the market is not balanced, and can become more so if there is a sell off or an “All In” market.  Yet, given the laws of physics, the volatility eventually creates an equilibrium between the two prices – such as a Delta equilateral outcome between a Call and Put spread when Implied Volatility drives both side’s premiums up.

This is the juncture of Yin/Yang – the balance.

Yin: represents the negative, the passive feminine principle in nature.

Yang: is positive, representing the active, masculine principle in nature.

Yin/Yang: presented together divides the creative fusion of the two cosmic forces; the “S”-line.  Within each contain a “seed” of the other.

Dichotomous judgments are perceptual, they are not real.  Duality equates to “profit” when you can grasp the conceptual aspects of its empowerment in all things.

Foreign Currency trading involves a dominate and subordinate currency; with respect to derivatives we consider the Put-Call Parity that exemplifies the dynamic system that two aspects empower the equilibrium of Oneness.

My critic said, “That’s stupid,” signing off with the punctuation  of pontifically profound pointlessness.

Really?  Once we reach the balance between Yin and Yang, we have entered into market’s dharma (noosphere).  That translates into a trader being “in the zone” and using their intuitiveness as a natural means of analytical assessment, just as if they were making a peanut butter and jelly sandwich.

It’s about “evolving” one’s self into someone they want to be:  A wealth builder.

Dharma has multiple interpretations and symbolic representations.  For example, the ubiquitous weight scale that symbolizes “equal justice for all” (really?) or the New York City Ornamental Iron Workers logo; I can get behind that one.

Then why not the Bull and Bear?  Dharma conveys  a conceptual scope “to hold, maintain, keep”.   It is ironic that Yin and Yang merge with the dharma “that remains constant” is the equilibrium of our market exchanges striving to maintain throughout a trading session, and more over in the macro scale of global economics.   The complex influx of trader’s orders, institutional orders, market maker’s price setting (there’s another story regarding that” and High Frequency Trading.

The summation of Yin/Yang and Dharma brings us to the Tao;   that contains 10,000 things. This surpasses the Internet of Things and only though the Quantum Frontier can realization be attained.  Hmmm, is there an app for this?

In conclusion; my mapping optically with symbolic meaning of our consciousness, the way we think, the duality of negative versus positive, that translates into our individual dharma, eventually leads us to the Tao:  The Profit of 10,000 to the tenth power of prosperity.

Be humble.  And know that no one is any better anyone else. It’s just a matter of getting all the “noise” and “hype” out of the way so that you can really, really tune into what the market’s telling you – and I guarantee you, you’ll find that gem for the Universe wants you to prosper.

Understanding the human dynamics makes attaining profits with effortless effort.

Peace.

Skokie

 

snapshot-2-9-8-2016-3-14-pm-2
Codexquant

Graphics designs are the sole property of Richard Kambak. The second graphic (Earth’s Noosphere) was created by using “Alive” app (Logo appears in right lower corner).  To post, attribution is required.  Any contextual use  that is posted on the Internet with the intent to be malicious or defamatory towards the author is strictly prohibited.

CODEX QBT COMPUTATIONAL EQUATION INPUTS FOR EXCEL

CODEX.QBT – MATRIX
STATISTICAL PARAMETRIC 
EXCEL SEQUENCE EQUATIONS AND COMPUTATIONS

INPUT DATA MATRIX

Symbol

Impl Vol

%Change

Close

Open

AG

0.61

0.03

10.8

11.06

STRIKE CALL

INTRINSIC

C PROB OTM

C PREMIUM $

10.00

0.82

0.34

1.00

1.20

0.04

BIDU

46.39%

2.19%

170.14

172.38

STRIKE CALL

INTRINSIC

C PROB OTM

C PREMIUM $

175

5.11

0.56

8.2

INTRINSIC IS THE DIFFERENCE BETWEEN THE UNDERLYING AND STRIKE PRICE FOR CALL CALL OPTIONS;

PUT OPTIONS IS THE DIFFERENCE BETWEEN THE STRIKE PRICE AND THE UNDERLYING

TGT: =SUM(HIGH PRICE-LOW PRICE)+OPEN

TGT 2: =SUM(OPEN PRICE – CLOSE PRICE)+LAST PRICE

INTRINSIC VALUE IS THE ACTUAL VALUE BASED ON AN UNDERLYING PERCEPTION OF ITS TRUE VALUE, BOTH TANGIBLE AND INTANGIBLE.

TGT

TGT

RANGE

11.59

11.42

0.79

P PROB OTM

P PREMIUM $

IV POP

0.65

0.35

0.48

0.04

CALL IMPLIED VOLATILITY- PROBABILITY OF PROFIT

PUT IMPLIED VOLATILITY – PROBABILITY OF PROFIT

CALL IV POP: =SUM(STDEV IV – CLOSE)

PUT IV POP: = SUM(STDEV IV – PUT PREMIUM

C IV

C HV

OPT IV

STDEV IV

0.57

0.45

0.61

0.833

STANDARD DEVIATION EQUATION FOR IMPLIED VOLATILITY

=STDEV(C IV; C HV; OPT IV)*10

DELTA

THETA

GAMMA

VEGA

0.710

-0.009

0.230

0.010

-0.290

-0.009

0.032

0.088

CASH DELTA

= DELTA* UNDERLYING PRICE * POSITION SIZE

THETA = 10,000 * -1 = -100;

MEASURE OF TIME DECAY FOR A ONE DAY TIME HORIZON;

EXTRAPOLATED OUT TO EXPIRATION

PROFIT/LOSS

CASH DELTA * SPOT CHANGE IN %; (CASH GAMMA * SPOT CHANGE IN %)/2;

THETA*NUMBER OF DAYS (USUALLY 1 EXCEPT FOR W/E;

VEGA*CHANGE IN IV

Q & P WORLD

(QUANTITATIVE – OPTIONS; PORTFOLIO – EQUITIES)

P ACTION

1.55

PRICE ACTION IS ESSENTIAL IN COMPARISON TO NET CHANGE. IT ACTS AS THE LEADING INDICATOR FOR INTRADAY PRICE MOVEMENT DIRECTION/REVERSAL

=SUM((LAST PRICE-OPEN PRICE)+(LAST PRICE-HIGH PRICE)+(LAST PRICE-LOW PRICE))/1.8

NET/PRICE MOVEMENT RATIO

=SUM(NET CHANGE/PRICE ACTION)

HV

STDEV

IV

0.91

0.96

1.17

HV (HISTORICAL VOLATILITY) IS COMPARED TO THE PRICE RANGE STANDARD DEVIATION AND THE IMPLIED VOLATILITY THAT SHOWS IF THE ASSET’S PRICE MOVEMENT IS VOLATILE – MEANING THE OPTION PREMIUMS WILL BE HIGHLY ACTIVE

ALPHA

BETA

EXP RTNS

-0.42

0.31

0.08

ALPHA:

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

BETA:

=SQRT(EXP RETURNS)/ABS(HV)

IF BETA IS “2” IT WILL BE EXPECTED TO SIGNIFICALLY OUTPERFORM IF MARKET IS GOING UP, AND SIGNIFICANTLY UNDERPERFORM IF MARKET IS GOING DOWN.

IF BETA IS “1” THEN ASSET AND MARKET WILL GENERATE SIMILAR RETURNS OVER TIME

EXP RETURNS: =STDEV(IV;HV)*SQRT(DAYS/252)

BENCH: =SUM(CLOSE PRICE;OPENPRICE;LAST PRICE; HIGH PRICE; LOW PRICE)/5*0.01

STDEV RETURNS: =STDEV(PRICE ACTION;IV)

STDEV MARK: =STDEV(STDEV;BENCH)

BENCH

STDEV RTNS

STDEV MARK

0.64

0.27

0.23

LIST FOR BLACK SCHOLES CALCULATION

RISK FREE

0.25

 

EXP MOVE

SD SQRT

1.87

0.77

EXP MOVE:

=LN(PIVOT PRICE)*0.45

SD SQRT:

=STDEV(OPEN PRICE;LAST PRICE)*SQRT(EXP MOVE)

LOG

EXP

0.88

2.42

NATURAL LOG:

=LN(EXP MOVE/SD SQRT)

EXPONENTIAL:

=EXP(LOG)

SKEW

DAILY %

0.56

0.45

SKEW:

=SKEW(HV;STDEV;IV)/EXPONENTIAL

ALTERNATIVE:

=SKEW(STDEV;SQRT SD;LOG;EXP)

DAILY %:

=SUM((PRICE ACTION)*0.1/SQRT(DAYS/252)

ADD: MEAN AND VARIANCE

PIVOT

64.01

PIVOT PRICE:

=AVERAGE(PRICE SERIES)

OR

=AVERAGE(OPEN;LAST;HIGH;LOW PRICES)

CHG %

1.01%

PIVOT PRICE:

=AVERAGE(PRICE SERIES)

OR

=AVERAGE(OPEN;LAST;HIGH;LOW PRICES)

CHG %

1.01%

=SUM(HIGH PRICE TGT-HIGH PRICE)*1/HIGH PRICE TGT

HIGH

66.07

=SUM(OPEN+EXPONENTIAL)

LOW

65.29

=SUM(HIGH PRICE TARGET-SD SQRT)

INT

EXT

#N/A

#N/A

INT: =SUM(LAST PRICE – STDEV)+IV

EXT: =SUM(LAST PRICE – INTRINSIC)

STDEV

#DIV/0!

=STDEV(CLOSE;OPEN;LAST PRICE SERIES)

SV

IV

VOL

#N/A

#N/A

#DIV/0!

STATISTICAL VOLATILITY

=AVEDEV(CLOSE;OPEN;LAST;HIGH;LOW)^0.314

TO FIND IMPLIED VOLATILITY RANK (INTRADAY)

=STDEV(OPEN, HIGH, LOW, LAST PRICE RANGE)

THEN,

=SQRT(STDEV)

A-B

#N/A

=SUM(ASK-BID)/VOLUME

RULE:

WHEN SV, IV, VOL ARE NEAR NEUTRAL THIS IS A BUY SIGNAL –

STDEV SIGNALS AN ANOMALY IF IT LOOKS LIKE AN OUTLIER TO THE TRIAD.

GROWTH

VALUE

SD SQRT

#DIV/0!

#DIV/0!

#DIV/0!

GROWTH:

=GROWTH(LAST PRICE; HIGH PRICE;SV;IV;MIN+TIME VAUE)+MIN PRICE TGT

VALUE:

=SUM(GROWTH-LAST PRICE)

SD SQRT:

=STDEV(IV;VOL)*SQRT(DAYS/252)

ALTERNATE:

=STDEV(ROR;ROC)*SQRT(DAYS/252)

=STDEV(HIGH PRICE;LOW PRICE)*SQRT(DAYS/252)

MIN + TV

#N/A

TIME VALUE

=SUM(MIN+EXTRINSIC)

INDEX

WEIGHT

#N/A

#DIV/0!

INDEX:

=AVEDEV(PRICE SERIES)/5

WEIGHT:

=SUMPRODUCT(STDEV;SV;IV)*PRICE ACTION

ROR

ROC

#N/A

#DIV/0!

ROR:

=SUM(HIGH PRICE-LOW PRICE)/ABS(HIGH)

ROC:

=STDEV(HIGH;LOW)*SQRT(DAYS/252)

MEAN

#N/A

MEAN

=MEDIAN(OPEN PRICE;LAST PRICE;HIGH PRICE;LOW PRICE)

P TGT

EXP MOVE

#N/A

#N/A

PRICE TARGET:

=SUM(LAST+PRICE ACTION)

EXPONENTIAL MOVE:

=(PRICE INDEX)*45/252)

CAN VARY TIME FRAME USING 1/16TH FRACTIONAL

VAR

KURT

0

#DIV/0!

VARIANCE:

=VARP(OPENPRICE TO LOW PRICE SERIES)

KURTOSIS:

=KURT(SV;IV;ROC;STDEV)

ALPHA

BETA

RSQ

#N/A

#DIV/0!

#N/A

ALPHA:

=SUM(IV)+(PRICE ACTION – STDEV)*(INDEX/WEIGHT)

BETA:

=FTEST(IV;NET CHANGE; PRICE INDEX)

PEARSON:

=PEARSON(HIGH, LOW, CURRENT PRICE; NET CHANGE, PRICE ACTION, PRICE INDEX)

(Disclaimer:  The data presented is intentionally provided for educational purposes only.  We are not making any recommendations nor implying that this statistical set up is a proven format for making profitable trades.  Our intent is to expose traders to the combinations of scenarios regarding Excel equation inputs and the means of calibration by making a modular layout of specific “family” statistical inputs that can be supportive for other modular bins.)

Peace.

Rich

THINK BACK: TWITTER EARNINGS – THE WHIPSAW OPTION STRANGLE TRADE

In this blog we discuss how we found which option side to lean into prior to Twitter’s (NASDAQ:TWTR) earnings release the following day – 10/27/2015.

It never amazes me when the predictable is always the unpredictable when it comes to trading options around earnings.  The “zero sum” outcome and randomness of the efficient market indicators are equally reliable to be unreliable.  What goes down must come up.

And paradoxically, TWTR posted a plus in earnings, though minuscule by our standards, market makers obviously have inventory lined up to short TWTR, proving that our PUT weighed values were correct: but only momentarily since TWTR returned to the breakout price on during intraday trading on 10/28.

Posted Table on October 26, 2015 the day before Twitter posted earnings.

Estimate is -0.24 cents and actual was 0.10 in After Market Reporting.  What transpired as to the volatility of movement provides excellent feedback as to why you’re flying blind, even with statistical evidence to support a “mechanical” risk defined trade.

In this table below you’ll see our goal post statistical data indicator’s comparison between the NOV 2015 Call/Put analytic matrix that is calculated by our Codex.qbt* formula.

How to read this graph:  On both left and right sides we have Call and Put coinciding indicators: Premium (Ask), our entry price (calculated for a limit order entry), Bio premium price, Delta Hedge (not direct Delta, but our own calibration), Gamma, Implied Volatility at the Strike, Probability Out-of-the-Money, Strike, Number of contracts in hundredths, Probability of Profit (calibrated to our own formulary), P/L, and Skew price.  Note: Intrinsic is purposely left blank as this is a short term trade.

In the middle are the Logic signals:  Delta Hedge shows “Call” and Implied Volatility shows “Put”, a contradiction that played out accordingly.  The “Spread .03” Alert is to signal us when the spread between the Bid and Ask expands greater than two cents.

Stock quote and option quote for TWTR on 10/26/15 08:13:03
CALL P/L Strangle PUT P/L
$38.00 $260.00 $222.00
NOV 15 (25) 100
CALL OFFSET** PUT
Premium 1.98 $260.00 Premium 2.060
Entry Price 1.78 DELTA Entry Price 1.931
Bid Price 1.93 PUT Bid Price 2.07
Delta Hedge 0.3381 Delta Hedge 0.427
Gamma 0.0887 IV Gamma 0.1272
IV 0.743 PUT IV 0.760
Prob OTM 0.61 Prob OTM 0.52
Intrinsic Spread > .03 Intrinsic
Strike 32.00 CALL Strike 30.00
Contracts 100.00 ALERT Contracts 300.000
Prob of Profit 0.1921 PUT Prob of Profit 0.1935
Profit/Loss $38.00 ALERT Profit/Loss $222.000
Skew Price 1.94 Skew Price 2.209

What sticks out is that the Implied Volatility is .743, well above our .45 threshold for mean reversion of a Buy Call signal; and that the Put indicators out weigh the Calls.

With a favorable out come of TWTR going short, we executed a cost reduction limit order with 3 Long Put contracts and 1 Long Call contract, to protect the upside, so not to diminish our profits.  You’ll notice we were pretty close in matching up the premiums for pairwise management of risk to reward ratios.

twtr earnings
Entered around $30.89. Surged up for a Call scalp profit and closed out at closing bell. Held the Put side to the opening bell on 10/28 to lock in profits at $28.80.

TOS “think back chart” (The outcomes are not as accurate given the intraday subtleties involved in our trade executions.)

The totals are listed in the above graph: Call profit was $38 on one contract and Put profit was $222 giving us a $260 pay out minus the per contract fees.  The whipsaw volatility on price formation was foretold by the OTM percentage.

*Codex.qbt is our bootstrapped Excel quantitative statistical model name.

It is in the Proof of Concept phase; based on the hypothetical Qubit “superposition” of categorical data inputs compiled into statistical data bins then calibrated for a “measure of certainty” outcome.

**Offset is the combined profit/loss between the Call and Put positions.  This is an excellent visual for “Strangles” and “Straddles” as you can see how both positions can become profitable at the same time.

Do you use TOS?  Would you like to have our Open Source Excel spreadsheet models for your own use?

Available for MSN Excel 2010, Apache Open Office and Google Spreadsheets.  These spreadsheets can be customized for your own trading style and watch list selections.

Inquire at: grtsmarket@gmail.com for a list.

Peace.

RK

Disclaimer:  The above information is for educational purposes only.  We make no claims of validity or suggestion for trading the assets listed.

9AM MARKET UPDATE – MARKET INDEXES SLOW TO REBOUND

May 7, 2015

Here’s our 9 AM (PST) equity matrix update for intraday trading.  Price Skew alignment verifies the Price Target.

Ticker Pearson Last Quote Forecast Target Price Skew
AAL 0.3635 49.24 49.59 50.68 50.68
YHOO 0.8051 43.61 43.93 43.44 43.44
GOOG -0.0315 531.2 533.26 535.93 535.93
VXX 0.9302 21.8 21.75 21.65 21.65
IBM 0.6700 171.54 171.86 172.97 172.97
UPS 0.3645 99.72 99.76 100.00 100.00
TWC 0.1592 156.3 156.63 157.10 157.10
HFC 0.3391 41.11 41.40 42.20 42.20
BLUE 0.2177 150.15 151.82 156.31 156.31
HD 0.4630 110.21 110.55 111.62 111.62
MSFT 0.4027 47.04 47.20 47.62 47.62

LOGIC MATRIX – VOLATILITY PROBABILITY 

TICKER IV>SV IV>STDEV Mean>Last
AAL SELL SELL BUY
YHOO SELL SELL BUY
GOOG SELL SELL BUY
VXX BUY BUY SELL
IBM SELL SELL BUY
UPS SELL SELL BUY
TWC SELL SELL BUY
HFC SELL SELL BUY
BLUE SELL SELL BUY
HD SELL SELL BUY
MSFT SELL SELL BUY

 

Microsoft (NASDAQ:MSFT)continues to inch upwards.  Here is the Pearson graph posted on Macroaxis.

msft pearson correlation coefficient

 

Disclaimer: This post is for educational purposes only and not intended to give trading advice or recommendations.  The charts are provided as a courtesy from Maxcroaxis, a financial services website for portfolio analysis and optimization.